Alpha Exchange
159 episodes - English - Latest episode: 8 days ago - ★★★★★ - 69 ratingsThe Alpha Exchange is a podcast series launched by Dean Curnutt to explore topics in financial markets, risk management and capital allocation in the alternatives industry. Our in depth discussions with highly established industry professionals seek to uncover the nuanced and complex interactions between economic, monetary, financial, regulatory and geopolitical sources of risk. We aim to learn from the perspective our guests can bring with respect to the history of financial and business cycles, promoting a better understanding among listeners as to how prior periods provide important context to present day dynamics. The “price of risk” is an important topic. Here we engage experts in their assessment of risk premium levels in the context of uncertainty. Is the level of compensation attractive? Because Central Banks have played so important a role in markets post crisis, our discussions sometimes aim to better understand the evolution of monetary policy and the degree to which the real and financial economy will be impacted. An especially important area of focus is on derivative products and how they interact with risk taking and carry dynamics. Our conversations seek to enlighten listeners, for example, as to the factors that promoted the February melt-down of the VIX complex. We do NOT ask our guests for their political opinions. We seek a better understanding of the market impact of regulatory change, election outcomes and events of geopolitical consequence. Our discussions cover markets from a macro perspective with an assessment of risk and opportunity across asset classes. Within equity markets, we may explore the relative attractiveness of sectors but will NOT discuss single stocks.
Homepage Apple Podcasts Google Podcasts Overcast Castro Pocket Casts RSS feed
Episodes
Jerry Peters, Managing Partner, Smithbrook, LLC
April 17, 2024 04:00 - 56 minutes - 39 MBThe “rule of 72” tells us that a good approximation for the time it takes to double your money can be arrived at by taking 72 and dividing by the interest rate that capital can compound by on an annual basis. Implicit in the calculation is that the initial stack is left untouched and is not vulnerable to a drawdown. In this context, it was great to welcome Jerry Peters, the Managing Partner of Smithbrook to the Alpha Exchange. Providing a risk-managed equity solution to its high net worth cl...
Mandy Xu, Head of Derivatives Market Intelligence, Cboe Global Markets
April 08, 2024 16:15 - 54 minutes - 49.6 MBAfter a 13-year career at CSFB where she would ultimately head the firm’s equity derivative strategy effort, in 2023 Mandy Xu moved to the CBOE where she’s now Head of Derivatives Market Intelligence and swimming in interesting, complex data sets. Our conversation surveys product innovation, going back to the first option trade ever on the CBOE, call options on July 1973 Xerox, through today’s vastly electronified ecosystem of trading in cross-asset risk exposures. We briefly review the unb...
Kieran Goodwin, Consultant, Saba Capital Management
April 02, 2024 08:00 - 52 minutes - 48 MBKieran Goodwin’s roots go back to the early days of both distressed debt investing and the credit default swap market, two classes of risk he has seen experience significant change over the last 25 years. Our conversation gets underway by exploring the notion of alpha decay in the distressed market, a diminishing opportunity set that has resulted from smarter capital entering the space, equipped with an understanding of the often complicated process around bankruptcy and reorganization. Kier...
Lori Calvasina, Head of US Equity Strategy, RBC Capital Markets
March 28, 2024 08:00 - 47 minutes - 43.5 MBIn Lori Calvasina's role as Head of US Equity Strategy at RBC Capital Markets, assessing the interaction between macro variables like rates with top-down factors like the equity market multiple is critical. But important as well is an evaluation of markets from the bottoms up. And here, she not only seeks to pull together the views of colleagues doing strategy work in sector verticals, but also to actually read earning transcripts during reporting season to get a sense of what companies are ...
Jared Dillian, Author: “No Worries: How to Live a Stress-free Financial Life”
March 19, 2024 08:00 - 38 minutes - 35 MBGeorge Orwell once said that writing a book is a “horrible, exhausting experience…that one would never undertake if one were not driven by some demon whom one can neither resist nor understand”. Ok then. Let’s all agree that writing a book is a heavy lift. Let’s also agree that the personal finance advice industry is littered with gurus making outlandish statements about profit opportunities and often giving unsound advice on wealth management. With these in mind, it was a pleasure to welc...
