Antti Ilmanen - Understanding Return Expectations (S7E21)

Corey Hoffstein welcomes Antti Ilmanen to discuss his latest paper series on expected returns. They explore objective vs. subjective expected returns, analysts' overoptimism, macro surprises, valuation changes, and market rationality, focusing on CAPE's role in investment analysis. They examine growth extrapolation, capital market assumptions, and the efficient market hypothesis, comparing equity and bond market expectations. Other topics include mean reversion in rate expectations, US exceptionalism, and AI's impact on asset yields. Antti shares insights on AQR's approach and the risks of relying on published data, concluding with future topics and personal interests.

Chris Carrano – Factor Models, Institutional Insights, and Portfolio Diagnostics (S7E20)

Join Corey Hoffstein and Chris Carrano as they explore Chris's journey to his role at Venn by Two Sigma. They dive into risk analysis, factor-based investing, and the limitations of traditional asset class frameworks. Discover the adoption of factor analysis in institutional investing, focusing on parsimonious modeling and balancing robustness with interpretability. The discussion covers portfolio construction, surprises in diversification, transparency challenges, and analyzing private asset returns. Chris also shares insights into stress testing, scenario analysis, and translating diagnostics into strategies. Plus, a glimpse into his interest in Pokemon cards.

Jeff Rosenberg - The Past, Present, and Future of Systematic Fixed Income (S7E19)

In this episode, Corey Hoffstein chats with Jeff Rosenberg about his career in quant fixed income, its evolution, and the impact of financial crises on strategies. Jeff discusses the shift from sell-side to buy-side roles, systematic innovations post-2008, and BlackRock's approach. They cover factor investing in credit, signal categorization, and AI's influence on new signals. Jeff shares insights on achieving pure alpha, managing factor exposures, and ETFs' impact on liquidity.

Edward Yu – Bringing OTC On-Chain and the VariationalOMNI Perp Dex (S7E18)

Corey Hoffstein speaks with Edward Yu about his journey from the early days of crypto OTC markets to co-founding Variational. Edward shares insights into the evolution of crypto trading, the challenges of pricing in OTC markets, and the importance of understanding client relationships. They discuss Variational's mission to bring the OTC derivatives market on-chain by introducing programmable primitives. Edward explains OMNI, a decentralized perpetual futures exchange, and its unique RFQ structure designed to provide deep liquidity. The conversation also covers risk management, competition among crypto exchanges, and the balance between decentralization and user experience in protocol design.

Benjamin Hoff – Commodity Futures Surfaces and the Cash-and-Carry Glue (S7E17)

My guest this episode is Benjamin Hoff, Global Head of Commodity Strategy and Research at Société Générale. Ben started his career in rates before making the jump to commodities, and that lens—shaped by curve arbitrage, convexity, and carry—colors everything he does. In this conversation, we explore how commodities differ fundamentally from other asset classes: the importance of cash-and-carry economics, the sparse information cadence that rewards technical models, and the physical realities that challenge purely quantitative approaches. We also dive into Ben’s more recent work on the geometry of the futures surface, how convexity and skewness may be misunderstood, and why tools like Lévy area might help uncover non-linear structure in the data. Whether you’re deep in the weeds of term structure trading or just curious about how to systematize chaos in barrels and bushels, this is a conversation you won’t want to miss.

Roxton McNeal and Siddharth Sethi – Building Multi-Strategy QIS Portfolios (S7E16)

My guests today are Roxton McNeal, Managing Director and Head PM of QIS Investments and Siddharth Sethi, portfolio manager and Head of QIS structuring. Together, they’re spearheading the development of QIS-driven solutions at Simplify. In this conversation, we explore what it takes to build and manage a multi-strategy QIS portfolio—from infrastructure requirements to portfolio construction and risk management. We discuss: • The structural vs. academic premia distinction and why it matters. • How Simplify evaluates and customizes QIS offerings from banks. • The need and challenges of dynamic allocation across dozens of strategies. • How QIS strategies integrate with traditional beta portfolios. • The operational and counterparty considerations of trading these strategies. For those interested in the practical realities of QIS investing, this episode provides a deep dive into both the opportunities and challenges of running a systematic, multi-strategy portfolio.

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.