Shows
Alpha ExchangeCorey Hoffstein, CIO, Newfound ResearchCorey Hoffstein, the Co-Founder and CIO of Newfound Research is among the investors expanding the financial product set available to the RIA community. A client segment that has long been fed a diet of 60/40 exposures, the high-net-worth community is finding the need to diversify beyond stock and bond exposure. Using their innovative approach to return stacking, Corey and team are making alternative sources of risk premium accessible and packaged in an ETF format.Through our conversation, we first learn that from a behavioral standpoint, introducing entirely new securities with new exposures has been a challenging ask. With...2025-04-301h 00
Weighing The RisksCorey Hoffstein of Newfound Research - Surging Growth In ETFs: A Sign of A Market Bubble, or Just The New Preferred Vehicle for Investors?This week on Weighing the Risks we are joined by Corey Hoffstein, Chief Executive Officer and Chief Investment Officer at Newfound Research. Newfound Research LLC is a quantitative investment and research firm dedicated to helping investors pro-actively navigate the risks of investing through thought leadership and investment acumen. At Newfound, Corey is responsible for portfolio management, investment research, strategy development and communication of the firm’s views to clients. Corey holds a Master of Science in Computational Finance from Carnegie Mellon University and a Bachelor of Science in Computer Science, cum laude, from Cornell University.[03:35] - Corey’s prof...2025-01-011h 06
Flirting with ModelsJonathan Glidden - Saving Delta's Pension with Portable AlphaIn this episode of the Get StackedInvestment Podcast, Corey and Rodrigo have an insightful conversation withJonathan Glidden, Chief Investment Officer of the Delta Airlines Pension Plan.Since joining in 2011, Jonathan has been pivotal in elevating Delta’s pensionplan funded status from 38% to over 100%. They delve into Jonathan'sunconventional career journey, his implementation of portable alpha strategies,and share valuable lessons learned from turbulent financial periods such as2008 and 2020. Whether you're a seasoned investor or new to the concept ofportable al...2024-12-041h 09
Masters in BusinessThe Concept of Return Stacking with Corey HoffsteinWhat would YOU like to hear about on Bloomberg? Help make shows like ours even better by taking our Bloomberg audience survey.Barry Ritholtz speaks with Corey Hoffstein, CEO and CIO of Newfound Research. Corey pioneered the concept of 'return stacking' and is one of the masterminds behind the Return Stacked ETF Suite, which manages roughly $750 million across five ETFs. Corey's work has been published in the Journal of Indexing and the Journal of Alternative Investments. He is also the host of the popular podcast on quantitative investing "Flirting with Models." On this episode, Barry and Corey...2024-11-211h 40
Get Stacked Investment PodcastE5. Diversification 2.0: Mastering the Art of Portable AlphaPortable alpha (or as we like to call it: Return Stacking) has become increasingly popular in the financial media (including recent notes from industry giants like BlackRock, Russell Investments, and AQR) but many advisors are left asking: What does portable alpha mean? How might it benefit clients? How can I implement it?
At Return Stacked Portfolio Solutions we have made it our mission to thoughtfully and transparently help allocate into a portable alpha framework for client portfolios.
Join us for this deep dive podcast with Corey Hoffstein, CIO of Newfound Research, and Rodrigo Gordillo, President and Portfolio Manager at ReSolve...2024-10-181h 02
The Investipal PodcastWas This Hedge Fund's Performance Pure Luck? with Corey HoffsteinCorey Hoffstein is a quantitative researcher, portfolio manager, and financial innovator.
In this episode, Corey shares his insights on return stacking, the overlooked impact of rebalancing timing, and how to find alpha in increasingly efficient markets. We also explore his views on trend following, the 13-month momentum anomaly, and how his innovative ETF strategies are reshaping portfolio construction.
Please enjoy our conversation with Corey Hoffstein.
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Links
The Investipal Podcast is produced by www.investipal.co. Past guests include Meb Faber, Brent Beshore, Peter Lazaroff, Douglas Boneparth, Jamie Hopkins, Tyrone Ross and many more...2024-09-2645 min
The Algorithmic Advantage027 - Corey Hoffstein - Return Stacking, ETFs & Trend ReplicationToday we spoke with Corey Hoffstein, a well-known market practitioner with a deep and broad knowledge across quantitative trading & trend following, but also across developing investment products for wider advisor distribution. I’m super interested in almost every aspect of the financial markets, because I feel like a broad and generalist knowledge helps me make better trading and business decisions. Corey hits the nail on the head when he says that a given industry participant may be making optimal business decisions which are sub-optimal trading decisions.