25 Sayings on Vol and Risk…Part 5 of 5
March 05, 2024 09:00 - 27 minutes - 25.4 MBOur final segment of 25 Sayings on Vol and Risk is upon us, and with it, 5 fresh pithy principles that I often turn to in trying to make sense of this chaotic sport we call markets. Along the way, in typing out these more than 20,000 words over the series, I’m probably out more than 50 dollars in espresso inspired drinks from Starbucks lead by the dirty chai latte and the caramel machiatto. But I’ve learned some stuff and had some fun and I hope you have as well. Sayings 21 through 25 are… ...
25 Sayings on Vol and Risk…Part 4 of 5
February 26, 2024 19:49 - 27 minutes - 19 MBThe task at hand is simple….make further progress on our 25 Sayings on Vol and Risk. I’ve certainly had some fun with the first 15. Somehow, in the context of this exploration of market risk philosophy, I’ve managed to quote both former President Ronald Reagan and Seinfeld hack comedian Kenny Bannia, summoned the wisdom of Wolf of Wall Street’s Mark Hannah and referenced both Morgan Stanley’s James Gorman and Optionseller.com’s James Cormier. My promise remains to get you in and out in unde...
25 Sayings on Vol and Risk…Part 3 of 5
February 20, 2024 21:03 - 25 minutes - 17.3 MBOur journey to 25 Sayings on Vol and Risk continues, folks…and as UFC’s Bruce Buffer is known to emphatically tells us…”It’s TIME!”… for our third segment…sayings 11-15. We’ve got some good ones ahead of us and, as always, I aim to share some of my thinking on markets, overlay a dose of history and pop culture and, perhaps, give you a chuckle in the process. We’ll be in and out in under 30 minutes, i.e., shorter than a Powell presser, a five-block cab ride from the east side to west side, a...
25 Sayings on Vol and Risk…Part 2 of 5
February 07, 2024 18:00 - 25 minutes - 17.8 MBHello! You’ve reached part 2 of our 5 part series “25 Sayings on Vol and Risk”. Over the first half hour episode, we kicked off with the first 5. Over these 30 minutes, we shall explore sayings 6 through 10. The task at hand is to make headway on our sayings, and, hopefully, entertain you a bit in the process. My goal, share some of what I’ve written down on the back of napkins over the years to help me tie together what I’ve observed and experienced in markets. Through these aphorisms as on...
Matt King, Founder, Satori Insights, LTD
February 05, 2024 17:00 - 58 minutes - 40.3 MBEfforts to understand the “why” of the motion in asset prices consume our time and attention in markets. To be sure, traditional sources of risk – namely the economy, the path of corporate profits and changes in the interest rate cycle – do matter. But, as Matt King argues, especially since 2012, we increasingly need to monitor what’s happening in the financial plumbing where Treasury and Central Bank driven fund flows can be responsible for powerful liquidity dynamics. Serving sometimes...
25 Sayings on Vol and Risk…Part 1 of 5
January 31, 2024 16:00 - 26 minutes - 18.6 MBI wanted to share with you some of my thoughts about the current state of market risk as this new year is now sufficiently underway. A number of years ago, I created a list that I call “25 Sayings on Vol and Risk”. In the spirt of 7 minute abs and 12 holiday recipes, I think lists are an easy way to connect concepts. Twenty five is a lot to get through, so we are going to simply divide them into 5, creating a series of half hour episodes. I do hope I can keep your attention and, again, make...
Danny Dayan, Founder and CIO, DWD Partners
January 19, 2024 17:00 - 55 minutes - 38.3 MBDanny Dayan has spent more than 2 decades in markets, developing a top-down process that seeks to find opportunity in derivatives markets. In his search for value in option trades, he marries a study of the macro landscape – including the economic backdrop, the evolution of inflation and the Central Bank reaction function to incoming data – with expertise in understanding how to implement and risk manage a derivatives portfolio. With experience across the major asset classes, but a long hist...
