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

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

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

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

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

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

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

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

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
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