Flirting with Models

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.

Categories: Business

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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.

Previous episodes

  • 100 - Nicolas Mirjolet - Multivariate Trend Following (S7E8) 
    Mon, 27 May 2024
  • 99 - [PREVIEW] Enter the New World of Return Stacking | Get Stacked Podcast 
    Mon, 06 May 2024
  • 98 - Markku Kurtti – Diversification is a Negatively Priced Lunch (S7E7) 
    Mon, 22 Apr 2024 - 0h
  • 97 - Otto van Hemert - Seasonality Everywhere (S7E6) 
    Mon, 25 Mar 2024 - 0h
  • 96 - Clayton Gillespie - A Fundamental View of Quant Equity (S7E5) 
    Mon, 05 Feb 2024 - 0h
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