Flirting with Models

My guest this episode is Stacie Mintz, Managing Director and Head of Quantitative Equity at PGIM Quantitative Solutions.Stacie has spent 33 years at PGIM, and she's been there for every defining moment of the firm's quant equity effort: a first strategy born from a client's challenge to move beyond indexing, a 1999 decision to abandon Barra and bring the risk model in-house, surviving the quant quake of August 2007, and the post-GFC realization that in a crowded-factor world, it's not enough to be a quant — you have to be a different quant.We dig into what PGIM's "fundamental quant" label actually means in practice, from a financing factor that asks how a company funds its growth, to a factor taxonomy that includes an unfamiliar Linkages group and — unusually for a quant shop — excludes momentum entirely.In the back half, we turn to the frontier: turning qualitative signals like board composition and innovation into systematic factors, building models that assess emergent shocks like COVID and AI in real time, and why Stacie calls LLMs "bazookas" — tools powerful enough to blow up what already works, which is exactly why you start with the insight and only then reach for the tool.Please enjoy my conversation with Stacie Mintz.

In this episode I speak with Jeffrey Rosenberg, Managing Director at BlackRock where he leads active and factor investments for mutual funds, ETFs, and institutional portfolios for the Systematic Fixed Income team.In the first half of the conversation we discuss the history of quant fixed income. Specifically, its evolution within the halls of sell-side institutions and how solutions were shaped by demand for underwriting, securitization, and derivatives.We then make the leap to the buyside, where Jeff outlines the topology of systematic fixed income solutions at BlackRock. We quickly dive into the details, discussing topics such as: why factor investing exists predominately in the credit space, why characteristic specificity within the fixed income space is so important, why quant fixed income needs more PMs but fewer researchers than quant equity, how ETFs changed the liquidity landscape, and whether the equity pod-shop model is possible for fixed income.  What ultimately becomes clear, through both explanation and example, is that while the terms and ideas of systematic fixed income will be familiar to those in the quant equity space, the Devil lies deeply in the details of implementation.I hope you enjoy my conversation with Jeff Rosenberg.

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.

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.

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.

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.

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!