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...

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...

Jason Buck is the co-founder and CIO of Mutiny Funds and maybe one of the most interesting people I know. Jason made, and subsequently lost, a fortune in commercial real estate in the 2008 crash.  This “ego destroying event” was the catalyst for him to completely rethink the idea of resiliency, both in business and investments. Jason spent the better part of the 2010s developing the Cockroach portfolio, a modern take on Harry Brown’s permanent portfolio.  A quarter stocks, a quarter bonds,...

There is no doubt that the tools of machine learning and the promise of artificial intelligence has captured the imagination of quantitative researchers everywhere.  But I am aware of few fund managers who have wholesale adopted the ideas into their investment stack as thoroughly as Angus Cameron. In this dive back into the archives, we return to Season 4, Episode 6 where I spoke with Angus about his background as a discretionary macro trader and his evolution into a fully systematic,...

In our industry, we’re all too often guilty of asking, “what is your alpha,” rather than, “what is your process for finding alpha?”  Yet, in the long run, it is the process that is important.   I’m equally guilty of this.  In the history of this podcast, I’ve probably overemphasized the outcome of research versus the process of research. There are a few exceptions, though.  And in this dive into the archives, I wanted to return to Season 2, when I spoke with Chris Meredith, Co-Chief...

In July 2020 I interviewed Cliff Asness, co-founder of AQR.  This was several months after he penned a perspective piece titled The Valuesburg Address, where he waxed poetic about the multi-year drawdown in the value factor. Nearly three years later, he recently wrote the perspective piece titled, The Bubble Has Not Popped.  I say wrote, but it is just a single image of the value spread between growth and value, adjusted for just about every possible noise factor you can imagine.  The...

It’s no secret that high flying growth stocks were hammered in 2022, so I thought it would be fun to revisit my conversation with Jason Thomson back in Season 3.   Jason is a portfolio manager at O’Neil Global Advisors, where he manages highly concentrated portfolios of growth stocks. Now, Jason is a discretionary PM, which may seem like an unusual guest for a quant podcast.  But his approach is so data and process driven, it’s hard to tell the difference.   I selected a few questions...

After March 2020, a growing research interest of mine was the question, “how do strategies reflexively impact the markets they trade?”  Beyond crowding risk, can adoption of strategies fundamentally change market dynamics. In Season 3 Episode 11, I spoke with Omer Cedar, who argues that equity quants have done precisely that.  The mass adoption of factor models, whether for alpha or risk, fundamentally changed how baskets of stocks are bought and sold.  For a discretionary manager to ignore...

We’re back with another clip from the archives.  This time it’s Season 4 Episode 9 with Vivek Viswanathan. For three decades, equity quants have largely lived under the authoritative rule of the Fama-French 3 Factor Model and linear sorts.  In this episode, Vivek provides an cogent alternative to the orthodoxy.  Specifically, he explains why an unconstrained, characteristic-driven portfolio can more efficiently capture behavioral-based market anomalies.  I think this is a master class for...

We’re rewinding to Season 3, Episode 3 to chat with Benn Eifert, founder of QVR.   Benn was my first repeat guest and this is probably one of our more popular episodes. Instead of the usual interview format, I called this episode “Bad Ideas with Benn Eifert,” and basically just asked him a bunch of questions about naive option trades and whether they are a good idea or not. For anyone starting their journey with options or volatility, the whole episode is a must listen. The clips I chose...

We’re trying something new here, folks.  I’ve got 5 seasons and 60 brilliant episodes and I thought it would be fun, in the off season, to go back to the archives and highlight past conversations. So using my trusty random number generator, I chose an episode at random.  So, we’re going back to 2018 to my conversation with John Alberg, co-founder of Euclidean Technologies, where machine learning is applied to the value investing problem.   The part I’m highlighting starts around minute 20...

In this episode I speak with Giuliana Bordigoni, Director of Specialist Strategies at Man AHL. In her role, Giuliana oversees the firm’s strategies that require specialist knowledge.  This includes, for example, alternative markets, options trading, credit, and machine learning. We spend a good deal of time discussing alternative markets, a focus of Giuliana’s in both her current role and her prior as the Head of Alternative Markets.  We discuss the potential benefits and challenges of...

In this episode I speak with Adam Butler, co-founder and CIO of ReSolve Asset Management.  For full disclosure, at the time of recording I am personally an investor in one of ReSolve’s private funds. Adam last joined the show in Season 1, where we discussed his background and philosophy of diversification.  This episode begins with a discussion of how Adam’s thinking and process has evolved over the last four-plus years, much of which is centered around the idea of experimental design.  Adam...

