Flirting with Models

In this episode I speak with Jeffrey Baird, managing partner at Merritt Point Partners. Merritt Point Partners seeks to build diversified portfolios of convexity exposure through the commodities market. With that in mind, we talk about what makes the commodities market unique, who the players are, and the types of trades that Jeff looks for. Stepping somewhat outside of the theme for this podcast,...

My guest in this episode is Dr. Ernest Chan, founder of QTS Capital Management. Investor, researcher, and educator, Ernie is well-known for his blog – which he has been publishing since 2006 – as well as the several books he has authored, including Quantitative Trading, Algorithmic Trading, and Machine Trading. Our conversation meets at the intersection of tail risk hedging and machine learning. E...

In this episode I speak with Jim Masturzo, Head of Asset Allocation at Research Affiliates. In his role, Jim oversees the research and publication of the firm’s capital market assumptions as well as the implementation of those views into a suite of tactical portfolios. We begin our conversation discussing the foundational assumptions behind the capital market assumptions. Like most firms, Research...

Today I am speaking with Benn Eifert, founder and CIO of QVR Advisors. Benn is my first repeat guest on the podcast, making his first appearance in Season 2. When I asked listeners who they wanted on for Season 3, he was high on the list. In this episode, we take things in a bit of a different direction. Rather than a normal interview, I use this opportunity to ask Benn about his opinion on a numb...

In this episode I am joined by Michael Krause, co-founder of Counterpoint Asset Management and Counterpoint Mutual Funds. Our conversation covers two major topics. In the first half, we discuss some of the nuances of high yield bond timing and the subtleties of strategy construction. In the second half, we discuss long/short equity strategies. For listeners more interested in the technical, this i...

My guest today is K.C. Hamann, founder of AQIS LLC. K.C. is a Warren Buffett disciple and spent his first decade in the industry working as an analyst at discretionary, deep value long/short equity hedge funds. Which probably makes him sound like an odd guest for a podcast all about quantitative investing. K.C.’s experiences, however, lead him to identify a number of biases that he believes pollut...

My guest today is … me. But rather than interview myself, my co-portfolio manager Nathan Faber joins the podcast to take the reigns. In this episode, we talk all things rebalance timing luck. It’s been an obsession of mine for years and something we believe to be a dramatically misunderstood and outright ignored source of risk in portfolios. We discuss how we first came across the topic, some rece...

My guest in this episode is Daniel Grioli.  Daniel cut his teeth in the industry at Deutsche Bank in London, where he was responsible for valuing structured equity and hedge fund of fund products targeted at continental Europe.  His timing of joining Deutsche, while perhaps somewhat unfortunate for him, proves fortunate for us as he retells a few war stories and lessons learned from the desk leadi...

In this episode I am joined by Katherine Glass-Hardenbergh, Associate Portfolio Manager at Acadian Asset Management.   In her role, Katherine focuses heavily on the application of alternative data in Acadian’s fundamentally-driven, systematic investment process.   Purported as being one of the leading frontiers of quant finance, there is plenty of hype around alternative data.  Katherine brings re...

Chris Meredith is co-Chief Investment Officer and Director of Research at O’Shaughnessy Asset Management.  In this episode, we focus on the latter title and talk all about what it means to develop a strong research program. Our conversation centers around what Chris considers to be the three key pillars: data, tools, and people.   Chris provides insight into how data sets have changed since the be...

In this episode I am joined by Liqian Ren, Director of Modern Alpha at WisdomTree. After receiving her degree in Computer Science, Liqian came to the United States to pursue her Masters in Economics.  Liqian then did a quick stint at the Federal Bank of Chicago as an associate economist, before returning back to academia to pursue her PhD at the University of Chicago. In 2007, Liqian joined Vangua...

In this episode I chat with Wayne Himelsein, president and chief investment officer at Logica Capital.  To our conversation Wayne brings over two decades of experience managing long/short portfolios, ranging from statistical arbitrage to factor long/shorts. For as deep in the weeds as he liked to go as a quant, Wayne has a philosopher’s streak and Twitter is his soapbox.  Of course, 280 characters...

