Flirting with Models

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.

Nicolas Mirjolet, CEO of Quantica Capital, discusses the challenges of scaling a statistical arbitrage fund and the advantages of larger players in asset management. He explains Quantica's multivariate trend-following approach, emphasizing the trade-off between diversification and convexity in trend strategies.

Financial experts Corey Hoffstein, Rodrigo Gordillo, Mike Philbrick, and Adam Butler discuss Return Stacking, market efficiency, and innovative investment strategies. They explore structured diversification, creating excess returns, and portfolio sustainability beyond traditional stock picking. The podcast provides valuable insights for navigating modern markets with confidence.

Markku Kurrti, a electrical engineer turned finance enthusiast, discusses analytical models on stock underperformance, active manager strategies, and the equity risk premium puzzle. He challenges traditional beliefs on diversification numbers, emphasizing the benefits for long-term success and optimizing returns. Exploring concepts like compound growth, leverage, and Kelly criterion, he provides unique insights into the financial landscape.

Otto van Hemert, Director of Core Strategies at Man AHL, discusses trend strategies, inflation resilience, seasonality in markets, and combining trend and seasonality in portfolios. He shares insights on measuring seasonality, the emergence of seasonality in commodities and financial markets, and the impact of long-term trend signals capturing seasonality effects.