Flirting with Models

Richard Craib, founder and CEO of Numerai — a machine-learning hedge fund that crowdsources models using obfuscated data and staking. He explains why data obfuscation matters, how staking with Numeraire aligns incentives and filters noise, what went wrong in the 2023 drawdown and how risk systems changed, and how agentic AutoML and predictive LLMs shape Numerai’s next moves.

Ruslan Fakhrutdinov, founder of Extended and builder of a decentralized perpetual futures exchange, discusses perp DEX vault design, vault shares tokenization, and risk waterfalls. He explains liquidation mechanics, forced closes, and how vaults act as insurer, lender, and hedger. They also cover cross-asset margin, RFQ spot liquidations, and interest-rate incentives to manage concentration.

Angana Jacob, Head of Research Data at Bloomberg who builds machine-readable cross-asset data for quant strategies. She argues data — sourcing, cleaning, point-in-time accuracy, and pipelines — is the real competitive moat. The conversation covers prioritizing datasets, industrializing pipelines, aligning front-to-back systems, and building AI-ready, interoperable data stacks.

Join Moritz Heiden and Moritz Seibert, co-founders of Takahe Capital, as they discuss their unconventional journey of closing their original fund to launch a nimble Global Markets Fund. They dive into the complexities of trading niche futures and spread trading, highlighting unique markets like California carbon and specialty agriculture. With insights on managing liquidity and risk, they explore why spreads create different opportunities and delve into innovative prediction and event markets. Get ready for a captivating conversation on the cutting edge of systematic investing!

Annanay Kapila, founder and CEO of QFEX, shares insights from his journey in high-frequency trading. He dives deep into perpetual futures, explaining how they differ from traditional futures and their potential in equities markets. Annanay discusses the importance of risk management and why perpetual futures could succeed where tokenization faltered. He elaborates on the benefits of a 24/7 trading environment for better price discovery and smoother transactions. With a passion for DJing, he also reveals how his love for electronic music keeps him grounded.

Jay Rajamony, Director of Alternatives at Man Numeric, brings over 20 years of quant equity experience to the discussion. He reveals how the landscape has changed since the 2007 quant quake, emphasizing the shift in understanding 'alpha' with the rise of alternative data. Jay discusses the balancing act of managing risk in an unpredictable model world and the importance of organizational design in modern quant investing. He also highlights the fading hype of alternative data and how firms must adapt strategies and skill sets to thrive in today's intricate market.

Vladimir Novakovski, the Founder and CEO of Lighter, a decentralized crypto exchange, dives into the future of finance. He breaks down his platform's unique design, featuring a custom ZK rollup on Ethereum, and explains zero-knowledge circuits in simple terms. The conversation covers challenges in bootstrapping liquidity and navigating market manipulation, along with insights from Lighter's private beta. Vlad shares an optimistic vision for DeFi's composability, hinting at how specialized rollups could transform on-chain financial systems. Plus, he reveals his passion for chess!

In this engaging discussion, Antti Ilmanen, Principal and Global Co-head of the Portfolio Solutions Group at AQR Capital Management, shares his expertise on expected returns. He explores the nuances between objective and subjective expectations and the behavioral biases that distort investor predictions. Delving into CAPE ratios, he critiques over-extrapolation by equity investors versus the mean reversion mindset of bond investors. Antti also tackles the myth of U.S. exceptionalism in equity performance and emphasizes the importance of humility in navigating today's complex yield landscape.

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!