Jeff Rosenburg – The Past, Present, and Future of Systematic Fixed Income (S7E19)
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Hey, everyone. Corey Hofstein here. If you've been tuning in to Flirting with Models, you know I'm all about rethinking portfolio construction, and I wanna personally invite you to an event that's doing just that. On October 8, we're hosting the return stacking symposium at Cboe Global Markets in Chicago. It's a one day in person deep dive into capital efficient strategies, and we're featuring speakers like Jonathan Glidden, CIO of Delta Airlines, Patrick Casley from One River, and Mark Horbul, managing director of the systematic strategies group at Canada Pension Plan. This is your chance to
Corey Hofstein is the cofounder and chief investment officer of Newfound Research. Due to industry regulations, he will not discuss any of Newfound Research's funds on this podcast. All opinions expressed by podcast participants are solely their own opinion and do not reflect the opinion of Newfound Research. This podcast is for informational purposes only and should not be relied upon as a basis for investment decisions. Clients of Newfound Research may maintain positions and securities discussed in this podcast. For more information, visit thinknewfound.com.
In this episode, I speak with Jeffrey Rosenberg, managing director at BlackRock, where he leads active and factor investments for mutual funds, ETFs, and institutional portfolios for the systematic fixed income team. In the first half of the conversation, we discussed the history of quant fixed income, specifically its evolution within the halls of sell side institutions and how solutions were shaped by demand for underwriting, securitization and derivatives. We then make the leap to the buy side, where Jeff outlines the topology of systematic fixed income solutions at BlackRock. We quickly di
Thank you, Corey. It's great to be here with a fellow master of science in computational finance grad from Carnegie Mellon. Shout out to our shared alma mater. That's gonna be one of the themes here is the differences in doing quant in fixed income versus doing quant equity. That'll probably come out over the course of the show.
Of course. Well, you brought up our shared alma mater here. And one of the things we spent time talking at length about on our pre call was actually how different our experiences were because you went really in those nascent years of the program and I went much later right before financial crisis. And if you look at the program today, it's very different. These are a changing curriculum, which sort of brings me to my intro question here, which is about your background. Because your formative experience in fixed income, as I read and understand how you have traversed your career, it was very in
I'll try not to spend the entire time on the background question because we got a lot to go through. I'm about ten years ahead of you in terms of the generations. I got into finance coming out of undergrad. I'm from Minnesota, so I was in the Midwest. Went to University of Wisconsin, Madison for my first undergrad. It was the end of the eighties and the beginning of the nineties, and it was the era of Louis Ranieri, liars poker, and the innovations around mortgages. I was at a firm that was kind of a new up and coming asset management company, and their entry into the space was as being a spec
I wanna start this conversation with maybe a little bit of a history lesson. A broad view of history on quant fixed income and its evolution over the last thirty years. I suspect if you ask most quants, they can tell you the history of quant equity. They can go CAPM, DeForme of French factors, to the in
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