Nancy Tengler, CEO and CIO, Laffer Tengler Investments
December 27, 2023 09:00 - 49 minutes - 34.1 MBIt was once said that we are “the sum total of our experiences”. In the world of investing, this rings especially true. For Nancy Tengler, the CIO of Laffer Tengler Investments, a career in money management that has spanned more than 3 decades has presented real world challenges and opportunities that have reinforced a philosophy on risk. First, she shares that her interest in money came from not having any of it, pushing her to first focus on savings and then on investing that savings. ...
Alpha Exchange 5 Year Anniversary Podcast, Part II
December 13, 2023 18:00 - 40 minutes - 28.1 MBWelcome back, as we review some of the themes and insights that have been prominent over the first 5 years of the podcast. In Part II, we discuss inflation, stock-bond correlation as well as trend strategies. We finish with a not so optimistic take on the growth of US government debt and the strains emerging on the risk-bearing capacity of the Treasury market. The late Doris Day once said that “gratitude is riches”. I am full of gratitude for having the opportunity to host the Alpha Exchange...
Alpha Exchange 5 Year Anniversary Podcast, Part I
December 13, 2023 18:00 - 43 minutes - 30.3 MBWelcome to Part I of a special, retrospective podcast, looking back on 5 years of the Alpha Exchange. It’s been a joy hosting these conversations with experts. I’ve had an opportunity to solicit their insights and bring to life the lens through which they evaluate risk and reward. In Part I, I highlight some of what guests have shared with respect to how risks materialize, with attention to the exposures that sometimes are forcibly unwound when assumptions about the state of the world chang...
Anthony Morris, Global Head of Quantitative Strategies, Nomura International
December 08, 2023 16:38 - 1 hour - 48.3 MBTony Morris, Global Head of Quantitative Strategies at Nomura International, has spent 25 plus years studying complex market pricing relationships across asset classes, with a focus on derivatives. Our conversation explores some of the factors that drive asset price outcomes, first, considering the vol risk premium. Observing the consistent shortfall of realized versus implied vol in the equity market, Tony details a similar circumstance in credit where realized defaults are lower than impli...
Retrospective Episode: Reflections on Women in Finance
November 16, 2023 21:00 - 37 minutes - 25.7 MBWelcome to a special Alpha Exchange Retrospective podcast in which I highlight discussions with female guests and their reflections on efforts to empower careers for women in the field of finance. I launched the Alpha Exchange back in 2018 to host conversations with prominent investors, strategists and policymakers that explored the world of market risk. Over the course of these last 5, most interesting years, I’ve been fortunate to engage with 135 individuals, soliciting their perspectives,...
Dennis DeBusschere, Co-Founder and Chief Market Strategist, 22V Research
November 03, 2023 18:00 - 56 minutes - 38.6 MBGame 5 of the 1973 NBA finals would be the last one played by Wilt Chamberlain, as the Lakers lost to a NY Knick team that featured basketball legends Walt Clyde Frazier, Earl the Pearl Monroe and Willis Reed. A fourth hall of famer, Dave DeBusschere, donning the number 22, also played an instrumental role in what was the last championship for the Knicks. 50 years later, his son, Dennis DeBusschere, is a co-founder and the Chief Market Strategist at 22V Research, a firm advising institutiona...
Darrell Duffie, The Adams Distinguished Professor of Management and Professor of Finance, Stanford University
October 27, 2023 15:00 - 57 minutes - 39.2 MBOver a distinguished 40-year career as an academician in finance, Darrell Duffie has made important contributions to our collective understanding of how markets work. Earning a PhD from Stanford in 1984, Darrell has taught finance there ever since and now serves as the Adams Distinguished Professor of Management and Professor of Finance at the Graduate School of Business. Along the way he has written several books, authored countless papers and provided guidance to policymakers who have soug...