If we are aware of this kind of behaviour, it can he...2024-09-251h 14
Flirting with ModelsTalk Your Book: Return Stacking [REPLAY]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!2024-08-2037 min
Two Quants and a Financial PlannerTimeless Investing Lessons | Breaking Down Corey Hoffstein's 15 Lessons from 15 Years Managing MoneyIn this episode of Two Quants and a Financial Planner, we dive into Corey Hoffstein's insightful list of "15 Ideas, Frameworks and Lessons from 15 Years." We explore several key concepts, such as the transformation of risk, the necessity of pain to achieve premiums, and the philosophical limits of diversification. Through a mix of investing and real-life examples, we discuss how these ideas can be applied to both portfolio management and personal decision-making. Join us as we break down Hoffstein's thought-provoking lessons and share our own experiences in navigating the complex world of investing and financial planning.
We hope...2024-06-1054 min
Educational AlphaS2: Conversation with Corey Hoffstein, CEO & CIO, Newfound ResearchIn this episode, host Bill Kelly is joined by Corey Hoffstein, a notable figure in quantitative finance and co-founder of Newfound Research. Corey revisits his unexpected journey from an aspiring video game developer to a financial strategist driven by a passion for quantitative finance.The discussion centers around the concept of "return stacking," a strategy developed to enhance portfolio diversification without sacrificing traditional asset classes. This innovative approach aims to leverage modern financial tools to navigate and harness the complexities of today's investment landscape, enhancing potential returns while managing risk through diversified beta rather than chasing elusive alphas. Listen...2024-05-2940 min
Flirting with Models[PREVIEW] Enter the New World of Return Stacking | Get Stacked PodcastWelcome 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...2024-05-061h 14
The Business BrewCorey Hoffstein - Get Stacked!Corey Hoffstein, Founder and CEO of Returned Stacked Portfolio Solutions, stops by to discuss how he uses ETFs to leverage his investing assets. Corey and Bill discuss a concept that is not novel to institutional investors, but may benefit individuals today because of ETF innovations. Bill wanted to discuss how Corey came up with his idea, how he executes his idea, and what risks his strategy might have.
You can find more information at Return Stacked Portfolio Solutions.
Sponsor Info:
Daloopa is founded by a former hedge fund analyst to bring simplicity into the inv...2024-02-291h 29
The Alternatives Mason: Building Alts Knowledge Brick by BrickThe Alternatives Mason: Building Alts Knowledge Brick by Brick | Episode 9 | Return Stacking Featuring Corey HoffsteinWelcome to The Alternatives Mason: Building Alts Knowledge Brick by Brick. Banrion Capital Management uses technology to help independent advisors scale and educate themselves on alternative investments. Since education is such a big piece of the Banrion mission and business, we are excited to kick off this series to dive into the nits and grits of the alternatives space. Episode 9 "Return Stacking" Features Corey Hoffstein, co-founder of and Chief Investment Officer at Newfound Research. Founded in 2008, Newfound Research LLC is a quantitative investment and research firm dedicated to helping investors pro-actively navigate the risks of investing by unlocking the be...2024-01-0947 min
Making MarketsCorey Hoffstein: A Primer on Return StackingThis is Eric Golden and my guest this week is by Corey Hoffstein, the Founder and Chief Investment Officer of Newfound Research. Corey offers a fascinating and distinctive take on investing, which we delve into during our discussion. We cover topics like portfolio allocation, diversification and the innovative approach known as Return Stacking. We wrap up with lessons learned from 15 years of running an Asset Management firm. Please enjoy this conversation with Corey HoffsteinFor the full show notes, transcript, and links to the best content to learn more, check out the episode page...2023-11-031h 09
The Meb Faber Show - Better InvestingRadio Show with Corey Hoffstein: Roaring Kitty, Bitcoin ETF & T-Bill and ChillToday’s Radio Show is with guest co-host Corey Hoffstein. In today’s episode, Corey and Meb talk about whether topics are overhyped or underhyped:
Bitcoin ETF recent news
BlackRock launching Target-Date ETFs
The death of the 60/40
T-Bill & Chill
The Magnificent 7
Dividends
They also talk about Roaring Kitty pitching us to come on the podcast in summer 2020 to discuss GameStop, my never ending job application to CalPERS, and more. -----Follow Meb on Twitter, LinkedIn and YouTubeFor detailed show notes, click hereTo learn...2023-11-011h 34
Excess ReturnsBehind the Podcast: Flirting with Models | Corey HoffsteinIn this episode we take a behind the scenes look at one of our favorite podcasts, Flirting with Models, with its host Corey Hoffstein. We discuss the podcast's origin story, how Corey thinks about selecting guests, what he has learned about interviewing, how he thinks about the podcast as part of his overall business strategy and a lot more. We also talk about Corey's days as a pirate hosting the Pirates of Finance podcast and what he learned from it.
