Scott Phillips - Finding Ugly Edges in Crypto Markets (S7E15)

Corey Hoffstein chats with Scott Phillips about his shift from traditional trading to the crypto world. They discuss Scott's focus on trend following and managing a diverse crypto portfolio. The episode covers execution frequency, infrastructure challenges, and feature selection. Scott shares insights on volatility normalization, execution strategies, and unique crypto market aspects like crime indicators and meme coins. They also touch on decentralized finance, Bitcoin's future, and advice for new traders.

Thao Tran – Market Making Illiquid, Non-Fungible Assets (S7E14)

Corey Hoffstein and Thao Tran discuss Thao's career shift to cryptocurrency, touching on NFT trading, market making, pricing strategies, and risk management. They explore decentralized trading, capital management, and Thao's personal journey in starting a new trading venture.

Victor Haghani – The Last of the Tactical Allocators (S7E13)

Corey Hoffstein engages with Victor Haghani to delve into Victor's investment philosophy and the foundation of Elm Wealth. They explore the role of dynamic asset allocation and ETFs in modern investing, alongside client onboarding and portfolio construction. The discussion extends to expected returns, risk measures, and the simplicity versus complexity debate in investment metrics. Victor shares insights on market risk, the equity risk premium puzzle, and market efficiency debates. They also touch on private markets, benchmarking, and the challenges of expected returns. The episode wraps up with Victor's current research interests and future plans.

Jonathan Glidden - Saving Delta's Pension with Portable Alpha

Corey Hoffstein, Rodrigo Gordillo, and Jonathan Glidden discuss portable alpha strategies, focusing on Jonathan's work with Delta Airlines. They delve into hedge fund evaluations, risk management, asset allocation, and liquidity challenges while offering insights into governance and new alpha opportunities.

Farouk Jivraj - The Art & Science of Using Alternative Risk Premia (S7E12)

Corey Hoffstein engages with Farooq Jhaveraj to discuss his insights and experiences with Fidelity's Alternative Risk Premia (ARP) platform. They explore the key learnings and objectives of alternative risk premia, alongside Fidelity's strategic approach to strategy selection and avoiding overfitting. The conversation delves into Farooq's five-step portfolio design process, collaboration with banks, and defining long-term investment objectives. They also cover constructing robust peer groups, strategy selection, and transitioning risk management. The episode examines trade-offs in replication and diversification strategies, the role of alternative risk premia in asset allocation, and ongoing evaluation of portfolio sizing and P hacking.

Giuseppe Paleologo - Multi-Manager Hedge Funds & Thinking Deeply About Simple Things (S7E11)

Corey Hoffstein chats with Giuseppe Paleologo about his career and complex role. They cover portfolio management, historical trading data analysis, and hedging in multi-manager platforms. Giuseppe explains alpha, internal alpha capture, and factor models in hedging, discussing challenges like crowding risk and hedge fund consolidation. They debate portfolio construction, alpha signal combination, and factor models beyond equities. The episode explores future directions for factor research, integrating old and new finance technologies, and Giuseppe's personal interests and risk-taking philosophies.

Talk Your Book: Return Stacking [REPLAY]

Corey Hoffstein shares insights on rebalancing luck, diversification strategies, and return stacking. The episode explores leveraging financial futures, managed futures performance, and the risks of leveraged ETFs. New ETF products and diversification trends are also discussed.

Kris Abdelmessih - Life Through a Volatility Lens (S7E10)

Corey Hoffstein is joined by Kris Abdelmessih to explore Kris's transition from electronic to relative value trading. They discuss differences between market making and relative value trading, and the influence of mentorship on Kris's approach. The episode delves into discretionary versus systematic trading, particularly within the context of 2020's oil market dynamics, and the role of AI in trading. Kris introduces MoonTower AI, highlighting its purpose and audience, while discussing the evolution of trading strategies in commodities markets. The conversation touches on retail volatility trading, integrating stock opinions with options strategies, and Kris's passion for board games and their parallels to trading.

Bill Gebhardt - Replicating Discretionary Commodity Trading Systematically (S7E9)

Corey Hoffstein converses with Bill Gebhardt about his transition from engineering to finance and his current role at ten Dynamics. They explore the intricacies of risk management, the dangers of optimization, and the balance between long-term and short-term trend signals. The discussion covers transaction costs, time factors in trend analysis, and the importance of robustness in binary signals. Bill shares insights into systematic trading, including risk budgeting strategies and market condition cyclicality. They also touch on trading individual stocks, European commodities, and the operational complexities of shorter time frames. The episode concludes with Bill's philosophical interests and reflections on consciousness.

Nicolas Mirjolet - Multivariate Trend Following (S7E8)

Corey Hoffstein chats with Nicolas Mirjolet about scaling statistical arbitrage strategies and the advantages of larger players. They explore Quantica's managed futures program, comparing multivariate and univariate trend-following methods, and the role of correlation in signal generation. The episode covers market applicability, historical outperformance, and innovations in trend following. Nicolas discusses adding markets, estimating correlation matrices, and achieving risk diversification. They also analyze recent trend-following environments and offer insights on investment diversification and the trade-offs between diversification and convexity in trend programs.

[PREVIEW] Enter the New World of Return Stacking | Get Stacked Podcast

The episode features a crossover with Resolve Asset Management, exploring topics like market efficiency, alternatives to stock picking, and the challenges of active management. Discussions cover AI's impact, reallocating risk, and behavioral vs. statistical time. It introduces all-terrain investing, risk parity with carry strategies, and reimagining retirement portfolios.

