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 str...

Scott Phillips is just the second independent trader I’ve interviewed for this show.

Like many independent traders, Scott found that his constraints – including the size of their capital pool, the ability to execute trades efficiently, and a lack of supporting infrastructure – made trading anything but loose-pants trend following almost impossible in traditional markets.

These constraints led Scott to look for easier markets t...

Today I’m talking to Thao Tran, Co-founding Partner at Vamient Capital.

This episode was born from a question I had watching the NFT market place: how do you make markets in illiquid, non-fungible assets? Clearly people were doing it and I wanted to know how it differed from traditional market making.

Several people recommended I speak with Thao, and she was kind enough to oblige, despite NFT market making being just a small compone...

My guest today is Victor Haghani, founder of Elm Wealth.

Victor is, in many ways, one of the last tactical asset allocators standing after the 2010s. That might be because Victor wouldn’t categorize himself as such. Rather, he sees his dynamic index investing approach not as a tactical alternative to traditional static portfolios, but as the rational approach for anyone starting from first principles.

This conversation dances bet...

In this episode of the Get Stacked

Investment Podcast, Corey and Rodrigo have an insightful conversation with

Jonathan Glidden, Chief Investment Officer of the Delta Airlines Pension Plan.

Since joining in 2011, Jonathan has been pivotal in elevating Delta’s pension

plan funded status from 38% to over 100%. They delve into Jonathan's

unconventional career journey, his implementation of portable alpha strategies,

and share valuable lesson...

In this episode, I speak with Farouk Jivraj, Portfolio Manager and Head of Alternative Risk Premia at Fidelity Investments’ Asset Management Solutions division.

After spending nearly a decade on the sell side, Farouk joined Fidelity in 2021 with the goal of building out an alternative risk premium platform, tapping into the best of what both the sell-side QIS desks have to offer and what can be built in-house.

We spend the majority o...

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 t...

My guest in this episode is Kris Abdelmessih, co-founder of moontower.ai.

Kris began his career at SIG, where he worked as a market maker in several different option pits, before moving to Parallax where he ran a relative value commodities volatility book. For the last five years, Kris has been writing on his blog Party at the Moontower, which is one of my favorite reads for all things probability, payoff space, trading, optionalit...

In this episode I speak with Bill Gebhardt, founder of 10Dynamics.

Bill spent the better part of his career as a discretionary energies trader, with roles at Koch Industries, Merrill Lynch, Deutsche Bank, and Trailstone. In May 2020 he struck out on his own to co-found 10Dynamics.

Given Bill’s fundamental and discretionary background, it may come as a surprise that 10Dynamics runs a fully systematic process. This dichotomy serves a...

In this episode, I speak with Nicolas Mirjolet, CEO and Co-Head of Research at Quantica Capital.

We begin with Nicolas’s experience operating a statistical arbitrage fund, where he provides his thoughts as to what makes a strategy easier or harder to scale a business on. Nicolas also provides some context for his somewhat counter-intuitive view that the larger players had a bigger edge in this capital constrained space.

We then tran...

Welcome to the inaugural episode of the Get Stacked Investment Podcast. This episode brings together Corey Hoffstein, Rodrigo Gordillo, Mike Philbrick, and Adam Butler to dive deep into the concepts of Return Stacking, market efficiency, and investment strategies beyond traditional stock picking. Providing insights into Return Stacking's relevance in today's investment landscape, the importance of structured diversification to enha...

In this episode I chat with Markku Kurtti, author of the blog Outcast Beta.

Markku is classically trained as an electrical engineer and works on receiver algorithms for mobile phones. A passion for investing, however, lead him to pursue an MS in Finance and an interview with Ed Thorp compelled him to devote his time to better understanding compounding processes.

This obsession has driven him to develop a number of analytical and num...

In today’s episode I speak with Otto van Hemert, Director of Core Strategies at Man AHL.

After briefly touching upon Otto’s background, we dive into one of his most popular papers: The Best Strategies for Inflationary Times. Otto shares the inspiration for the research as well as some of what he feels were the less obvious results.

Trend strategies, which were a standout winner in the inflation resilience horse race, serve as the br...

My guest this episode is Clayton Gillespie, VP at Deutsche Bank where he works in quant equity research for the QIS team.

Clayton began his career at Credit Suisse HOLT, where he got his hands dirty in extracting fundamental information. This formative experience dramatically impacted how he views how fundamentals should be incorporated into quantitative equity strategies.

Today, at DB, he strives to improve quantitative equity stra...

In this episode I am joined by Hari Krishnan, Head of Volatility Strategies at SCT Capital and author of the books Second Leg Down and Market Tremors.

This is Hari’s second appearance on the show, but he comes to us with a very different topic: how to develop a low carry hedge for a commodity bull market.

Taking a similar line of thinking to his book Market Tremors, Hari evaluates the market through the perspective of both commodity ...

In this episode I speak with Nick Baltas, Managing Director at Goldman Sachs and head of cross-asset delta one, commodity, and stocks strategies R&D and Structuring.

There are three major discussion points in this episode. First, we discuss how Nick thinks about using the broad palette of systematic strategies he has at his disposal to solve the problems of asset owners.

Second, we discuss Nick’s research on cross-asset skewne...

In this episode I speak with Bin Ren, founder of SigTech, a financial technology platform providing quantitative researchers with access to a state-of-the-art analysis engine.

This conversation is really broken into two parts. In the first half, we discuss Bin’s views on designing and developing a state-of-the-art backtesting engine. This includes concepts around monolithic versus modular design, how tightly coupled the engine and...

In this episode I speak with Charles McGarraugh, Chief Investment Officer of Altis Partners.

Charlie finds himself at the helm of Altis from a non-traditional route. His career began at Goldman, where his experience spanned everything from asset backed securities to liquid commodities. He then started a firm specializing in machine-learning driven sports betting before moving into cryptocurrency markets. Today, Charlie is betting...