We hope you enjoy the discussion.
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FIND...2023-10-1258 minAlpha ExchangeCorey Hoffstein, CIO, Newfound ResearchWith an early passion for video games and teaching himself programming languages Q-Basic and C, Corey Hoffstein did not expect to ultimately wind up in money management. But exposure to various roles in the industry through an internship started him down the path, helping him see how to marry his love of computer science with markets.Now the CIO of Newfound Research, a firm he co-founded more than a decade ago, Corey is focused on delivering to investors the one free lunch they are entitled to: diversification. We spend most of the discussion here, with an emphasis...2023-07-171h 09
Flirting with ModelsReturn Stacked® Bonds & Managed Futures ETFIn this episode, Corey Hoffstein, CIO of Newfound Research, Rodrigo Gordillo, President of ReSolve Global* and Adam Butler, CIO of ReSolve Global, delve into the concept of return stacking and introduce the innovative RSBT Return Stacked™ Bonds & Managed Futures ETF.This podcast is essential for investors, financial advisors, and anyone interested in learning more about return stacking, the RSBT ETF, and the potential benefits of combining bonds and managed futures for portfolio diversification and risk management. Don't miss out on this insightful conversation to deepen your understanding of these innovative investment strategies and their potential impact on to...2023-07-111h 08
The DerivativeReplicating Babies, Trend Following, Hedge Funds, and Warren Buffet with Corey HoffsteinIf a replicant in the 1980s sci-fi classic Blade Runner was a genetically engineered, bio-enhanced person with para-physical capabilities, "composed entirely of organic substance," created for slave labor – what does that make Corey Hoffstein and his takes on replicating? On this episode of The Derivative, we're joined by the model flirting, possible replicant, Corey Hoffstein, who takes us through the intricacies of replication strategies, comparing different approaches and digging deep into the pros and cons of indices vs strategies vs replication. Learn about the challenges faced by replicators in the hedge fund industry, the
importance of benchmarks, and the com...2023-06-151h 19
The Market Call ShowConquering Market Flaws | Corey Hoffstein | Episode 77On this episode of the Market Call Show, I delve into the fascinating world of market dynamics and investor behavior with my guest, Corey Hoffstein. We'll explore the impact of structural market shocks and how they have reshaped the financial landscape. From liquidity cascades and return-stacking to the influence of the FED, we uncover the forces driving market fundamentals. We also dive into the ongoing debate between active and passive investors and the rise of target date funds. Discover the intricate relationship between cash flow and capital markets, and the emergence of options as a savings vehicle. Learn about...2023-05-181h 37
The Intrinsic Value Podcast - The Investor’s Podcast NetworkMI270: How to Improve a 100% Stock Portfolio Using Return Stacking w/ Corey HoffsteinRebecca Hotsko chats with Corey Hoffstein, and together they discuss the concept of return stacking, its mechanics, leverage determination, fund selection, and a whole lot more!Corey Hoffstein is the co-founder and Chief Investment Officer at Newfound Research, which is a quantitative investment and research firm managing strategies that implement Return Stacking concepts. IN THIS EPISODE, YOU’LL LEARN:00:00 - Intro.06:08 - The different types of funds that are available to investors to implement return stacking. 06:19 - What return stacking is and how this strategy works? ...2023-05-0251 min
Voice from the HillsStacked: A Conversation with Corey Hoffstein"If you look at every major financial catastrophe, leverage is there, but it's not leverage on its own. It's concentrated leverage. It's using leverage to do two and three times exposure to stocks rather than using leverage to unlock the benefits of diversification."-On this episode of Voice From the Hills, we discuss various topics related to investing and portfolio management.Corey Hoffstein explains how investors often misapply probabilities and trends and introduces the concept of return stacking.The conversation touches on asset location and its relationship with tax efficiency, with the importance...2023-03-1548 min
The Meb Faber Show - Better InvestingRodrigo Gordillo and Corey Hoffstein – Return Stacking: Strategies for Overcoming a Low Return Environment (The Best Investment Writing Volume 6)Today’s episode features Corey Hoffstein and Rodrigo Gordillo reading their piece, Return Stacking: Strategies for Overcoming a Low Return Environment.Corey is a co-founder of and Chief Investment Officer at Newfound Research. Rodrigo President of and a Portfolio Manager at ReSolve Asset Management Global and has over 15 years of experience in investment management.The Best Investment Writing series features top research pieces that we’ve shared via The Idea Farm in the past year. Subscribe here so you get these sent to you each week.Check out the past series of The Best...2022-10-1026 min
