Markku Kurtti – Diversification is a Negatively Priced Lunch (S7E7)

Flirting with Models

#Investing #Corey Hoffstein #Trading #Business

40:22

There’s only so much you can do in a week – or, according to Oliver Burkeman, in the roughly 4,000 weeks the average human lives. Oliver is a journalist and author of the books Four Thousand Weeks: Time Management for Mortals, Meditations for Mortals, and the newsletter “The Imperfectionist.” Chris and Oliver discuss the paradox of why change can only occur once we accept that we might not be able to change. Oliver also shares how life’s mishaps can become our most treasured memories and why sharing your imperfections is an act of generosity. For the full text transcript, visit go.ted.com/BHTranscripts For the full text transcript, visit go.ted.com/BHTranscripts Want to help shape TED's shows going forward? Fill out our survey ! For a chance to give your own TED Talk, fill out the Idea Search Application: ted.com/ideasearch . Interested in learning more about upcoming TED events? Follow these links: TEDNext: ted.com/futureyou Hosted on Acast. See acast.com/privacy for more information.…

about a year ago 58:12

MP3•Episode home

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.

112 episodes

Markku Kurtti – Diversification is a Negatively Priced Lunch (S7E7)

Flirting with Models

199 subscribers

published about a year ago

MP3•Episode home

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

I hope you enjoy my conversation with Markku Kurtti.

112 episodes

#Investing #Corey Hoffstein #Trading #Business

All episodes

1
Edward Yu – Bringing OTC On-Chain and the VariationalOMNI Perp Dex (S7E18) 50:45

2 days ago50:45

50:45

In this episode I speak with Edward Yu, co-founder of Variational. We begin the conversation with Edward’s background in crypto OTC markets. He explains how the space evolved away from Telegram chats, the complexities of pricing derivative structures on the long-tail of alternative crypto currencies, and the sources of natural flow in the space. This experience led Edward to co-found Variational, which seeks to bring the trillion dollar OTC derivatives market on-chain by disaggregating settlement, margining, and derivative payoff logic into programmable primitives. Built on top of Variational is the OMNI perp dex – or decentralized perpetual futures exchange for the non-crypto-speaking listeners. Unlike other perp dexes that are build around a centralized order book, OMNI effectively acts as a user interface to a OTC RFQ system. On the other side is OLP – the OMNI Liquidity Provider. This structure allows OMNI to provide significant depth of liquidity on a huge breadth of investable assets despite the platform being in closed beta at the time of recording. Given its unique design, we spend a significant amount of time discussing the pros, cons, and risks of this structure. This conversation is, obviously, out of my usual realm. But for those listeners interested in market structure and where the world of finance may be headed, this is one not to miss. Please enjoy my conversation with Edward Yu.…

1
Benjamin Hoff – Commodity Futures Surfaces and the Cash-and-Carry Glue (S7E17) 1:11:04

5 weeks ago1:11:04

1:11:04

My guest this episode is Benjamin Hoff, Global Head of Commodity Strategy and Research at Société Générale. Ben started his career in rates before making the jump to commodities, and that lens—shaped by curve arbitrage, convexity, and carry—colors everything he does. In this conversation, we explore how commodities differ fundamentally from other asset classes: the importance of cash-and-carry economics, the sparse information cadence that rewards technical models, and the physical realities that challenge purely quantitative approaches. We also dive into Ben’s more recent work on the geometry of the futures surface, how convexity and skewness may be misunderstood, and why tools like Lévy area might help uncover non-linear structure in the data. Whether you’re deep in the weeds of term structure trading or just curious about how to systematize chaos in barrels and bushels, this is a conversation you won’t want to miss.…

1
Roxton McNeal and Siddharth Sethi – Building Multi-Strategy QIS Portfolios (S7E16) 56:22

15 weeks ago56:22

56:22

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 structural vs. academic premia distinction and why it matters. • How Simplify evaluates and customizes QIS offerings from banks. • The need and challenges of dynamic allocation across dozens of strategies. • How QIS strategies integrate with traditional beta portfolios. • The operational and counterparty considerations of trading these strategies. For those interested in the practical realities of QIS investing, this episode provides a deep dive into both the opportunities and challenges of running a systematic, multi-strategy portfolio. I hope you enjoy my conversation with Roxton McNeal and Siddharth Sethi.…

1
Scott Phillips - Finding Ugly Edges in Crypto Markets (S7E15) 1:08:43

22 weeks ago1:08:43

1:08:43

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 to trade: markets where the edges were so big they could survive inefficient implementations. All of which brought Scott to crypto in the late 2010s. While our conversation is, at a high level, mostly about trend following, we spend a lot of time discussing what makes trading these markets unique. For example, with tens of thousands of spot cryptocurrencies, how do you choose what to trade? How do you choose which venues to trade at when liquidity is so fragmented? How do you deal with the fact that both crime and degenerate gambling are real idiosyncratic factors? More than anything, painted between the lines, Scott provides a master class in thinking about edges. I hope you enjoy my conversation with Scott Phillips.…