Amanda Lynam, Head of Macro Credit Research, Portfolio Management Group, Private Markets, BlackRock
October 25, 2023 17:45 - 1 hour - 57.5 MBAs head of Macro Credit Research within Private Markets at BlackRock, Amanda Lynam is responsible for assessing how the broad picture of risk impacts credit markets and the securities within them. In doing so, she marries the top down with an understanding of company fundamentals, a skillset developed during her time in a sell-side research role focused on the insurance and healthcare sectors. Our discussion takes stock of the current opportunity set in corporate credit, exploring Amanda's p...
Anastasia Amoroso, Chief Investment Strategist, iCapital
October 20, 2023 08:00 - 58 minutes - 39.9 MBAs Chief Investment Strategist at iCapital, a global alternatives platform, Anastasia Amoroso is responsible for helping the firm’s clients understand changes in the macro regime and how capital should be allocated in response. We start our discussion by considering the current state of affairs – of high interest rates, of correlated moves in stock and bond prices and resilient economic growth – and exploring where history is and is not relevant. Here, Anastasia highlights the degree to whi...
Torsten Slok, Partner and Chief Economist, Apollo Global Management
October 16, 2023 22:50 - 1 hour - 41.3 MBArmed with a PhD in economics, Torsten Slok spent several years at the OECD, doing deep dive analysis and making policy recommendations on big picture issues such as pension reform, tax systems and health care policy, before ultimately hitting Wall Street. He spent more than 15 years on the sell-side, a period that included the GFC and Pandemic and the lean rate years between them. Now a Partner and Chief Economist at Apollo Global Management, Torsten is providing input on the macroeconomic...
Cameron Dawson, Chief Investment Officer, NewEdge Wealth
September 29, 2023 19:34 - 53 minutes - 36.5 MBAn undergrad econ major, Cameron Dawson got hooked on markets early, taking a class on securities and portfolio analysis in Business School which set her down the path of market study. She broke into the business as an industrials analyst on the buy-side, time that gave her an opportunity to develop an appreciation for how the macro landscape intersects with the micro business fundamentals within a cyclical universe of stocks. In this context, we review the period from 2014 to 2016, a time ...
David Rogal, Managing Director, Global Fixed Income, Head of Total Return and Inflation Portfolios, BlackRock
September 27, 2023 08:00 - 55 minutes - 38 MBWith a penchant for math and a degree in biology from Cornell, Dave Rogal landed at BlackRock in 2006. With the housing bubble in full sway, he was part of a group that provided asset liability management advice to large institutions. Three years later, as the dust settled from the financial crisis, he joined the fixed income division, mentored by industry experts, and quickly exposed to the world of pricing dislocations that populated the system well into 2009. Now the head of Total Return...
Karishma Kaul, Head of Systematic Fixed Income Strategies, Fidelity Investments
September 22, 2023 09:00 - 58 minutes - 40 MBTo be sure, factor investing has been a thing in equities for some time now, with vast pools of capital managed by firms that employ a systematic approach to harvesting style factors like growth, value and momentum. In 2013, Asness, Moskowitz and Pedersen authored, “Value and Momentum Everywhere”, for the Journal of Finance, finding common factors in return attribution across 8 markets. Still, a decade later, fixed income factor investing is a nascent strategy. Enter Karishma Kaul, Head of ...
LTCM 25 Years Later, Dean Curnutt, Host, Alpha Exchange
September 08, 2023 09:00 - 52 minutes - 36.1 MBWelcome to a special retrospective edition of the Alpha Exchange, narrated by yours truly. I’m a big fan of consequential events in market history as they provide a great opportunity to learn about the conditions under which asset prices can become unruly. Are there commonalities in these episodes that might allow us to develop a roadmap for why, how and when they might occur? From a risk management perspective, what are the key lessons of vol events? In this context, it’s difficult not t...