Mutiny Investing Podcast33. Corey HoffsteinIn this episode, I talk with Corey Hoffstein, co-founder of and Chief Investment Officer at Newfound Research. Newfound Research LLC is a quantitative investment and research firm dedicated to helping investors pro-actively navigate the risks of investing through thought leadership and investment acumen. At Newfound, Corey is responsible for portfolio management, investment research, strategy development, and communication of the firm's views to clients. Corey holds a Master of Science in Computational Finance from Carnegie Mellon University and a Bachelor of Science in Computer Science, cum laude, from Cornell University. I...2022-05-311h 36
The Meb Faber Show - Better InvestingRodrigo Gordillo & Corey Hoffstein - You Now Get To Have Your Beta Cake While Eating Your Alpha Too | #368In episode 368, we welcome our guests, Corey Hoffstein, CIO and co-founder of Newfound Research, and Rodrigo Gordillo, President and PM at ReSolve Asset ManagementIn today’s episode, we’re talking about return stacking! Corey and Rodrigo joined forces to try and tackle the issue of how to generate returns in an environment with stretched equity and fixed income valuations. We hear how using a little bit of leverage to the traditional 60/40 portfolio can provide more than one dollar of exposure for every dollar invested. Our guests then walk us through what strategies investors can stack on top...2021-11-151h 13
The Advisor Of TomorrowA Quant's Take On NFTs With Corey HoffsteinThe NFT space continues to gain attention and Corey Hoffstein, the CIO of Newfound Research, has been researching and exposing himself to the asset class. Corey is able to provide a unique balance of quantitative perspective with the real-life experience of NFTs, DeFi, and crypto. In this episode, we discuss the opportunities Corey sees in the space and what he's learned from his hands-on education. Be sure to continue to follow Corey on his show Pirates Of Finance.2021-09-2059 min
The DerivativeResearching the Risks of Return Stacking with Corey Hoffstein & Rodrigo GordilloJeff is “stacking” two guests in this episode, welcoming 1. Corey Hoffstein, CIO and co-founder of Newfound Research, host of Flirting with Models Podcast, and co-conspirator on the Pirates of Finance YouTube channel; and 2. Rodrigo Gordillo, President and Portfolio Manager of Resolve Asset Management and host of the Resolve Riffs Friday live stream. They’re talking about their new research paper: “Return Stacking: Strategies for Overcoming a Low Return Environment,” which takes a novel approach to solving a few problems. Such as: How do you endure the ‘line item risk’ of an alternatives allocation? How do you participate in the upside of an i...2021-09-161h 30
The OG Money Podcast17. The World of Trend Following With Corey HoffsteinTrend following is one of the most popular trading strategies in the market. It attempts to capture gains by analyzing and evaluating an asset’s momentum in a specific direction.
In this episode, Lonnie Ogulnick speaks with Corey Hoffstein, co-founder and chief investment officer of NewFound Research LLC, about the principles and fundamentals of trend following, as well as answering questions about stock market volatility and government influence on the market.
Corey discusses:
How trend following strategies work
Volatile periods of the stock market and future market expectations
The government’s influence on the marke...2021-07-0745 min
Insight is Capital™ PodcastEp. 69 'Timing Luck' and Liquidity Cascades with Corey Hoffstein, Newfound Research (Raise Your Average)### Takeaways from Ep. 10 with Corey Hoffstein, CIO, Newfound Research:• Thinking of diversification in portfolios in terms of three axes: What, How, and When?• The unintended consequences of 'timing luck' (re: 'when?' diversificatio)• How to reduce 'timing luck' from portfolios• How rebalancing premium trumps "timing luck"• Market distortions caused by the shift from actively managed funds to passive funds• What are 'Liquidity Cascades," and how to 'smoothe' against unforeseen destructive convergences of trading activity in markets.'Luck' is a double-edged sword which, if you're an allocator of capital, can...2021-06-291h 17
Behind the Markets PodcastBehind the Markets Podcast: Corey Hoffstein on Model PortfoliosShow from 5/21/21Wharton Finance Professor Jeremy Siegel opens the show talking about the Fed and inflation, bitcoin, equity markets, and more. Then Host Jeremy Schwartz discusses model portfolios with returning guest Corey Hoffstein of Newfound Research. Corey discusses how it has become harder to achieve a reasonable rate of return from an expectations perspective, risk assets, the global central banks moving into an active player role, a dramatic rise in passive investing vehicles, and a large rise in volatility contingent investors. Guest:Corey Hoffstein - Chief Investment Officer of Newfound Research2021-05-2153 min
Behind the Markets PodcastBehind The Markets Podcast: Corey Hoffstein On Model PortfoliosShow from 5/21/21
Wharton Finance Professor Jeremy Siegel opens the show talking about the Fed and inflation, bitcoin, equity markets, and more. Then Host Jeremy Schwartz discusses model portfolios with returning guest Corey Hoffstein of Newfound Research. Corey discusses how it has become harder to achieve a reasonable rate of return from an expectations perspective, risk assets, the global central banks moving into an active player role, a dramatic rise in passive investing vehicles, and a large rise in volatility contingent investors.
