Flirting with Models

Corey Hoffstein

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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22 episodes
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S7 · E35
Monday · 1 hr 5 min
Philip & Allan Maymin – Compounding Through Risk, Not Return (S7E35)
In this episode, I speak with Philip and Allan Maymin, co-Heads of Global Asset Allocation at Janus Henderson. Philip and Allan run the asset allocation group founded at Janus Henderson by Nobel laureate Myron Scholes more than a decade ago, and they've arrived there by wonderfully different routes — Philip through LTCM, academia, and behavioral analytics; Allan through high-frequency trading, derivatives, and prop desks. At the heart of their process is a simple but subversive idea. As Philip put it in our pre-call, "people live in an average return world, and they ought not." What matters to investors is compound growth — and they believe that the surest way to improve compounding isn't chasing higher returns, it's managing risk. Drawdowns destroy compounding and avoiding them is the more tractable lever. They connect theory to practice through the options market. Calls and puts embed the market's collective, forward-looking view of risk, making them one of the richest sources of information available to an asset allocator. We discuss how they extract those signals and propagate them across more than 4,000 assets to build portfolios around client objectives rather than benchmarks. Please enjoy my conversation with Philip and Allan Maymin.
S7 · E34
September 14 · 1 hr 14 min
Lucas Schuermann – Swapping Out Perpetual Futures (S7E34)
My guest in this episode is Lucas Schuermann, co-founder of Variational, which seeks to bring the trillion-dollar OTC derivatives market on chain. This is my second episode on Variational. A little over a year ago I spoke with Lucas's co-founder, Edward Yu. In that time, the mission hasn't changed, but a lot else has. We begin with a re-introduction to the business and its retail-facing platform, Omni. Unlike a central limit order book, where a crowd of competing market makers quote against unknown flow, every trade on Omni is quoted by a single, internal liquidity provider — OLP — through a request-for-quote model that segregates flow. Because OLP knows who it's trading with, it can price retail flow as non-toxic: netting offsetting positions against each other, warehousing what it chooses to keep, and hedging only the residual risk externally. It's a model that let Variational list a long tail of crypto-native assets at competitive spreads, even where on-platform open interest remained thin. The surge in demand for real-world asset exposure on chain has pushed that model in two directions. The first is widening where those hedges can go. Rather than trying to rebuild forty years of traditional market depth on a crypto order book, Variational has built a global network of dealer relationships to tap into it directly. The second is questioning whether the perpetual future is even the right instrument. Perp funding is driven by where the contract trades relative to its index, which makes it volatile and hard to forecast. Variational's answer is a swap: a price-return leg plus an explicit financing leg, priced off short rates — a far more predictable cost of carry for anyone who wants to hold levered exposure for the long haul. And there's currently over a billion dollars of dealer capacity behind it. I hope you enjoy my conversation with Lucas Schuermann.
S7 · E33
August 3 · 47 min
Stacie Mintz – Turning Qualitative Fundamentals into Quantitative Factors (S7E33)
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.
S7 · E32
July 6 · 56 min
Ben Wellington – Complex Feature Engineering at Two Sigma (S7E32)
My guest this episode is Ben Wellington, Head of Complex Feature Engines at Two Sigma. In a modern quant process, one might argue that edge can live in three places: the data you can get your hands on, what you do with that data, and how you forecast from it. Ben lives squarely in the middle layer — feature generation — which also happens to be the place AI is reshaping fastest. So that's where we spend our time. We start with what a "feature" even is, and why, as raw data gets commoditized, the edge increasingly comes from what you build out of it. Then we follow the thread running through the whole conversation: large language models. Ben has a line I keep coming back to — that anything can be language now — and we trace what that unlocks, and whether making feature creation this cheap just democratizes the edge away. We close on what a quant starting out today should be building toward, and which skills compound most in a career where AI is the dominant tool. Please enjoy my conversation with Ben Wellington.
S7 · E31
June 29 · 1 hr 6 min
Peter Hecht – Portable Alpha: Solving the Funding Problem of Alternatives (S7E31)
My guest this episode is Peter Hecht, co-head of the North America Portfolio Solutions Group at AQR. Portable alpha is drawing serious attention right now. Long the province of large institutions, it's now being wrapped into mutual funds and ETFs — which means, for the first time, advisors and the individual investors they serve get a seat at the table. So I wanted to sit down with someone who's been thinking about the idea for almost two decades. We start with the basics — what portable alpha actually is, and why Peter insists the core concept is funding, not leverage. From there we work through the real risks, the cautionary tale of 2008, and the design space: how you organize the alpha and the beta, which overlays to choose, and how to combine them without smuggling in hidden tail correlation. Then we turn to what matters most for this new audience — sizing, lifecycle, rebalancing inside a daily-liquid wrapper, and the gap between the line-item experience and the actual portfolio impact. Please enjoy my conversation with Peter Hecht.