Kristy Akullian, Senior Investment Strategist, BlackRock
August 25, 2023 09:00 - 1 hour - 44.8 MBFor Kristy Akullian, an interest in economics during college was motivated by a need to learn about personal finance in order to make budget each month with student loans and other expenses. After a short stint at a boutique RIA, she joined the iShares division within BlackRock, where she is now a Senior Strategist supporting the firm’s clients on asset allocation. Our conversation explores the development of ETF technology over the years and Kristy’s time as part of the delta one initiativ...
Mimi Duff, Head of NY Office, GenTrust, LLC
August 11, 2023 16:00 - 56 minutes - 51.8 MBWith more than two decades of experience trading and managing risk in sell-side and buy-side roles, Mimi Duff has learned a thing or two about high finance. In the early 1990’s she cut her teeth writing research for agency and treasury securities at Goldman Sachs. She’d later move to trading, focused on making markets in the long end utilizing a framework for the relative value of securities across the curve. We review some of the prominent risk events she’s traded through including Septemb...
Rocky Fishman, Founder and CEO, Asym 500 LLC
August 04, 2023 09:00 - 59 minutes - 41 MBMarket prices are the outcome of a myriad of factors. Geopolitical developments, the economy, the regulatory landscape and the actions of Central Banks all matter. So, too, do market participants and the set of products they utilize to assume or reduce risk exposures. For Rocky Fishman, the founder of newly formed derivatives strategy firm Asym 500, studying complex products and the mechanical flows they often generate is critical. Our discussion is a review of market risk episodes and how ...
Daniel Villalon, Global Co-Head of Portfolio Solutions, AQR Capital Management
July 25, 2023 18:00 - 1 hour - 42.6 MBAs Global Co-head of Portfolio Solutions at AQR Capital Management, Dan Villalon is primarily engaged in helping the firm’s clients address constantly evolving challenges around risk management. Central to these, of course, is the search for efficient sources of diversification. In this context, our discussion explores research his team has done in two primary areas. First, we talk about defending against drawdowns that are both fast and slow and back-tests that compare options-based hedgin...
Corey Hoffstein, CIO, Newfound Research
July 17, 2023 18:00 - 1 hour - 47.5 MBWith 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 entitle...
Assessing Recent Dynamics in the World of Vol
July 12, 2023 19:00 - 41 minutes - 28.6 MBYour host is back again, providing some thoughts and commentary on the recent period of low volatility in the equity market. With SVB and the debt ceiling uncertainty mostly in the rear-view, markets embraced the calm, experiencing just a single 2% up move and a single 2% down move in the first half of 2023. I break down the causes and consequences of lower volatility. Along the way, you’ll hear some talk on the gamma/theta trade-off, stock bond correlation, the price of upside calls in the ...
Black Scholes Turns 50
June 26, 2023 10:00 - 32 minutes - 22.6 MBAs we cue up some new guests for the Alpha Exchange, some reflections from your host on the Black Scholes model and its 50th anniversary. No model is perfect and traders must grapple with real world frictions not entertained by the model. I discuss how option market participants make adjustments and why. Hope you enjoy!
Amy Wu Silverman, Head of Equity Derivatives Strategy: RBC Capital Markets
June 02, 2023 08:00 - 49 minutes - 34.2 MBIn a world bubble for the Alpha Exchange podcast, the words vol, carry and convexity would be prominent. And in this episode, featuring Amy Wu Silverman, the Head of Equity Derivatives Strategy at Royal Bank of Canada, we dive into these concepts head on. First, we learn about Amy’s experience in structured rates when, in and around 2007, Fannie and Freddie were the go-to credit to which all kinds of complex instruments were attached. Reflecting on how wrong this ultimately went, she tells ...
Nitin Saksena, Head of US Equity Derivative Research, BofA Securities
May 26, 2023 15:00 - 1 hour - 41.4 MBThere's always a bull market somewhere, and in today's climate of hyper short termism, both volume and commentary are thriving in the land of zero days to expiry options. While the risk characteristics of ODTEs are generally agreed on, the directionality of the flows and resulting positioning remain subjects of vigorous debate. With this in mind, it was a pleasure to welcome Nitin Saksena, the Head of US Equity Derivatives Research at BofA Securities, to the Alpha Exchange. Before embarking...
