Flirting with Models

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Welcome to Flirting with Models.

The podcast that aims to pull back the curtain and meet the investors who research, design, develop, and manage quantitative investment strategies.

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
May 29, 2023

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
May 15, 2023

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
May 1, 2023

S05E14: Alternative Markets & Specialist Strategies

In this episode I speak with Giuliana Bordigoni, Director of Specialist Strategies at Man AHL. In her role, Giuliana oversees the firm’s strategies that require specialist knowledge. This includes, for example, alternative markets, options trading, credit, and machine learning. We spend a good deal of time discussing alternative markets, a focus of Giuliana’s in both…Read more
October 23, 2022

S05E13: Questioning the Quant Orthodoxy

In this episode I speak with Adam Butler, co-founder and CIO of ReSolve Asset Management. For full disclosure, at the time of recording I am personally an investor in one of ReSolve’s private funds. Adam last joined the show in Season 1, where we discussed his background and philosophy of diversification. This episode begins with…Read more
October 2, 2022

S05E12: Systematic Multi-Strategy from 100+ Models

In this episode I speak with Kevin Cole, CEO and CIO of Campbell & Company. In the first half of the conversation, we discuss Campbell’s flagship systematic multi-strategy program. We cover topics including trend-following versus multi-strategy, the taxonomy of alpha signals, the concept of edge when you’re running hundreds of models, the process for introducing…Read more
August 28, 2022

S05E11: Market Tremors & Tail Hedging

Today I am joined by Hari Krishnan, Head of Volatility Strategies at SCT Capital and author of the books Second Leg Down and Market Tremors. We begin with a discussion of Hari’s newest book, Market Tremors, and the main theoretical idea: Mean Field Theory.  Hari lays out both the philosophical underpinnings of the concept as…Read more
August 8, 2022

S05E10: Trading FX Volatility

In this episode I speak with Harel Jacobson, an FX volatility trader. There is a lot that makes the FX volatility market unique.  For starters, the end users are more focused on hedging cash-flow and liquidity than wealth.  Since the underlying is currency pairs, volatility surface arbitrage conditions become multi-dimensional.  And then there is the…Read more
July 31, 2022

S05E09: Replicating Hedge Fund Beta

My guest in this episode is Andrew Beer, co-founder of Dynamic Beta Investments. Andrew has spent the last 15 years trying to pioneer the adoption of hedge fund replication strategies.  The core thesis is that several hedge fund categories can be dynamically replicated using just a handful of liquid market exposures and some regression techniques.…Read more
July 24, 2022

S05E07: Scientific Investing in Fixed Income

My guest this episode is Ralph Smith, Head of Research at BlueCove. BlueCove offers long-only and market-neutral mandates in corporate credit and interest rate markets, with an emphasis on utilizing a scientific approach to portfolio construction. We spend the episode discussing how the unique nature of fixed income markets present both opportunities and risks.  For…Read more
July 10, 2022

S05E08: Unexpected Returns

My guest in this episode needs no introduction: Antti Ilmanen, co-head of Portfolio Solutions at AQR, award winning researcher, and author of the books Expected Returns and the recently published Investing Amid Low Expected Returns. A decade has passed since Antti wrote his first book, providing both a decade of out-of-sample data as well as…Read more
July 7, 2022

S05E06: Mining Unstructured Data for the Intangible

My guest in this episode is Kai Wu, CEO and founder of Sparkline Capital. Kai is a pioneer in the measurement of intangible value.  Using machine learning, he tackles unstructured data sources like patent filings, earnings transcripts, LinkedIn network connections, and GitHub code repositories to try to measure value across the four key pillars of…Read more
July 2, 2022

S05E05: Expectancy Hacking

Today I speak with David Sun, a retail trader who started his own hedge fund. Coming from a non-traditional background, David takes a non-traditional approach in his investment mandates.  Focused on selling options to capture the volatility risk premium, David believes that markets are ultimately efficient and therefore foregoes using any sort of active signal.…Read more
June 26, 2022

S05E04: Surfing Flow for Fun and Profit

In this episode I talk with Aneet Chachra, fund manager at Janus Henderson. In his role, Aneet runs flow-driven strategies.  These are strategies that seek to find an edge in market events where trading volume creates a predictable pressure on price, such as index additions or deletions, corporate buybacks or issuance, or even the rebalancing…Read more
June 19, 2022

S0503: From CTA to web3

In this episode, I speak with the Twoquants: Moritz Seibert and Moritz Heiden. There are really two halves to this episode.  In the first, we discuss trend following strategies at length.  We cover the usual topics of signals, speeds, and portfolio construction before diving into some niche views, such as synthetic assets, spread trades, and…Read more
June 12, 2022

S05E02: Crypto Market Making

In a first for Flirting with Models, my guest this episode is anonymous, going only by the handle LightSpringFox on Twitter.   Mr. Fox is a quantitative trader who works in crypto market making at MGNR. Mr. Fox did not begin his career in crypto, nor even in market making.  Rather, his background is in…Read more
June 5, 2022

S05E01: The Active Impact of Passive Investing

In this episode I speak with Michael Green, Chief Strategist as Simplify ETFs.  In a first for the Flirting with Models podcast, we recorded this episode live at the ETF Exchange in Miami in early April 2022.   Given Michael’s eclectic background, our conversation is wide ranging.  He has traded everything from small-cap value to…Read more
May 29, 2022

S04E16: How do you build a portfolio for a human being?

In this episode I speak with David Berns, co-founder and CIO of Simplify ETFs and author of the book Modern Asset Allocation for Wealth Management. Our conversation centers around the idea of what it means to build a portfolio for a human being. This concept arises both technically and philosophically in David’s work, where he…Read more
August 16, 2021

S04E15: Optimizing the Research Process

Today I am speaking with Russell Korgaonkar, CIO of Man AHL. In his role, Russell oversees a large research organization and so we spend a large part of our conversation talking about research management. Russell provides his thoughts on topics such as determining which projects to take on, quantifying investments in technology, data, and people,…Read more
August 9, 2021

S04E13: Thematic Baskets and Strong Balance Sheets

Andrew Lapthorne is the Head of Quantitative Equity Research at SocGen, a role he’s held for nearly 14 years. Given the breadth of topics covered by bank research, it should be no surprise that this conversation takes some wide swings as well. We discuss everything from thematic baskets to style premia and machine learning to…Read more
July 26, 2021

S04E12: Quantitative Credit

In this episode I chat with Greg Obenshain, Partner and Director of Credit at Verdad Capital. Prior to joining Verdad, Greg worked as the high-yield portfolio manager at Apollo Global Management and Stone Tower Capital. Despite his background as a fundamental analyst, Greg is a quant convert. His ideas are still grounded in a strong…Read more
July 19, 2021

S04E11: Liability-Driven Investing

In this episode I speak with Roxton McNeal, Head of Multi Asset Investment Strategy & Allocation at the UPS Investment Trust. Before landing at UPS, Roxton’s career took him through the world of CTAs, developing hedge models for bonny light oil, and working in asset/liability management at General Motors. Each of these roles likely deserves…Read more
July 12, 2021
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