Flirting with Models

In this episode, Corey Hoffstein, CIO of Newfound Research, Rodrigo Gordillo, President of ReSolve Global* and Adam Butler, CIO of ReSolve Global, delve into the concept of return stacking and introduce the innovative RSBT Return Stacked™ Bonds & Managed Futures ETF.This podcast is essential for investors, financial advisors, and anyone interested in learning more about return stacking, the RSBT ETF, and the potential benefits of combining bonds and managed futures for portfolio diversification and risk management. Don't miss out on this insightful conversation to deepen your understanding of these innovative investment strategies and their potential impact on today's complex financial markets.They cover a wide range of topics, including: • The motivation behind the return stacking concept and its relevance in today's market environment • The history of institutional leverage and diversification in retail portfolios • The advantages of using return stacked strategies for portfolio construction and risk management • The role of bonds and managed futures in building a robust, diversified investment portfolio • The importance of low correlation between asset classes for effective diversification • The mechanics of combining bond exposure with a managed futures overlay in the RSBT ETF, including the use of cash collateral and Treasury Futures • The benefits of using ETFs as capital-efficient building blocks for return stacking • The potential for a family of return stacked ETF products to address various investor needs and preferences • The significance of managed futures as a "third leg of the stool" for managing inflation and mitigating market risks • The challenges and opportunities related to implementing managed futures strategies and managing leverage in retail portfolios • The goal of matching the RSBT ETF's bond strategy to core US fixed income, such as the Bloomberg US Core Aggregate Bond Index, and adjusting duration accordingly

Today I speak with Pim van Vliet, Head of Conservative Equities at Robeco.It will come as no surprise, to those who know Pim’s work, that we spend the majority of this conversation talking about conservative investing. Specifically, we discuss the low volatility anomaly. But rather than rehash the usual high level talking points, I wanted to dig into the more practical considerations.For example, how are low volatility and low beta different? How do selection and allocation effects contribute to low volatility investing? Are low volatility and quality actually different anomalies? And how should we think about the influence of currency in a global low volatility portfolio? While Pim has nearly three dozen research publications to his name, he provides the balanced perspective of a practitioner, acknowledging the practical limitations to managing money in the real world.Please enjoy my conversation with Pim van Vliet.

In this episode I speak with Asif Noor, Portfolio Manager at Aspect Capital where he oversees the firm’s Multi-Strategy Program.Asif has spent the last 25 years of his career developing systematic macro strategies, giving him a depth and breadth of experience to understand what it takes to remain competitive in the space.While a handful of low frequency signals may have been sufficient a few decades ago, today Aspect’s Multi-Strategy Program incorporates hundreds of alpha forecasts ranging from intraday to several months. But this evolution also brings new challenges, which we discuss at length in this episode. For example, how are new alphas introduced and old alphas sunset? How do you unify alphas of different magnitudes and convictions? Or, how do you manage risk across so many signals?This conversation is chalk full of the practical, real world experiences of running a multi-strategy program.Please enjoy my conversation with Asif Noor.

My guest is Rob Croce, Senior Portfolio Manager at Newton Investment Management Group. This episode is all about what Rob considers to be the two super factors: trend and carry.  More importantly, how Rob uses them to inform how risk is taken within asset classes, across asset classes, and over time. Rob is not afraid to get in the weeds, either.  For example, on the trend side we discuss details such as how to combine trend signals of different speeds, how to balance the probability of a trend signal being noise versus its likelihood of continuing, and how trend signals can be improved using clustering ideas. From high level thoughts about diversification to low level details about measuring bond carry correctly, there’s a lot to unpack in this episode. Please enjoy my discussion with Rob Croce.

In this episode I speak with Michele Aghassi, principal at AQR Capital Management where she serves as a portfolio manager for the firm’s equity strategies. The conversation spans three major points: optimization, the opportunity in emerging equities today, and factor investing.  While these are the headline topics, the underlying theme of the conversation, in my opinion, is the idea of unintended bets.   More specifically, how controlling for unintended bets, whether through optimization or thoughtful consideration, can sharpen your resolve in your conclusions.  Whether it is the influence of China in emerging markets, the influence of currency in foreign equity returns, or crowding effects in factors, being aware of the potential for unintended bets can shape the how, where, and even the when of portfolio construction. Please enjoy my conversation with Michele Aghassi.