S7 · E30
May 11 · 1 hr 9 min
John Gu – Crypto Market Making & The Cold Start Problem (S7E30)
My guest today is John Gu, founder and CEO of Caladan, one of the most active market makers in crypto and a firm that has provided liquidity to more than 200 token launches. John's path runs through MIT, AlphaSimplex, Citadel's principal strategies group, and Tower Research before landing in Singapore at the dawn of the ICO era — where what started as a trade on the kimchi premium became the foundation for one of the most active liquidity providers in digital assets. The thesis of our conversation is what I'll call the cold start problem. In traditional markets, every newly listed stock arrives with scaffolding already in place — a designated market maker, a reference price, a universe of comparables, and decades of regulatory infrastructure. Crypto inverts that. A new token can launch with no orderbook, no comparables, and no clear demand curve. Someone has to quote a two-sided market into that void, and how they do it shapes whether the asset becomes a real, tradable thing — or a graveyard of wide spreads and stranded liquidity. John and I dig into how you bootstrap liquidity from zero, how the quoting playbook evolves as a market matures, the economics of token market making contracts, and how that same infrastructure now bridges into structured products and treasury solutions for token foundations. Please enjoy my conversation with John Gu.
S7 · E29
April 6 · 1 hr 6 min
Faheem Osman – Commodity QIS: An Under-Appreciated Source of Systematic Returns? (S7E29)
In this episode I speak with Faheem Osman, Managing Director and Global Head of QIS Structuring at Macquarie Group. Faheem has spent nearly two decades inside major investment banks — first at Citi, where he spent about ten years on the commodities trading and structuring side, and now at Macquarie, where he's built out their cross-asset QIS business. Commodities, though, remain firmly in the DNA of what Macquarie does, and it's where Faheem cuts his teeth. We spend the bulk of our conversation exploring commodity QIS as a distinct and, in Faheem's view, underappreciated source of systematic returns. Faheem walks us through strategies like curve carry and index congestion, explains why commodities have historically delivered some of the highest risk-adjusted returns of any asset class in QIS, and makes the case for why these premiums haven't simply been arbitraged away. We also dig into commodity volatility selling, the shift toward weekly options, and close with a timely discussion on what the explosion of 0DTE options means for the vol risk premium more broadly. Please enjoy my conversation with Faheem Osman.
S7 · E28
February 23 · 55 min
Richard Craib - Crowd-Sourced Alpha with Numerai (S7E28)
Today, I’m speaking with Richard Craib, the CEO and founder of Numerai. If you’ve heard of Numerai before and thought of it as an interesting experiment at the intersection of data science and crypto, it’s worth updating that mental model. Over the last few years, Numerai has quietly grown from roughly $60 million in assets to over $600 million. JPMorgan has invested and secured $500 million of capacity, and Numerai recently raised a Series C at a $500 million valuation led by top university endowments. This is no longer a toy project. It is a real, institutional-scale market-neutral hedge fund with a very unconventional engine. In this conversation, we go deep into how Numerai actually works. Richard walks through the core insight behind Numerai’s design: that crowd-sourced alpha only works if incentives are aligned, not just participation. Simply opening up data and ranking models creates incentives to game the system, not to produce durable signals. That realization led to the introduction of the Numeraire token. By forcing researchers to stake real capital behind their predictions, Numerai shifts from a leaderboard-driven experiment to a capital-weighted signal engine. Instead of rewarding activity, the system rewards conviction, accountability, and uniqueness, creating a self-filtering model that naturally reduces noise and discourages the behaviors that caused earlier crowd-sourced platforms to fail. We also talk about portfolio construction and risk management, including how Numerai neutralizes common factor exposures, what went wrong during the 2023 drawdown, and how those lessons reshaped their approach to diversification and concentration. Finally, we look forward, covering the limits of crowd-sourced modeling, the next frontier for Numerai’s research ecosystem, and how Richard sees AI agents reshaping model development. Please enjoy my conversation with Richard Craib.
