S7E8: Multivariate Trend Following

In this episode, I speak with Nicolas Mirjolet, CEO and Co-Head of Research at Quantica Capital. We begin with Nicolas’s experience operating a statistical arbitrage fund, where he provides his thoughts as to what makes a strategy easier or harder to scale a business on. Nicolas also provides some context for his somewhat counter-intuitive view…Read more

S7E7: Diversification is a Negatively Priced Lunch

In this episode I chat with Markku Kurtti, author of the blog Outcast Beta. Markku is classically trained as an electrical engineer and works on receiver algorithms for mobile phones. A passion for investing, however, lead him to pursue an MS in Finance and an interview with Ed Thorp compelled him to devote his time…Read more

S7E6: Seasonality Everywhere

In today’s episode I speak with Otto van Hemert, Director of Core Strategies at Man AHL. After briefly touching upon Otto’s background, we dive into one of his most popular papers: The Best Strategies for Inflationary Times. Otto shares the inspiration for the research as well as some of what he feels were the less…Read more

S7E5: A Fundamental View of Quant Equity

My guest this episode is Clayton Gillespie, VP at Deutsche Bank where he works in quant equity research for the QIS team. Clayton began his career at Credit Suisse HOLT, where he got his hands dirty in extracting fundamental information. This formative experience dramatically impacted how he views how fundamentals should be incorporated into quantitative…Read more

S7E4: Hedging a Commodity Bull Market

In this episode I am joined by Hari Krishnan, Head of Volatility Strategies at SCT Capital and author of the books Second Leg Down and Market Tremors. This is Hari’s second appearance on the show, but he comes to us with a very different topic: how to develop a low carry hedge for a commodity…Read more

S7E3: Multi-Asset, Multi-Strategy Portfolios

In this episode I speak with Nick Baltas, Managing Director at Goldman Sachs and head of cross-asset delta one, commodity, and stocks strategies R&D and Structuring. There are three major discussion points in this episode. First, we discuss how Nick thinks about using the broad palette of systematic strategies he has at his disposal to…Read more

S7E2: text2quant

In this episode I speak with Bin Ren, founder of SigTech, a financial technology platform providing quantitative researchers with access to a state-of-the-art analysis engine. This conversation is really broken into two parts. In the first half, we discuss Bin’s views on designing and developing a state-of-the-art backtesting engine. This includes concepts around monolithic versus…Read more

S7E1: “Change in the Market is Accelerating”S7E1:

In this episode I speak with Charles McGarraugh, Chief Investment Officer of Altis Partners. Charlie finds himself at the helm of Altis from a non-traditional route. His career began at Goldman, where his experience spanned everything from asset backed securities to liquid commodities. He then started a firm specializing in machine-learning driven sports betting before…Read more

S6E16: The Reflexivity of Equity Volatility

In this episode I speak with Dean Curnutt, founder of Macro Risk Advisors and host of the Alpha Exchange podcast. This episode is all about the nature of risk. More specifically, the endogenous risk that can manifest in markets. We discuss the crash of 1987, Long-Term Capital Management, the Financial Crisis of 2008, the XIV…Read more

S6E15: Commodity Strategies (Trend; Carry; Congestion; and Volatility Carry)

In this episode I speak with Gerald Rushton, senior member of the QIS Structuring team at Macquarie Bank. Our conversation largely revolves around commodity strategies, including thoughts on trend following, commodity carry, commodity congestion, and commodity volatility carry. Gerald argues that the latter three are particularly well suited to be paired with equity hedging strategies,…Read more

S6E14: Strategy versus Structure in Tail Hedging

My guest is Devin Anderson, co-founder of Convexitas. The theme of this episode, as you can likely guess from the title, is strategy versus structure. While we often focus on strategy specifics on this podcast, Devin hosts a masterclass as to why the structure you wrap your strategy in can ultimately determine the type of…Read more

S6E13: Bridging the Gap Between Financial Planning and Portfolio Management

In this episode I speak with Martin Tarlie, a member of the Asset Allocation team at GMO and spearheading their work on Nebo, a goals-based investment platform. Martin describes Nebo as, “bridging the gap between financial planning and portfolio management,” with a key innovation being the reformulation of risk from volatility to not having what…Read more

S6E12: Grug (Finally) Teaches Us MEV

In this episode I speak with Grug, an anonymous MEV searcher on the Ethereum blockchain. If that sentence made no sense to you, I promise this will be a fun episode. To begin the conversation, Grug explains the basic architecture of the Ethereum blockchain and how its structure allows for the emergence of MEV strategies…Read more

S6E11: At the Frontier of Trend Following

My guest this episode is Doug Greenig, CEO and CIO of Florin Court Capital. Florin Court specializes in delivering an alternative markets CTA, trading over 500 markets ranging from Turkish cross currency swaps to French power markets. We spend the majority of the conversation discussing what makes these markets unique from traditional markets traded by…Read more

S6E10: A Detailed Dive Into Low Volatility Investing

Today I speak with Pim van Vliet, Head of Conservative Equities at Robeco. It will come as no surprise, to those who know Pim’s work, that we spend the majority of this conversation talking about conservative investing. Specifically, we discuss the low volatility anomaly. But rather than rehash the usual high level talking points, I…Read more

S6E9: Modern Systematic Macro

In this episode I speak with Asif Noor, Portfolio Manager at Aspect Capital where he oversees the firm’s Multi-Strategy Program. Asif has spent the last 25 years of his career developing systematic macro strategies, giving him a depth and breadth of experience to understand what it takes to remain competitive in the space. While a…Read more

S6E8: Trend and Carry Within Assets, Across Assets, and Over Time

My guest is Rob Croce, Senior Portfolio Manager at Newton Investment Management Group. This episode is all about what Rob considers to be the two super factors: trend and carry. More importantly, how Rob uses them to inform how risk is taken within asset classes, across asset classes, and over time. Rob is not afraid…Read more

S6E7: Unintended Bets Everywhere

In this episode I speak with Michele Aghassi, principal at AQR Capital Management where she serves as a portfolio manager for the firm’s equity strategies. The conversation spans three major points: optimization, the opportunity in emerging equities today, and factor investing. While these are the headline topics, the underlying theme of the conversation, in my…Read more

S6E6: Portable Alpha and Risk Mitigating Strategies

In this episode I chat with Jason Josephiac, Senior Vice President and Research Consultant at Meketa Investment Group.   Jason has largely spent his career in the institutional allocation space, first in manager research at United Technology’s pension and now on the consulting side of the table. Given this background, I spend the first half…Read more

S06E05: Managing a Mid-Frequency Crypto Prop Desk

In this episode I speak with the anonymous twitter user @macrocephalopod. The arc of our conversation follows the arc of his career: beginning with slow-frequency style premia in a hedge fund to building a prop desk that trades mid-to-high frequency strategies in crypto. A large part of the conversation can be characterized as comparing and…Read more

S06E03: High Frequency Trading, MEV Strategies, and CrocSwap

Doug Colkitt is an ex-high frequency trader, ex-MEV bot searcher, and founder of the decentralized exchange CrocSwap. In this episode, we talk about all three.  We begin with high frequency trading, where Doug walks us through the differences between maker and taker strategies, why queue position is so critical for makers, and why volatility is…Read more

S06E01: Designing the Cockroach Portfolio

Jason Buck is the co-founder and CIO of Mutiny Funds and maybe one of the most interesting people I know. Jason made, and subsequently lost, a fortune in commercial real estate in the 2008 crash. This “ego destroying event” was the catalyst for him to completely rethink the idea of resiliency, both in business and…Read more
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