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.

Jason Josephiac - Portable Alpha and Risk Mitigating Strategies (S6E6)

Flirting with Models is the show that aims to pull back the curtain and meet the investors who research, design, develop, and manage quantitative investment strategies.

Join Corey Hoffstein, Chief Investment Officer of Newfound Research, on a journey to explore systematic investment strategies, ranging from value to momentum and merger arbitrage to managed futures.

For more on Newfound Research, visit www.thinknewfound.com.

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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 numerical models that provide differentiated insights into topics such as “why do most individual stocks historically underperform cash,” “how many stocks should an active manager actually hold,” and “how does the uncertainty of uncertainty help explain the equity risk premium puzzle?” With Markku’s work, I’m reminded of the phrase: all models are wrong, but some models are useful.  His outsider’s take provides some unique insights into the benefits, and opportunity costs, of diversification. I hope you enjoy my conversation with Markku Kurtti.  

Markku Kurtti – Diversification is a Negatively Priced Lunch

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 bridge to a discussion on seasonality.  Interestingly, Otto’s research suggests that long-term trend signals are actually capturing seasonality effects! Otto shares his thoughts on different approaches to measuring seasonality, why he believes seasonality emerges in both commodities and financial markets, and how to think about combining trend and seasonality in a single portfolio. Please enjoy my conversation with Otto van Hemert.

Otto van Hemert - Seasonality Everywhere

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 strategies by anchoring them with a strong fundamental understanding. We discuss how fundamental and statistical interpretations can be at odds, how a strong fundamental understanding can help with the identification of emergent risk factors during regime changes, and how best to incorporate fundamental insights while avoiding potential biases from the analysts who deliver them. Please enjoy my conversation with Clayton Gillespie.  

Clayton Gillespie - A Fundamental View of Quant Equity (S7E5)

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 producers and consumers.  By understanding their business incentives, Hari believes he is better able to understand their market positioning and the potential imbalances created in both futures and options markets. We discuss the conditional impacts of price on real world costs, how perishability impacts derivative markets, and the influence of seasonality. I hope you enjoy my conversation with Hari Krishnan.

Hari Krishnan – Hedging a Commodity Bull Market (S7E4)

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 skewness.  Less commonly discussed among multi-asset strategies, Nick wrote one of the preeminent papers on the topic and provides considerable insight into the nuance of implementing a skewness strategy. Finally, Nick shares his thoughts on building multi-strategy portfolios, both in theory as well as with respect to meeting client needs. I hope you enjoy my conversation with Nick Baltas.

Jason Josephiac - Portable Alpha and Risk Mitigating Strategies (S6E6)

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