S7 · E27
February 17 · 58 min
Ruslan Fakhrutdinov – Extended Exchange and Vault Tokenization (S7E27)
Today, I’m speaking with Ruslan Fakhrutdinov, the founder of Extended, a decentralized perpetual futures exchange. Ruslan is the fifth perpetual futures exchange founder I’ve had on the podcast, and that’s very intentional. Flow continues to move toward these platforms, and while trading perps can feel familiar to anyone coming from centralized or traditional exchanges, the way risk is absorbed and resolved under the hood for decentralized exchanges can be very different. In this episode, we go deep on the design of perp DEX vaults and the role they play as a liquidity and risk backstop for the entire exchange. Ruslan walks through how platforms choose between protecting system solvency, safeguarding vault depositor capital, and managing trader losses, particularly during stress events. We also discuss how settlement finality, governance intervention, and liquidation design determine where losses ultimately land. We spend time on Extended’s introduction of vault shares as collateral, why that design can be powerful, and the new risks it introduces if boundaries aren’t explicit. Ruslan lays out the risk-management waterfall: when the vault steps in as a counterparty, when it refuses additional exposure, and when traders are pushed into forced deleveraging or auto-deleveraging instead. We close by connecting this framework to Extended’s next phase, expanding cross-asset margin, and what it takes to design a system that still behaves predictably when markets break. Please enjoy my conversation with Ruslan Fakhrutdinov.
S7 · E26
February 9 · 57 min
Angana Jacob - Data as the True Competitive Moat (S7E26)
Today, I am speaking with Angana Jacob, Head of the Research Data group within the Enterprise Data business at Bloomberg. We talk about Angana’s career path through quantitative research and data platforms, and how the industry has evolved from a world dominated by bespoke models and backtests to one where many models have become increasingly commoditized. A central theme of our conversation is the idea that while models are easier than ever to replicate, data — how it’s sourced, cleaned, standardized, linked, and delivered — has become the true competitive moat. We discuss what it means to “do data correctly,” how Bloomberg decides which datasets to build or sunset, how modern quants think about their data pipelines and tech stacks, and why aligning research data with production and back-office systems matters more than most people realize. Throughout the episode, we focus on Bloomberg’s goal of shortening a client’s time to alpha, and what that looks like in practice. At its core, this episode is about a simple but powerful idea: when everyone has access to similar models, durable edge increasingly comes from the data beneath them. Please enjoy my episode with Angana Jacob.
S7 · E25
January 12 · 1 hr 7 min
Moritz Heiden & Moritz Seibert – Trend-Following Spreads (S7E25)
A few years ago, I sat down with Moritz Seibert and Moritz Heiden of Takahe Capital to talk about trend following at the edges of the futures markets: places where liquidity is thin, contracts are obscure, and capacity constraint is a feature, not a bug. Since then, despite strong performance, asset growth, and even winning industry awards, they made a very un-industry decision: they shut down their original fund. In its place, they launched a new Global Markets Fund built to stay small, so they can trade calendar and product spreads, niche agricultural markets, and other idiosyncratic contracts at equal risk to more standard markets. In this conversation, we unpack that decision, explore how you systematize trend on markets where liquidity does not exist on screen, and go deep on why spreads represent a fundamentally different opportunity set than outright futures. We also talk about what’s next: from prediction and event markets to new ways of thinking about macro trends and alternative data. I hope you enjoy my conversation with Moritz Seibert and Moritz Heiden.
S7 · E24
Dec 29, 2025 · 1 hr 6 min
Annanay Kapila – Perpetual Futures Everywhere and All the Time (S7E24)
In this episode I speak with Annanay Kapila, founder and CEO of QFEX, a 24/7 centralized perpetual-futures exchange for traditional financial markets. Before founding QFEX, Annanay worked at Flow Traders and Tower Research, where he was introduced to high frequency trading and market microstructure in both crypto and traditional markets. Insights gleaned during these experiences lead him to the conclusion that the perpetual futures model applied to traditional, so-called “real world asset” markets, like equities, was an inevitable future and one he wanted to build. In this episode, we discuss the ramifications of what that world looks like. First, we discuss what perpetual futures are and their distinguishing characteristics from traditional futures. Then we discuss how perpetual futures can work in markets – like single-name equities – where the underlying do not trade 24/7, and have unique features like corporate actions, opening and closing price auctions, and limit-up/limit-down bounds. A consistent thread throughout the entire conversation is risk management. When leverage is your key feature, it is important to think long and hard about how and when liquidations might occur and the safest way to process them. Finally, we discuss why Annanay believes why perpetual futures will succeed where spot tokenization failed and his view on the current regulatory landscape. Please enjoy my conversation with Annanay Kapila.