In this episode I speak with Kevin Cole, CEO and CIO of Campbell & Company.   In the first half of the conversation, we discuss Campbell’s flagship systematic multi-strategy program.  We cover topics including trend-following versus multi-strategy, the taxonomy of alpha signals, the concept of edge when you’re running hundreds of models, the process for introducing and sunsetting signals, and risk management. With such a strong focus on quantitative research, we spend the latter half of...

Today I am joined by Hari Krishnan, Head of Volatility Strategies at SCT Capital and author of the books Second Leg Down and Market Tremors. We begin with a discussion of Hari’s newest book, Market Tremors, and the main theoretical idea: Mean Field Theory.  Hari lays out both the philosophical underpinnings of the concept as well as how one might interpret it in practice.  This leads into a natural discussion of dominant agents, including examples of who they are, how we might go about...

In this episode I speak with Harel Jacobson, an FX volatility trader. There is a lot that makes the FX volatility market unique.  For starters, the end users are more focused on hedging cash-flow and liquidity than wealth.  Since the underlying is currency pairs, volatility surface arbitrage conditions become multi-dimensional.  And then there is the global geopolitical event calendar to consider. Did I mention that trades are performed, almost exclusively, OTC?  So even something like...

My guest in this episode is Andrew Beer, co-founder of Dynamic Beta Investments. Andrew has spent the last 15 years trying to pioneer the adoption of hedge fund replication strategies.  The core thesis is that several hedge fund categories can be dynamically replicated using just a handful of liquid market exposures and some regression techniques.  He argues that if he can deliver the strategy beta while cutting out hundreds of basis points of management fees and trading costs, it would...

My guest in this episode needs no introduction: Antti Ilmanen, co-head of Portfolio Solutions at AQR, award winning researcher, and author of the books Expected Returns and the recently published Investing Amid Low Expected Returns. A decade has passed since Antti wrote his first book, providing both a decade of out-of-sample data as well as a decade of new research.  I begin by asking Antti about where his conviction has hardened and the things he’s changed his mind about.  From there,...

My guest this episode is Ralph Smith, Head of Research at BlueCove. BlueCove offers long-only and market-neutral mandates in corporate credit and interest rate markets, with an emphasis on utilizing a scientific approach to portfolio construction. We spend the episode discussing how the unique nature of fixed income markets present both opportunities and risks.  For example, how the differing breadth and liquidity in corporate credit versus rates markets impacts the types of strategies that...

My guest in this episode is Kai Wu, CEO and founder of Sparkline Capital. Kai is a pioneer in the measurement of intangible value.  Using machine learning, he tackles unstructured data sources like patent filings, earnings transcripts, LinkedIn network connections, and GitHub code repositories to try to measure value across the four key pillars of Brand, Intellectual Property, Network, and Human Capital. We discuss why intangibles are important, how they differ from the traditional factor...

Today I speak with David Sun, a retail trader who started his own hedge fund. Coming from a non-traditional background, David takes a non-traditional approach in his investment mandates.  Focused on selling options to capture the volatility risk premium, David believes that markets are ultimately efficient and therefore foregoes using any sort of active signal.  Instead, he focuses on explicitly controlling his win size relative to his loss size, and then choosing a strategy with a win rate...

In this episode I talk with Aneet Chachra, fund manager at Janus Henderson. In his role, Aneet runs flow-driven strategies.  These are strategies that seek to find an edge in market events where trading volume creates a predictable pressure on price, such as index additions or deletions, corporate buybacks or issuance, or even the rebalancing of target date funds.  Our conversation is wide ranging, from the basics of how Aneet categorizes these types of trades, to views on how changing...

In this episode, I speak with the Twoquants: Moritz Seibert and Moritz Heiden. There are really two halves to this episode.  In the first, we discuss trend following strategies at length.  We cover the usual topics of signals, speeds, and portfolio construction before diving into some niche views, such as synthetic assets, spread trades, and alternative roll schedules. In the second half, we pivot to discuss crypto markets, as the Moritzes now serve as CIO and CTO for the Exponential Age...

In a first for Flirting with Models, my guest this episode is anonymous, going only by the handle LightSpringFox on Twitter.   Mr. Fox is a quantitative trader who works in crypto market making at MGNR. Mr. Fox did not begin his career in crypto, nor even in market making.  Rather, his background is in traditional equity factor investing, and so we spend a good deal of comparing and contrasting the low- and high-frequency domains.  We also discuss the nature of market making edges, the...

In this episode I speak with Michael Green, Chief Strategist as Simplify ETFs.  In a first for the Flirting with Models podcast, we recorded this episode live at the ETF Exchange in Miami in early April 2022.   Given Michael’s eclectic background, our conversation is wide ranging.  He has traded everything from small-cap value to commodities to housing derivatives to long volatility, and so we try to find the common elements and themes across his career.  One that sticks out is his quote...