Guest:
Corey Hoffstein - Chief Investment Officer of Newfound Research
For more on Newfound Research visit their website: https...2021-05-2054 min
The Business BrewCorey Hoffstein - More Than A Model; Idiot (Yes, that's a Zoolander Reference)Corey Hoffstein, host of Flirting with Models, stopped by The Business Brew to have a wide ranging conversation about markets and his career. Corey is an amazing thinker. Rather than summarize his thoughts we would direct listeners to his website: https://blog.thinknewfound.com/author/choffstein/. You can find his podcast links at https://www.thinknewfound.com/podcast. He's a great guy, incredibly smart, and this is one cool conversation. We hope you listen and enjoy! Corey is the Co-Founder and Chief Investment Officer of Newfound Research, a quantitative investment manager. Corey received his BS in Computer Science from Cornell Universit...2021-04-292h 08
Real Vision: Finance & InvestingCorey Hoffstein: "Things Are Going to Stay Weird"DB-Mar10,2021. Real Vision editors Jack Farley and Max Wiethe analyze price action in U.S. equities as well as today’s print of the Consumer Price Index, which met but did not exceed expectations and indicates muted inflation. In the main segment, Jack speaks to Corey Hoffstein, co-founder and chief investment officer of Newfound Research. Using advanced quantitative modeling, Corey charts the rotation from growth to value stocks and notes how the underperformance of “momentum” investing is evidence of that very rotation. Corey investigates the claim that growth stocks are vulnerable to increases in interest rates, which he finds true b...2021-03-1136 min
Planet MicroCap Podcast | MicroCap Investing StrategiesEp. 164 - Liquidity Cascades, Benefits of Diversification, Market Timing and Moving to Cayman Islands with Corey Hoffstein, Newfound Research and Host, "Flirting with Models"For this episode of the Planet MicroCap Podcast, I spoke with Corey Hoffstein. He is the Co-Founder and Chief Investment Officer at Newfound Research, and Host of the "Flirting with Models" podcast. This was a long time coming, I've been a fan Corey, his work at Newfound, as well as his show, and really enjoyed meeting him, and learning about his investing journey, strategy, Liquidity Cascades white paper, benefits of diversification, market timing and his recent move to the Cayman Islands.For more information about Newfound Research, please visit: https://www.thinknewfound.com/2021-03-101h 16
Excess ReturnsInterview: Liquidity Cascades with Corey HoffsteinIt has been said that the most dangerous words in investing are "this time is different". But sometimes a confluence of factors come together to significantly change the character of the market. In the best research paper we have read this year, Corey Hoffstein argues this is one of those times. In this interview, we go through all the details of Corey's argument and how they fit together to form a very compelling argument that this time might in fact be different.