Roni Israelov, President and CIO: NDVR
May 05, 2023 08:00 - 1 hour - 42.7 MBThe hedge that carries positively but delivers convex returns during a market panic is about as elusive as our lawmakers coming together in bipartisan fashion. As head of option strategies at AQR, Roni Israelov not only confirmed this but saw in the empirical data distinctly unpromising results for hedging strategies that utilized put options. Trained with a PhD in Financial Economics from Carnegie Mellon, Roni has spent his career researching complex topics in markets. We explore his paper...
Dean Curnutt: Ten Handy Facts on Vol
April 28, 2023 19:58 - 24 minutes - 16.8 MBWelcome to a special edition of the Alpha Exchange, one in which your host and guest are one and the same. Above all, our conversations on this podcast are aimed at helping you think about risk. After all, it was the Spanish philosopher George Santayana who famously said, “those who forget history are doomed to repeat it.” This podcast has three parts. First, an update on a project I’ve been working on, MacroMinds. I created this foundation back in 2019 to raise funding for causes in the N...
Libby Cantrill, Head of Public Policy: PIMCO
April 21, 2023 16:52 - 50 minutes - 34.9 MBWhat has experience taught us about consequential market risk events? First, volatility in asset prices can materialize when a strongly held consensus view is shattered. Presented with “new news” – about defaults, about inflation, about earnings – investors may be forced to shed exposures, right-sizing their risk allocations to this new state of the world. Market vol episodes can be especially protracted when the attendant uncertainties do not fit neatly into an Excel spreadsheet. Here, the...
Roger Lowenstein, Author: "When Genius Failed"
April 14, 2023 08:00 - 51 minutes - 35.6 MB25 years post the chaotic unwind of Long Term Capital Management, there are lessons a plenty to be gleaned from this event. With this in mind, it was a pleasure to welcome acclaimed writer Roger Lowenstein, author of the famous book “When Genius Failed”, to the Alpha Exchange. His work is a compelling chronical of the vast success but ultimate failure of this storied hedge fund. We discuss some of the philosophical underpinnings of the firm’s risk management framework, focusing on the influ...
The Alpha Exchange Q1 2023 Review
April 03, 2023 19:00 - 30 minutes - 21.3 MBWelcome to the Alpha Exchange Q1 2023 Review, in which we assess some of the trends in market risk that have recently been important. We discuss gold, the performance of VIX ETP strategies and the return of traditional risk on/risk off. We also spend time dissecting changes in the shape of the S&P 500 Index volatility skew and commenting on that well known put spread collar. We finish with some information on the MacroMinds Investment Symposium, an event taking place on June 7th in New York ...
Nicholas Dunbar, Author: “Inventing Money”
March 24, 2023 08:00 - 56 minutes - 38.8 MBI like to say that you learn the most in markets by studying the periods when things go horribly wrong. And in this spirit, Alpha Exchange guests are often asked to reflect back on risk events of great consequence. 2023 marks the 25th anniversary of the LTCM fiasco, an event too long ago to matter for anyone under the age of 40, even as there are valuable lessons to be had from this giant portfolio unwind. As we look back on this vol event from 1998, it was a pleasure to welcome Nicholas Dun...
Adam Parker, Founder and CEO, Trivariate Research
March 10, 2023 20:00 - 59 minutes - 40.6 MBThere are lies, damn lies and statistics as the saying goes, and about the latter, Adam Parker knows a thing or two. Armed with a Phd in stats, he began his Wall Street career as a semi’s analyst at Sanford Bernstein in 1999. Reflecting back on the deep dive research the firm was known for, he notes that today’s rapid fire information environment requires especially efficient communication to clients. We look backward to gather some insights on how Adam’s framework and process came to be. M...
