Flirting with Models

In this conversation, Chris Carrano, Vice President of Strategic Research at Venn by Two Sigma, shares his extensive experience in factor modeling and risk assessment. He explains the philosophy behind using 18 orthogonalized factors and the blend of Lasso and OLS to prevent overfitting. The discussion covers the challenges of analyzing private markets, the importance of interpretability in models, and actionable insights from factor results. Carrano even touches on personal interests, like his idea for a Pokémon card index as a market benchmark.

Jeff Rosenburg, Managing Director at BlackRock, is a leader in active and factor investments for systematic fixed income. He discusses the evolution of quant fixed income, detailing its journey from sell-side to buy-side strategies. Jeff highlights the significance of characteristic specificity in fixed income and how ETFs have revolutionized liquidity. He also explores the challenges of integrating equity models into fixed income, emphasizing the nuances of factor neutralization and adapting to changing market dynamics. Expect insights into the future of fixed income investing!

Edward Yu, co-founder of Variational, dives into the evolution of cryptocurrency OTC markets and the complexities of pricing derivatives. He discusses the innovative shift towards decentralized perpetual exchanges with the OMNI platform, focusing on its unique liquidity provider structure that ensures depth across various assets. Yu highlights the risks and benefits of this approach, ultimately shedding light on the future dynamics of crypto trading and the importance of adapting to client needs in a rapidly changing landscape.

Benjamin Hoff, Global Head of Commodity Strategy and Research at Société Générale, shares his insights from his transition from rates to commodities. He discusses the unique cash-and-carry economics that differentiate commodities and delves into the complexities of commodity risk premiums. Hoff also introduces innovative metrics like the Lévy area to enhance trading strategies. The conversation highlights the interplay of market dynamics, seasonality, and the importance of specific trading signals, making it a compelling listen for anyone interested in commodities.

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.I hope you enjoy my conversation with Roxton McNeal and Siddharth Sethi.

Scott Phillips, an independent trader specializing in crypto markets, shares his insights into navigating the volatile world of cryptocurrencies. He discusses the challenges of limited resources in traditional trading and how this spurred his shift to crypto. Scott delves into evaluating trading venues, the predictive power of Bollinger Bands, and the unique market dynamics shaped by meme coins and decentralized finance. He also emphasizes the importance of risk management and offers practical advice for new traders looking to thrive in this rapidly evolving landscape.

Thao Tran, Co-founding Partner at Vamient Capital, dives into the intriguing world of illiquid, non-fungible assets like NFTs and cryptocurrencies. She explores how the NFT marketplace has evolved over time and shares insights on managing inventory risk. Thao highlights the shift in crypto dynamics post-FTX and the importance of decentralized exchanges. She also discusses how on-chain transparency and metrics are reshaping trading strategies, emphasizing the need for traders to adapt in this rapidly changing landscape.

Victor Haghani, founder of Elm Wealth and a pioneer in dynamic index investing, discusses the evolution of investment strategies after 2011. He argues for a rational, principle-based approach to asset allocation, emphasizing simplicity in forecasting returns. Victor explains the critical balance between risky and safe assets while navigating equity market risks. He delves into the role of discount rates and earnings expectations in market volatility and critiques traditional portfolio management, advocating for adaptive strategies that focus on risk-adjusted returns.

In this conversation with Jonathan Glidden, Chief Investment Officer of Delta Airlines Pension Plan, he shares his remarkable journey from engineering to finance. He discusses the innovative portable alpha strategies that transformed Delta's pension plan funded status from 38% to over 100%. Jonathan highlights key lessons learned from financial crises, such as 2008 and COVID-19, while emphasizing the importance of risk management and liquidity. This episode is a treasure trove of insights for anyone interested in optimizing pension fund management.

In this conversation with Farouk Jivraj, a seasoned portfolio manager at Fidelity Investments, listeners will discover the intricacies of alternative risk premia strategies. He outlines a practical 5-step approach for effectively implementing these strategies. Farouk emphasizes the significance of thoughtfully-constructed peer groups and the importance of adapting to market dynamics. The discussion also covers the role of technology in finance, the potential hazards of p-hacking in research, and how active management enhances portfolio performance.