Markku Kurtti – Diversification is a Negatively Priced Lunch (S7E7)

Corey Hoffstein welcomes Markku Krävätti to delve into Markku's background in finance and his insights on the compounding process. They discuss the Kelly criterion, drawdown risk, and stock diversification, exploring the debate on what constitutes sufficient diversification in stock portfolios. Markku shares valuable lessons for active stock pickers, analyzing the performance of the largest stocks and their growth rates. The conversation examines geometric growth, expected drawdowns, and empirical testing, comparing leveraged and all-equity portfolios. They address the equity risk premium puzzle and the implications of theoretical models on real-world investing. The episode concludes with a summary of key research findings and takeaways.

Otto van Hemert - Seasonality Everywhere (S7E6)

Corey Hoffstein and Otto van Hemert delve into Otto's background in macro strategies and insights from the financial crisis. They discuss the role of behavioral signals versus value models in trading and the significance of calendar patterns in systematic trading. Otto shares his journey in starting a systematic macro fund and provides an overview of his paper on strategies for inflationary times. The conversation covers portfolio construction for varying inflation scenarios, seasonality, and trend following in research. They explore the overlap of seasonality with carry trades and how strategy design is influenced by research. Otto highlights the strengths of systematic investing, risk management, and the potential of generative AI in finance.

Clayton Gillespie - A Fundamental View of Quant Equity (S7E5)

Corey Hoffstein and Clayton Gillespie discuss Clayton's career and the intersection of quantitative equity and fundamental analysis. They explore reconciling views on growth stocks like Amazon, bottom-up valuation, and balancing quant with discretionary methods. Topics include equity reversion strategies, factor evolution during COVID, and using fundamental data in quant strategies. They also cover regime changes, designing fundamental versus statistical factors, eliminating biases, and using large language models. The episode concludes with insights on risk management, improving alpha signals, multifactor strategy enhancements, and premium extraction.

Hari Krishnan – Hedging a Commodity Bull Market (S7E4)

Corey Hoffstein and Hari Krishnan dive into the complexities of commodity markets, discussing client-directed research, trading options on futures, and grain markets. They explore hedging asymmetry, trend following strategies, and the dynamics of depressed commodities. Hari shares insights on right tail underpricing, consumer behavior, and a forgotten commodity. The episode contrasts fundamental and quantitative approaches, addressing liquidity constraints and examining perishability, seasonality, futures spreads, and options. They wrap up with Hari's personal goals, future research interests, and inspirations.

Nick Baltas - Multi-Asset, Multi-Strategy Portfolios (S7E3)

Corey Hoffstein and Nick Baltas delve into Nick's career in systematic investing and the evolution of client utility functions. They discuss categorizing and integrating systematic strategies, the future of quant equity, and banks' advantages. The conversation covers equity factors, momentum, and thematic serial correlation, plus multi-asset strategies and defensive implementations. They explore skewness in investment strategies, including measurement, implementation, and theories behind the skewness premium. The episode also addresses portfolio construction, historical vs. forward-looking skewness, cross-asset strategies, capacity risk, and Nick's current obsessions.

Bin Ren – text2quant (S7E2)

Corey Hoffstein and Bin Ren explore the intersection of AI and finance, focusing on the integration of large language models into systematic trading. They discuss Bin's transition from Brevin Howard to developing advanced backtesting engines and the importance of coupling these with data models. The episode delves into the flexibility of trading timing, incorporating alternative data, and integrating AI models like ChatGPT. They address the challenges of API design, handling queries, and understanding context in language models. The conversation covers the shift from code-centric to text-based strategies and the evolving role of quant researchers with AI. Cultural perspectives on AI in finance and future implications are also explored.

Charles McGarraugh - "Change in the Market is Accelerating" (S7E1)

Corey Hoffstein engages with Charles McGarraugh to explore his diverse career path and transitions across various markets, including OTC, sports betting, and crypto. The discussion highlights the history and technology stack of Altus Partners, addressing challenges like market data nonstationarity and integrating alternative datasets. They delve into portfolio construction, risk management, and adapting to market changes, with a focus on institutional volatility and investment design for diversification. The episode examines the suitability of alternatives and ETFs, implications of non-stationary risk for active management, and balancing research priorities. They conclude with a discussion on asset duration and market expectations.

Andrew Beer & Adam Butler - Attack of the Managed Futures Clones

Corey Hoffstein is joined by Andrew Beer and Adam Butler to delve into the intricacies of managed futures replication. The discussion covers market selection, rebalancing, and the challenges of factor and returns-based replication. They examine the impact of bond rallies, correlation structures, and the performance of replication strategies over time. The episode also explores top-down and bottom-up approaches, addressing risks and accuracy in replication. The importance of ETF structure and the trade-offs in managed futures construction are highlighted. The conversation simplifies managed futures for a younger audience and concludes with thoughts on diversification in the replication space.

Dean Curnutt - The Reflexivity of Equity Volatility (S6E16)

Corey Hoffstein and Dean Curnutt delve into Dean's career, from the 1987 stock market crash to insights from LTCM. They discuss shifts in Fed communication, market efficiency, and European banks' role in recycling correlation risk. Topics include options on variance, the Global Financial Crisis, and regulatory changes. They also explore reflexivity, meme stocks, and market dynamics like the UK systemic risk event and equity volatility. Dean shares his experience launching Macro Risk Advisors and the smart brokerage model, highlighting volatility's value in investment strategies. The episode concludes with insights from the MacroMinds foundation and a tarot card exercise.