In this episode of Flirting with Models, Corey Hoffstein interviews Giuseppe Paleologo (Gappy), a quantitative researcher with experience at Citadel, Millennium, and HRT, currently on garden leave before joining Pagliasni Asset Management. Gappy discusses the role of a quant researcher in multi-manager hedge funds, including portfolio manager coverage, factor hedging, and internal alpha capture, emphasizing the goal of maximizing firm P&L. The conversation covers factor research, portfolio construction, the differences between returns and characteristics, mixing alpha signals, single versus multi-period optimization, and linear versus non-linear models, also touching on the idiosyncrasies of different firms and the importance of risk management.
