Roni Israelov – High Frequency Factors, the Volatility Risk Premium, and Re-Thinking Financial...

My guest is Roni Israelov, CIO of NDVR. Prior to NDVR, Roni was a principal at AQR Capital Management, where he worked on global risk models, high frequency factors, and lead the development and oversight of options-oriented strategies. Taking a page from Roni’s career and research, our conversation is far ranging. We discuss topics from global asset risk models to the application of high frequency signals to tail risk hedging. While there are insights to glean in each of these topics, I think the conversation helps paint an insightful picture about how Roni thinks about research in general. Towards the end of the conversation we talk about the new research Roni is tackling at NDVR, a financial advisory firm for high net worth individuals. The role brings new challenges to consider, such as liability management and risk tolerance within the framework of portfolio optimization. Even though the topics differ, I think you’ll hear a very common thread in how the research is performed. Please enjoy my conversation with Roni Israelov. ====== Corey Hoffstein is the CEO and CIO of Newfound Research and portfolio manager of the Return Stacked® ETF Suite. Corey is an active researcher and his work has been published in the Journal of Indexing and the Journal of Alternative Investments. He is also the host of the popular quantitative investing podcast Flirting with Models. 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. Follow Corey Hoffstein: ▶ Twitter: https://www.twitter.com/choffstein — Follow Flirting with Models: ▶ Apple: https://podcasts.apple.com/us/podcast/flirting-with-models/id1402620531 ▶ Spotify: https://open.spotify.com/show/1IXldCXztfTaZeHbtcDRQI Follow Return Stacked: ▶ Portfolio Solutions: https://www.returnstacked.com ▶ ETFs: https://www.returnstackedetfs.com

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