My guest in this episode is Jason Thomson, a portfolio manager at the William O’Neil family office. On paper, Jason doesn’t seem like a particularly good fit for this podcast.  He runs a highly concentrated discretionary portfolio of growth equity names.  He can be levered long, net short, or completely out of the market all at his discretion. What becomes rapidly apparent is that while Jason has...

My guest is Artur Sepp, Director of Research at Quantica Capital AG in Zurich. In 2008, Artur was working on structured credit products for Merrill Lynch, giving him a front-row seat to the ensuing credit crisis.  We use this experience as a jumping off point for our conversation, with Artur providing both pragmatic and philosophical lessons learned. One of those key lessons was the role of liquid...

In this episode, I am joined by Tammira Philipe and Elena Khoziaeva, both of Bridgeway Capital Management, a quantitative asset manager founded in 1993 offering systematically managed equity strategies.   But that’s not how Tammira or Elena would describe it.  And that’s what this episode is all about: communication in the realm of quant.   As President and CEO of Bridgeway Tammira provides us wit...

In this episode I chat with Ben McMillan, a founding partner of IDX Insights, a firm offering "indexing as a service." Ben cut his teeth in manager analysis at a fund-of-hedge-funds and we spend a considerable amount of time discussing how this experience impacted his research in building hedge fund replication strategies. As it turns out, a naive replication strategy is very easy to implement. A...

I am joined today by Benn Eifert, founder of QVR Advisors.  QVR specializes in managing option-based strategies and Benn describes what he does as volatility investing. We quickly wade into the deep end with this one.  Benn schools me on relative value investing and dismisses my favored mental model of style premia for what he prefers to call “the Star Wars framework.” We chat about volatility ETP...

In this episode, I sit down with good friend Adam Butler, Chief Investment Officer of ReSolve Asset Management.  Rather than take the usual interview style, we thought it would be fun to just sit down at a bar without an agenda and just record the stuff we would have been talking about anyway. With drinks in hand, we dive into a conversation that covers topics ranging from machine learning to anal...

"How do you come to a rational conclusion as to what a company is worth?"  A seemingly simple question with little-to-no clear answer. For John Alberg, a background in computer science and a passion for machine learning led him to view the problem through the lens of data.  "If it is true that you can use publicly available information to buy companies for less than their economic worth," he thoug...

Today I am speaking with Jack Vogel, co-CIO of boutique ETF issuer Alpha Architect. I’ve known Jack for some time now and was particularly excited to bring him on the show for two reasons. The first, which you will quickly learn in the episode, is his near encyclopedic knowledge of investing literature. I’ve met few investors who have both the breadth and depth of recall that he does for both acad...

  In this episode, I am joined by JD Gardner, founder and managing member at Aptus Capital. In his time in the industry, JD has served in the role of associate financial advisor, analyst to a deep-value equity fund, and analyst at short-term, systematic, managed-futures fund. These varying experiences have mixed to culminate into JD's ultimate philosophy: it's all about the investor's return, not...

My guest, this episode, likely needs little introduction.  His paper, a Quantitative Approach to Tactical Asset Allocation is the highest ranked paper on SSRN with over 200,000 downloads at the point of recording.   But Meb Faber’s interests go far beyond tactical asset allocation.  His work over the last decade-plus – from his blog to his podcast to the books he has authored – spans broad topics...

In many ways, the topic of conversation for this episode revolves around what ultimately amounts to a fairly vanilla, almost-index like  portfolio. The asset class in question, however, may verge on the exotic for listeners with less fluency in the field of derivatives. My guest is Eric Ervin, President and CEO of Reality Shares, and he has joined me to discuss their flagship ETF DIVY.  I would ar...

This episode I chat with Toby Carlisle, a managing member at Carbon Beach Asset Management and author of popular value investing books such as Deep Value and The Acquirer’s Multiple.  Toby’s approach to value investing evolved from his observations as a corporate lawyer in Australia during the burst of the dot-com bubble.  Watching investors target cash-rich, business poor dot-com companies confus...

My guest in this episode is Adam Butler, Chief Investment Officer at ReSolve Asset Management. Adam's story is the near quintessential example of my belief that every investor's approach is colored by their experience. From nearly blowing up his firm's omnibus account at his first job, experiencing the tech wreck first hand, and going all in on the commodity and emerging market super cycle narrati...