In this episode I chat with Jason Josephiac, Senior Vice President and Research Consultant at Meketa Investment Group.   Jason has largely spent his career in the institutional allocation space, first in manager research at United Technology’s pension and now on the consulting side of the table. Given this background, I spend the first half of the conversation trying to peel back the layers of how Jason thinks allocators should attack the portfolio construction process.  This includes his views on the risks of LDI, portable alpha in theory versus practice, and why he prefers to view the world in an absolute risk / absolute return framework. In the back half of the conversation we discuss Meketa’s Risk Managed Strategies framework, with its three buckets of first responders, second responders, and diversifiers.  We cover topics such as long volatility, managed futures, and what actually constitutes a diversifier. I hope you enjoy my conversation with Jason Josephiac.

In this episode I speak with the anonymous twitter user @macrocephalopod. The arc of our conversation follows the arc of his career: beginning with slow-frequency style premia in a hedge fund to building a prop desk that trades mid-to-high frequency strategies in crypto. A large part of the conversation can be characterized as comparing and contrasting the roles through the lenses of research, operations, and risk management.  For example, in what ways is long/short equity meaningfully different than long/short crypto?  Or, how important are topics like market impact, fill ratios, and borrow fails in mid- versus slow frequency strategies? While crypto is the venue, I believe the wisdom imparted in this episode spans all markets. Please enjoy my conversation with @macrocephalopod.

My guest is Roni Israelov, CIO of NDVR.  Prior to NDVR, Roni was a principal at AQR Capital Management, where he worked on global risk models, high frequency factors, and lead the development and oversight of options-oriented strategies. Taking a page from Roni’s career and research, our conversation is far ranging.  We discuss topics from global asset risk models to the application of high frequency signals to tail risk hedging.  While there are insights to glean in each of these topics, I think the conversation helps paint an insightful picture about how Roni thinks about research in general. Towards the end of the conversation we talk about the new research Roni is tackling at NDVR, a financial advisory firm for high net worth individuals.  The role brings new challenges to consider, such as liability management and risk tolerance within the framework of portfolio optimization.  Even though the topics differ, I think you’ll hear a very common thread in how the research is performed. Please enjoy my conversation with Roni Israelov.  

Doug Colkitt is an ex-high frequency trader, ex-MEV bot searcher, and founder of the decentralized exchange CrocSwap. In this episode, we talk about all three.  We begin with high frequency trading, where Doug walks us through the differences between maker and taker strategies, why queue position is so critical for makers, and why volatility is a high frequency trader’s best friend. We then discuss Ethereum-based MEV strategies.  Doug explains what MEV is, how the architecture of the Ethereum block chain allows it to exist, and a high level topology of the different types of MEV strategies that exist.  He also explains how the game theory behind MEV changed dramatically with the launch of Flashbots. Finally, we talk about his new decentralized exchange CrocSwap and its primary innovations, including dynamic fee levels, identification of toxic flow, and vaults that enable KYC. I hope you enjoy my conversation with Doug Colkitt.

My guest this episode is Jeff Yan, founder of Chameleon Trading.   Jeff began his career in high frequency trading at Hudson River Trading but soon moved over to the world of crypto where he built one of the largest market making firms in the space. After Jeff gets me up to speed with the basics of high frequency market making, we dive into some of the more esoteric components, particularly with respect to centralized crypto exchanges.  These include infrastructure quirks, adversarial algorithms, and why HFT P&L might actually be predictive of medium-term price movement. In the back half of the conversation, Jeff explains the problems he sees with current decentralized exchanges and introduces Hyperliquid, a new decentralized trading platform built on its own blockchain to provide performant order book execution for perpetual futures. Please enjoy my conversation with Jeff Yan.