We discuss:
- Why the "moneyness" of markets has greatly increased the interdependence be...2020-10-1157 min
Resolve Riffs Investment PodcastCorey Hoffstein: Liquidity CascadesMany traditional value or factor based investors have been scratching their heads for the past few years, wondering whether a shift in fundamental dynamics may have permanently altered the way markets behave. Corey Hoffstein has been wondering the same thing, which prompted him to spend the last several months speaking to experts in options trading, market microstructure, and the hidden effects of passive index investing about how these forces may be reshaping the underlying market ecosystem. These conversations and subsequent analyses led to the publication of Corey’s latest whitepaper on Liquidity Cascades, where he seeks to tr...2020-09-211h 24
Flirting with ModelsCliff Asness - "...But Not So Open Your Mind Falls Out" (S3E13)“Keep an open mind. But not so open your mind falls out.” My guest in this episode needs little introduction: Cliff Asness, co-founder and managing partner at AQR. Cliff has done dozens of interviews, podcasts, talks, and fireside chats over the years. He is also a prolific writer. So, my goal in this conversation was to try to find the questions he hadn’t been asked before or had not answered himself already. How did his formative experiences in the dotcom bubble shape his perception of markets? Why should we stick to factors like g...2020-07-291h 00
Flirting with ModelsEuan Sinclair - Positional Option Trading (S3E12)Today I chat with Euan Sinclair, Partner at Talton Capital Management and author of the books Options Trading, Volatility Trading, and the up-coming Positional Option Trading. We begin our discussion with Euan’s experience as a market maker as I try to get a better understanding of what a market making operation really looks like from the inside and how it has changed over the last 15 years. Of particular interest to me, given how much market makers have been villianized in recent years, were Euan’s comments on misconceptions about market makers. We then turn to t...2020-07-271h 01
Flirting with ModelsOmer Cedar - Quant-Aware Discretionary (S3E11)Today I am speaking with Omer Cedar, CEO and co-founder of OmegaPoint. One of the significant trends in quant equity over the last decade has been the attempt to better control for unintended bets and idiosyncratic risks. At OmegaPoint, Omer comes at the problem from the opposite direction: helping fundamental managers better focus on their idiosyncratic risk and recognize the factor risks they may be unintentionally taking. We discuss how quantitative investors have impacted markets, how fundamental managers should think about factors, the low-hanging fruit for optimization, and surprising lessons Omer has learned in evaluating...2020-07-2443 min
Flirting with ModelsSandrine Ungari - Alternative Risk Premia (S3E10)My guest in this episode is Sandrine Ungari, Head of Cross-Asset Quantitative Research at SocGen. Sandrine cut her teeth in the industry as a fixed-income pricing quant, but made her way over to sell-side, investment quant research in 2006. Her early research focused on credit and macro, but since 2012 has been heavily focused on equity and alternative risk premia. Our conversation begins with equity factors and Sandrine provides insight both into how factor construction has evolved over the last decade as well as her thoughts into where the field is headed. We broaden our discussion to...2020-07-221h 00
Flirting with ModelsMichael Hunstad - Institutional Trends in Factor Investing (S3E9)In this episode I speak with Dr. Michael Hunstad, Head of Quantitative Strategies at Northern Trust. Our conversation centers around the four key trends Michael is seeing among institutional allocators in the factor space today. These trends are (1) the adoption of factors to manage concentration risk in market-cap weighted benchmarks, (2) a move from single- to multi-factor implementations, (3) using factors to de-risk equity exposure, and (4) a tactical tilt towards value. But Michael isn’t afraid to get in the weeds. He discusses the risks of unintended exposures at length and at one point even explains the im...2020-07-201h 02
Flirting with ModelsMads Ingwar and Martin Oberhuber - Full Stack Machine Learning (S3E8)In this episode I chat with Mads Ingwar and Martin Oberhuber, co-founders of Kvasir Technologies, a systematic hedge fund powered by a full-stack application of machine learning. By full-stack I mean every layer of the process, including data ingestion, signal generation, portfolio construction, and execution, which gives us a lot to talk about. Our conversation covers topics ranging from the limitations of machine learning and hard lessons learned to how to keep up in a rapidly evolving field and thoughts about managing model risk. Given the niche knowledge in a field like machine...2020-07-1755 min
Flirting with ModelsEric Crittenden - All-Weather Portfolios with Trend Following (S3E7)My guest is Eric Crittenden, founder and Chief Investment Officer of Standpoint Funds. Eric has spent his career with trend following strategies, first at BlackStar where he managed a fund-of-funds, then at Longboard, and now at Standpoint Funds. This background makes him not only a fountain of knowledge on trend following theory, but also the operational logistics and practical considerations. In this episode our conversation ranges from the source of the trend-following premium to novel concepts for stress-testing managed futures programs. We discuss the struggles the space has faced, the evolution of CTAs, how to...2020-07-151h 04