Jonathan Golub, Chief U.S. Equity Strategist & Head of Quantitative Research, Credit Suisse
March 06, 2023 22:00 - 59 minutes - 40.9 MBWith 3 decades in markets, Jon Golub’s career is split evenly between the buyside and sell-side. Reflecting on his early days in the industry, Jon notes the especially benign environment that characterized the 90’s, a period of post-Cold War geopolitical stability, with the trauma of 70’s inflation sufficiently in the rear view even as the tail wind of lower interest rates was still a positive force in markets. While analyzing time series of economic and financial data is a critical part of ...
Eric Liu, Co-Founder and Head of Research, Vanda Research
February 17, 2023 09:00 - 53 minutes - 37 MBSketching out a business plan in 2012, Eric Liu and his Co-founders saw an opportunity to create a product that simplified the world of macro for investors. Vanda Research was born, a firm that seeks to connect the top-down with the bottom up and in the process, fill a gap by providing clients with shorter term tactical research ideas. A decade later, the evolution of Vanda leans heavily on the collection of and analysis of unique and often high frequency data sets. Making the point that “20...
Rebecca Patterson, Former Chief Investment Strategist Bridgewater Associates
February 10, 2023 09:00 - 59 minutes - 41.1 MBRebecca Patterson has always sought out new career challenges, willing to take risks in the process. Amidst the Asian financial crisis in 1997, Rebecca was hired into a Strategist position within the asset management side of JP Morgan, giving her early exposure to one of those 100 year market storm events that seems to actually happen every 10 years. She began building out a macro, data driven framework that was underpinned by the vast array of complex linkages between the economy and market...
Deep Kumar, Co-CIO, III Capital Management
February 03, 2023 09:00 - 53 minutes - 37.1 MBAmong the major asset classes, no market has experienced a sea-change in volatility levels more so than the US government bond market over the past few years. Consider that the MOVE index reached the low 40’s in 2019, spiked to 160 during the March’20 Covid market crisis, descended below 40 in late 2020 and then surged in 2022, again reaching 160. It is against this fast-changing risk backdrop, and exceptionally high vol of vol that I had the pleasure of welcoming Deep Kumar to the Alpha Exc...
Francois Trahan, Founder, Trahan Macro Research
January 27, 2023 11:00 - 1 hour - 42 MBFor Francois Trahan, early exposure to econometric models that sought to forecast business conditions illustrated the importance of changes in interest rates. Over a 25 year time frame, he’s developed a framework that utilizes variables that lead the business cycle and consistently have information content with respect to where markets are heading. We talk about challenging times for risk assets – distinguishing crisis episodes like the GFC in 2008 from bear markets experienced in 2001 and 2...
Dylan Grice, Co-founder, Calderwood Capital
January 20, 2023 11:00 - 48 minutes - 33.7 MBA "beaten path" refers to a route that is frequently traveled. In markets, for years, this path led investors to be long both stocks and bonds in unison under the premise that duration exposure would mitigate losses during a sell-off in risk assets. In 2022, amidst sharply rising inflation, investors learned painful lessons that stock and bond prices can become highly correlated. For Dylan Grice, Co-founder of Calderwood Capital, the search for exposures that are off the beaten path has alwa...
The Alpha Exchange 2022 Year in Review
December 31, 2022 17:00 - 50 minutes - 34.9 MBWelcome to a special year-end episode of the Alpha Exchange where we look back on market risk dynamics that defined 2022, a painful year by nearly all counts. We’ll finish by looking forward, contemplating the set of uncertainties investor will be confronted with in 2023, sharing a few recommendations on the hedging, alpha generation and portfolio construction front. As 2022 is in the books, the Alpha Exchange podcast recorded 30 episodes this year. It’s been a rewarding experience and I am ...
Mary Childs, Author, “The Bond King”
December 15, 2022 12:00 - 38 minutes - 26.7 MBIn the world of bonds, few firms are as powerful and enduring as PIMCO. And few investors are as storied as Bill Gross whose impact on active fixed income trading and risk management has been substantial. The “Bond King”, by Mary Childs, is a compellingly researched and written book on these two subject matters. Through hours of direct conversation with Bill Gross, discussions with many of the significant players at PIMCO and a careful recounting of some of the most consequential events in m...