In this episode of "Flirting with Models," Corey Hoffstein interviews Roxton McNeal and Siddharth Sethi from Simplify Asset Management about building and managing multi-strategy Quantitative Investment Strategy (QIS) portfolios. They discuss the infrastructure, portfolio construction, and risk management involved, highlighting the distinction between structural and academic premia. The conversation covers Simplify's evaluation and customization of QIS offerings from banks, dynamic allocation strategies, integration with traditional portfolios, and operational considerations. They also share their experiences transitioning from large firms to an entrepreneurial environment and delve into the practical realities of QIS investing, including evaluating new QIS premia like zero DTE strategies and managing cross-sectional risks.