Flirting with ModelsJeffrey Baird - Commodity Convexity (S3E6)In this episode I speak with Jeffrey Baird, managing partner at Merritt Point Partners. Merritt Point Partners seeks to build diversified portfolios of convexity exposure through the commodities market. With that in mind, we talk about what makes the commodities market unique, who the players are, and the types of trades that Jeff looks for. Stepping somewhat outside of the theme for this podcast, Jeff actually employs a heavily fundamentals-driven process. But what fundamental means in the commodity space is different than what it traditional means in the equity space, so Jeff walks us through...2020-07-131h 00
Flirting with ModelsDr. Ernest Chan - Tail Reaper (S3E5)My guest in this episode is Dr. Ernest Chan, founder of QTS Capital Management. Investor, researcher, and educator, Ernie is well-known for his blog – which he has been publishing since 2006 – as well as the several books he has authored, including Quantitative Trading, Algorithmic Trading, and Machine Trading. Our conversation meets at the intersection of tail risk hedging and machine learning. Ernie has a long history with machine learning, having first applied it on Wall Street in the late 1990s. After striking out on his own in 2006, he abandoned it due to the overfitting issues he beli...2020-07-1049 min
Flirting with ModelsJim Masturzo - Tactical Asset Allocation (S3E4)In this episode I speak with Jim Masturzo, Head of Asset Allocation at Research Affiliates. In his role, Jim oversees the research and publication of the firm’s capital market assumptions as well as the implementation of those views into a suite of tactical portfolios. We begin our conversation discussing the foundational assumptions behind the capital market assumptions. Like most firms, Research Affiliates takes a long-term view on return and risk. In line with the firm’s guiding philosophy, they also introduce long-term mean reversionary effects. Not surprisingly, these assumptions have been relatively bear...2020-07-0854 min
Flirting with ModelsDr. Benn Eifert - Bad Ideas (S3E3)Today I am speaking with Benn Eifert, founder and CIO of QVR Advisors. Benn is my first repeat guest on the podcast, making his first appearance in Season 2. When I asked listeners who they wanted on for Season 3, he was high on the list. In this episode, we take things in a bit of a different direction. Rather than a normal interview, I use this opportunity to ask Benn about his opinion on a number of different trade ideas, from covered calls to shorting VIX ETPs. Benn walks me through the subtleties of each trade...2020-07-0654 min
Flirting with ModelsMichael Krause - Evolving Long/Short Equity (S3E2)In this episode I am joined by Michael Krause, co-founder of Counterpoint Asset Management and Counterpoint Mutual Funds. Our conversation covers two major topics. In the first half, we discuss some of the nuances of high yield bond timing and the subtleties of strategy construction. In the second half, we discuss long/short equity strategies. For listeners more interested in the technical, this is where the meat and potatoes of the conversation lies. We discuss Michael’s evolution from regression to machine learning techniques, the unintended consequences of accidental exposures, and managing risk th...2020-07-031h 08
Flirting with ModelsK.C. Hamann - Quantifying Conviction (S3E1)My guest today is K.C. Hamann, founder of AQIS LLC. K.C. is a Warren Buffett disciple and spent his first decade in the industry working as an analyst at discretionary, deep value long/short equity hedge funds. Which probably makes him sound like an odd guest for a podcast all about quantitative investing. K.C.’s experiences, however, lead him to identify a number of biases that he believes pollute the stock picking skills of discretionary analysts. And thinking of a hedge fund as a system whose first goal is survival, he believes th...2020-07-011h 11The DerivativeNoodling on Ensembles, Trend, & Convexity with Newfound’s Corey HoffsteinOur guest today is the Co-founder & CEO of Newfound Research, host of the popular podcast Flirting with Models, and FinTwit “influencer” – Corey Hoffstein. In this episode, we’re talking with Corey about the impact of “data”, the juvenile meaning behind Flirting with Models, 1000s of flavors of trend, hitting the gym, the founding of Newfound, suicides in Ithaca, sticking to your strategy through investor unrest, alts vs equities firm, the value of managed futures, implementing an ensemble approach, the mismatch between expected and market convexity, is trend actually dead, applying AI and machine learning – in alts & the world, and Corey’s favorit...2020-06-181h 30
Resolve Riffs Investment PodcastCorey Hoffstein- Strategy Construction: Why Simple is FragileThis episode of Gestalt University could not be timelier, having been recorded two weeks prior to the current market correction that began in late February 2020. The discussion of fragile versus robust approaches is especially important given how recent volatility has led simpler tactical strategies to signal a complete shift away from equities and towards cash. This in turn has left practitioners second-guessing the wisdom of their indicators and hesitant to pull the trigger. For this fascinating conversation we bring none other than Corey Hoffstein of Newfound Research. Corey has lived by the “risk cannot be destroyed, only tr...2020-03-071h 00
The Acquirers PodcastEquity Momo: Newfound's Corey Hoffstein on robust momentum and quant value with Tobias on The Acquirers PodcastCorey Hoffstein is co-founder of and Chief Investment Officer at Newfound Research. Founded in August 2008, Newfound Research is a quantitative asset management firm based out of Boston, MA.