1
Thao Tran – Market Making Illiquid, Non-Fungible Assets (S7E14) 55:33

26 weeks ago55:33

55:33

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 component of what she does. In this conversation, we walks me through how the NFT market place has evolved, how she thinks about managing inventory risk, key features that impact spreads, and how platform evolutions changed orderbook strategies. In the back half of the conversation, Thao shares her thoughts on the state of crypto markets today, the emerging opportunities in decentralized exchanges, and how the landscape of alpha opportunities has changed over the last two years. I hope you enjoy my conversation with Thao Tran.…

1
Victor Haghani – The Last of the Tactical Allocators (S7E13) 1:13:07

34 weeks ago1:13:07

1:13:07

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 between theory and implementation. Victor is just as comfortable sharing his thoughts on where equity market risk comes from as he is defending payout-adjusted CAPE as a metric for forecasting long-run returns. If you’re passionate about asset allocation, you’ll find lots to think about in this one. Please enjoy my conversation with Victor Haghani.…

1
Jonathan Glidden - Saving Delta's Pension with Portable Alpha 1:09:26

34 weeks ago1:09:26

1:09:26

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 lessons learned from turbulent financial periods such as 2008 and 2020. Whether you're a seasoned investor or new to the concept of portable alpha, this episode provides a masterclass on optimizing pension plan management through innovative investment strategies.…

1
Farouk Jivraj - The Art & Science of Using Alternative Risk Premia (S7E12) 1:11:41

43 weeks ago1:11:41

1:11:41

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 of the conversation peeling apart the layers of Farouk’s 5-step process for implementing alternative risk premia strategies. He shares his thoughts on how to classify different premia, why thoughtfully-constructed peer groups are an important evaluation tool, how to go about selecting specific strategies, how to construct portfolios of alternative risk premia, and the actual rubber-meets-road implementation practicalities. Please enjoy my conversation with Farouk Jivraj.…

1
Giuseppe Paleologo - Multi-Manager Hedge Funds & Thinking Deeply About Simple Things (S7E11) 1:32:37

48 weeks ago1:32:37

1:32:37

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 the fundamental PMs, Gappy explains how portfolio manager coverage, factor hedging, and internal alpha capture can all work together to help maximize firm P&L. We then discuss the broad field of factor research and portfolio construction, where Gappy shares some of his strongly held views, both on how factors should be constructed as well as how they should be utilized. Topics include returns versus characteristics, mixing versus integrating alpha signals, single- versus multi-period optimization, and linear- versus non-linear models. Please enjoy my conversation with Giuseppe Paleologo.…

1
Talk Your Book: Return Stacking [REPLAY] 38:06

49 weeks ago38:06

38:06

On this episode, Ben Carlson and Michael Batnick are joined by Corey Hoffstein of Newfound Research to discuss: managed futures, return stacking, using leverage effectively, and much more!

1
Kris Abdelmessih - Life Through a Volatility Lens (S7E10) 1:13:25

1 year ago1:13:25

1:13:25

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, optionality, and seeing the world through a volatility lens. Kris is a passionate educator, so it should come as no surprise that learning is a key thread throughout this entire episode. Kris discusses how learning is accelerated in the pits and how we can think about replicating it in electronic space. Kris discusses what he had to unlearn and relearn in his move from market making to relative value trading. He also shares his thoughts about how firm lineage influences how you learn to trade markets. Finally, we discuss Kris’s newest venture, moontower.ai, which seeks to provide a “volatility lens” to opinionated traders to help them better express their bets in option space. There is a lot of experience to unpack in this one. I hope you enjoy my conversation with Kris Abdelmessih.…

1
Bill Gebhardt - Replicating Discretionary Commodity Trading Systematically (S7E9) 51:55

1 year ago51:55

51:55

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 as the foundation for much of our conversation, where Bill provides insight into where and how his discretionary background informs the systematic process, both from a signal and a risk management perspective. We discuss the types of signals 10Dynamics incorporates into their process, how their risk management system is designed to reflect Bill’s experience managing discretionary traders, and how they’ve designed their operational risk management to allow them to trade intraday with a small team. Please enjoy my conversation with Bill Gebhardt.…

1
Nicolas Mirjolet - Multivariate Trend Following (S7E8) 1:05:28

1 year ago1:05:28

1:05:28

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 transition to Quantica’s flagship managed futures program. Nicolas explains that while Quantica is a price-based trend follower, they apply a multivariate approach to their signal analysis. We discuss how the approach works and how it contrasts against a standard univariate approach. Specifically, Nicolas shares his thoughts on how the multivariate approach impacts the portfolio return profile and why you may want more or fewer variables in your signal universe than your tradable market universe. We end the conversation with Quantica’s most recent quarterly research paper, which provides quantitative insight into the convexity versus robustness tradeoff trend managers make when they add more markets to their portfolio. Please enjoy my conversation with Nicolas Mirjolet.…

1
[PREVIEW] Enter the New World of Return Stacking | Get Stacked Podcast 1:14:47

1 year ago1:14:47

1:14:47

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 enhance portfolio sustainability and its potential to create excess returns with more confidence than traditional stock picking. This podcast episode serves as a comprehensive introduction to Return Stacking and provides valuable insights for investors looking to navigate the complexities of modern markets with innovative strategies.…

1
Markku Kurtti – Diversification is a Negatively Priced Lunch (S7E7) 58:12

1 year ago58:12