Flirting with Models

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.

Giuseppe Paleologo, a seasoned quant researcher known for his work at top hedge funds like Citadel and Millennium, shares his insights on the complex world of multi-manager funds. He explains the role of quant researchers in maximizing profitability through factor analysis and risk management. Gappy dives into the intricacies of portfolio construction, emphasizing the importance of characteristics over returns. The conversation also touches on balancing quantitative and fundamental approaches, illustrating how these strategies can empower investment decision-making.

Corey Hoffstein, a specialist in managed futures from Newfound Research, joins the discussion on innovative investment strategies. He dives into return stacking, revealing how it enhances capital efficiency in portfolios. The conversation touches on the complexities of diversifying beyond traditional methods, the impact of high-interest rates, and leveraging alternative assets. Hoffstein also navigates the evolution of investment strategies post-2008 and shares insights on the role of personality in successful asset management.

Kris Abdelmessih, co-founder of moontower.ai and a seasoned market maker, shares his journey from the bustling trading pits to the digital world of volatility. He emphasizes the importance of real-time learning in trading. Kris discusses the shift from market making to relative value trading and the critical role of firm lineage in shaping traders. Delving into his new venture, he introduces tools for leveraging a volatility lens in options trading. The conversation also touches on how board games can enhance strategic thinking in trading.

Former discretionary energies trader Bill Gebhardt, now founder of 10Dynamics, discusses the transition to systematic trading, emphasizing signal incorporation, risk management, and operational strategies. Topics include trend-following models, balancing long-term trends with risk control, risk management in trading programs, operational challenges in shortening time frames, and systematically replicating discretionary commodity trading using Python.