Newfound/ReSolve Robust Equity Momentum Index https://www.thinknewfound.com/nrromot
U.S. Equity ETF Style Premia: https://www.thinknewfound.com/style-dashboard
Blog: https://blog.thinknewfound.com/
Flirting with Models Podcast: https://www.thinknewfound.com/podcast
Corey's Twitter: https://twitter.com/choffstein
ABOUT THE PODCAST
Hi, I'm Tobias Carlisle. I've launched a new podcast called The Acquirers Podcas...2020-02-1059 min
Flirting with ModelsCorey Hoffstein - Rebalance Timing Luck (S2E11)My guest today is … me. But rather than interview myself, my co-portfolio manager Nathan Faber joins the podcast to take the reigns. In this episode, we talk all things rebalance timing luck. It’s been an obsession of mine for years and something we believe to be a dramatically misunderstood and outright ignored source of risk in portfolios. We discuss how we first came across the topic, some recent research into it, important implications for the industry at large, and how we can try to solve for it. I hope you enjoy the conv...2019-12-0947 min
Flirting with ModelsDaniel Grioli - Learning (S2E1)My guest in this episode is Daniel Grioli. Daniel cut his teeth in the industry at Deutsche Bank in London, where he was responsible for valuing structured equity and hedge fund of fund products targeted at continental Europe. His timing of joining Deutsche, while perhaps somewhat unfortunate for him, proves fortunate for us as he retells a few war stories and lessons learned from the desk leading into 2008. During the crisis, Daniel found himself back in Australia working for a pension fund, where he made a career in manager evaluation, selection, and combination. That makes Daniel somewhat uni...2019-06-231h 30
Top Traders Unplugged with Niels Kaastrup-Larsen40 The Systematic Investor Series ft Corey Hoffstein – June 16th, 2019This week, we’re joined by Corey Hoffstein from Newfound Research, as well as being the host of the Flirting With Models podcast. We discuss Corey’s journey into Systematic Investing, why the year you enter the markets will likely impact how you invest in the future, and why random returns can actually be worse for your system than just good or bad returns. Corey explains the term ‘Sequence Risk, why risk can only be transformed and not destroyed, why investors should avoid being too short-term, and if past performance is actually indicative of future returns. We also get Corey’s v...2019-06-161h 40
Top Traders UnpluggedSI40: Is past performance actually indicative of future returns? ft. Corey HoffsteinThis week, we’re joined by Corey Hoffstein from Newfound Research, who also hosts the Flirting With Models podcast. We discuss his journey into Systematic Investing, why the year you enter the markets will likely impact how you invest in the future, and why random returns can actually be worse for your system than bad returns. Corey explains the term ‘Sequence Risk’, why investors should avoid being too short-term, why risk can only be transformed and not destroyed, and if past performance is actually indicative of future returns. We also get Corey’s views on simplicity versus complexity, how he approach...2019-06-161h 40
My Worst Investment Ever PodcastCorey Hoffstein - Beware of Pure Story-Driven InvestingGuest profile Corey Hoffstein is a co-founder of and chief investment officer at Newfound Research, a firm founded in August 2008, which is a quantitative asset management firm specializing in risk-managed, tactical asset allocation strategies. At Newfound, Corey is responsible for portfolio management, oversight of research and communication of the firm’s views to clients. He received his degree in BS in computer science from Cornell University and finished his MS in computational finance from Carnegie Mellon University. Early investing foray – road to the fall Corey’s tale takes place about a decade ago wh...2019-03-1719 min
Standard Deviations with Dr. Daniel CrosbyCorey Hoffstein - A Day at the Factor ZooCorey Hoffstein is one of the brightest minds in quant investing and has a unique knack for making hard-to-understand concepts palatable for novice investors. Tune in this week to understand:
• Why a risk-first approach to managing money could make sense
• Why pain may actually be sought out when considering investment factors
• What set of circumstances would cause Corey to reconsider a cherished investment factor
• Why honesty and candor can be essential characteristics of good asset managers
2019-03-141h 00
Conversations with Institutional Investors15: Newfound Research's Corey Hoffstein - Style Factors and Investment RiskCorey Hoffstein is the co-founder and Chief Investment Officer at Newfound Research, as well as an ETF Strategist. Hoffstein and his colleagues have produced some of the more innovative research papers in recent years, venturing into debates such as using style factors at a sector level, combining leverage and trend-following to reduce the scope of drawdowns and admitting that investing will often be frustrating and always risky. Hoffstein's motto therefore is: 'Risk cannot be destroyed, it can only be transformed'
Corey Hoffstein podcast overview:
1:45 Mount Rushmore of Quants: Would you put Asness and Arnott together?
5:30 I thought that I would...2018-08-011h 50