S7 · E23
Oct 13, 2025 · 56 min
Jay Rajamony – Beyond Factors: Reimagining Quant Equity for the Modern Era (S7E23)
In this episode, I speak with Jay Rajamony, Director of Alternatives at Man Numeric. Jay has been with the firm since 2004, giving him a front-row seat to the evolution of quant equity: from simple factor models and broad signals to today’s world of alternative data, model ensembles, and human-machine collaboration. We start with the history: what’s changed in quant over the last two decades, why the 2007 quant quake still matters, and how the definition of “alpha” has shifted alongside new tools and data. From there, we explore the interplay between factors and macro regimes, how sparse datasets are reshaping the research process, and what it means to manage risk in a world where your models don’t always line up with reality. Jay also offers a compelling perspective on how modern quant investing isn’t just about signal breadth anymore—it’s about firm breadth, organizational design, and knowing when to lean in and override the machine. Please enjoy my conversation with Jay Rajamony.
S7 · E22
Sep 22, 2025 · 1 hr 3 min
Vladimir Novakovski – Lighter: The Orderbook for all of Ethereum (S7E22)
In this episode I’m joined by Vladimir Novakovski, founder and CEO of Lighter, a decentralized crypto exchange. To kick off the conversation, we explore Lighter's three big design choices: it’s built as a custom Layer-2 on Ethereum, it relies on zero-knowledge circuits for proving transactions, and it runs with a private sequencer. Don't worry – if that sounds like gibberish, Vlad explains it all. Each of those decisions comes with trade-offs — but also big potential advantages. We discuss why Ethereum remains the natural home for new rollups, from inheriting its security to tapping into DeFi’s growing composability. We also break down what zk circuits actually are, why they matter for trust and security in a derivatives exchange, and how they’re verified in practice. From there, we tackle the business side: how you bootstrap liquidity in a brand-new DEX, why Lighter went with an unusual fee model and the key lessons learned during an extended private beta. Finally, we zoom out to the bigger picture. What might DeFi look like if composability really takes hold? Could specialized rollups like Lighter become the backbone of an on-chain financial system, rather than just another venue for speculation? Please enjoy my conversation with Vlad Novakovski.
S7 · E21
Sep 15, 2025 · 1 hr 14 min
Antti Ilmanen - Understanding Return Expectations (S7E21)
In this episode, I speak with Antti Ilmanen, Principal and Global Co-head of the Portfolio Solutions Group at AQR Capital Management. Antti has long been one of the most thoughtful voices in the world of expected returns, having written not one, but two landmark books on the subject. But in his latest paper series, he returns to the topic with fresh urgency—probing the difference between objective and subjective expectations, and asking why even rational models can go so wrong in real time. We explore everything from CAPE ratios and market timing accusations, to why equity investors tend to extrapolate while bond investors expect mean reversion. We dig into how behavioral biases, valuation anchors, and structural shifts collide when forming capital market assumptions—and how Antti and the AQR team try to navigate that mess themselves. If you’re in the business of long-term forecasting or just curious why markets often act like they’ve never read the textbooks, this is a conversation you won’t want to miss. Please enjoy my conversation with Antti Ilmanen.
S7 · E20
Sep 2, 2025 · 56 min
Chris Carrano – Designing Practical Factor Models (S7E20)
In this episode, I speak with Chris Carrano, Vice President of Strategic Research at Venn by Two Sigma. Chris has had a rare vantage point in the world of factors — spanning smart beta, long/short hedge funds, and risk modeling — and that experience has shaped a thoughtful view of what factors really are and how they can be practically used. We dive into the philosophy and design behind Venn: why it uses just 18 orthogonalized factors, how it blends Lasso and OLS to reduce overfitting, and why it prioritizes interpretability over complexity. We also tackle messy real-world challenges: how to analyze private markets with sparse data, how to trust synthetic return streams, and where to draw the line when using monthly snapshots that embed structural portfolio shifts. Finally, we explore what it means to make factor results actionable—whether through stress testing, residual interpretation, or portfolio diagnostics. Please enjoy my conversation with Chris Carrano.
S7 · E19
Aug 18, 2025 · 1 hr 17 min
Jeff Rosenberg – The Past, Present, and Future of Systematic Fixed Income (S7E19)
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.
S7 · E18
Jul 30, 2025 · 50 min
Edward Yu – Bringing OTC On-Chain and the VariationalOMNI Perp Dex (S7E18)
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.
S7 · E17
Jun 30, 2025 · 1 hr 10 min
Benjamin Hoff – Commodity Futures Surfaces and the Cash-and-Carry Glue (S7E17)
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.
S16 · E7
Apr 21, 2025 · 56 min
Roxton McNeal and Siddharth Sethi – Building Multi-Strategy QIS Portfolios (S7E16)
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.

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