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.
Key Points
- Portfolio manager coverage is crucial in a multi-manager hedge fund as it helps PMs understand their performance and maximizes firm P&L through quantitative frameworks, risk analysis, and bespoke problem-solving.
- Factor models, while widely used and considered a solved problem by some, still have significant room for improvement, particularly in terms of choosing the right characteristics, managing multicollinearity, and addressing the complexities of crowding.
- Internal alpha capture can significantly enhance a firm's P&L by efficiently deploying capital, eliminating behavioral biases, and leveraging the combined alpha signals of multiple PMs, though it requires sophisticated operational and analytical capabilities.
In this episode I chat with Giuseppe Paleologo – or Gappy as he likes to be called. Currently on garden leave, Gappy has previously worked in Risk & Quantitative Analytics at Citadel, as Head of Enterprise Risk at Millennium, and most recently as Head of Risk Management at HRT.
We begin the conversation with a discussion as to what a quant researcher actually does at a multi-manager hedge fund. As a semi-support role to the fundamental PMs, Gappy explains how portfolio manager coverage, factor hedging, and internal alpha capture can all work together to help maximize firm P&L.
We then discuss the broad field of factor research and portfolio construction, where Gappy shares some of his strongly held views, both on how factors should be constructed as well as how they should be utilized. Topics include returns versus characteristics, mixing versus integrating alpha signals, single- versus multi-period optimization, and linear- versus non-linear models.
Please enjoy my conversation with Giuseppe Paleologo.
Chapters
| 0:00 | |
| 2:45 | |
| 12:02 | |
| 25:25 | |
| 30:25 | |
| 42:03 | |
| 49:58 | |
| 55:36 | |
| 1:01:20 | |
| 1:04:01 | |
| 1:07:27 | |
| 1:12:14 | |
| 1:15:43 | |
| 1:18:23 | |
| 1:21:32 | |
| 1:25:17 | |
| 1:27:30 | |
| 1:29:41 | |
| 1:31:05 | |
| 1:31:26 | |
| 1:31:50 |
Transcript
Loading transcript...