Alpha Exchange
168 episodes - English - Latest episode: about 3 hours ago - ★★★★★ - 71 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.
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Episodes
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...
Scott Peng, PhD, Founder and CEO/CIO, Advocate Capital Management
December 07, 2022 15:00 - 56 minutes - 38.8 MBWe next turn to Scott’s time at Secor Asset Management, running portfolio solutions and working with global pension plans on asset/liability risk. Scott shares his perspective on the recent blow-up in the long-dated Gilt market, stating that in some ways this was an accident waiting to happen given the mismatch in duration exposure required and that accessible through the cash Gilt market. The balance of our discussion is spent on Scott’s work as CIO of Advocate Capital, a firm he founded in...
Seema Shah, Chief Global Strategist, Principal Asset Management
November 29, 2022 09:00 - 55 minutes - 38.1 MBOriginally trained as an economist and now the Chief Global Strategist at Principal Asset Management, Seema Shah spends her time looking at the intersection of fundamentals, technicals and valuation. Our conversation first considers the low growth, low inflation era that persisted post GFC but pre-Pandemic and here Seema distinguishes between strong economic expansion and favorable market conditions. Of course, the opposite has been the case in 2022, as the Fed has been forced to tighten at...
Robert Dannenberg, Former Chief of Central Eurasia Division, CIA
November 16, 2022 16:00 - 1 hour - 42.3 MBMarket risks come in all shapes and sizes. A good starting point might be to categorize them as economic, financial, or monetary. But increasingly, and unfortunately, geopolitical risk is a threat that must be closely monitored and understood. And in this context, it was a pleasure to welcome Robert Dannenberg to the Alpha Exchange. Spending his entire career as an operations officer in the CIA, Rob served in various leadership positions, including as both chief of operations for the Counter...
Dan Corcoran, Founder and President, Volos Software
November 13, 2022 15:00 - 52 minutes - 36.3 MBFor Dan Corcoran, a fascination with option pricing began in high school. By college, he was coding up pricing models and trading strategies in MatLab. Compelled by the multi-dimensional set of inputs driving prices, in 2014 Dan set out to found Volos, the financial backtesting and consultancy firm he is now President of. Dan shares with us his love for ski jumping and the manner in which dynamic calculations – of wind speed, snow quality and lighting pitch among them – must be made, sometim...
Maziar Minovi, CEO, Eurasia Group
October 31, 2022 13:15 - 57 minutes - 39.8 MBA teenager in Iran during the 1979 revolution, Maziar Minovi experienced first-hand how disruptive the impact of politics can be on economic security. Motivated by this personal experience he would pursue a Ph.D. in international finance and economic development and ultimately find his way to the investment industry in the early 1990s, just as the Tequila Crisis was underway. Maziar shares early lessons learned from navigating the complicated world of sovereign debt, recalling Russia’s decis...
35 Years Later…Retrospective on the 1987 Stock Market Crash
October 19, 2022 08:00 - 21 minutes - 14.7 MBWelcome to a special episode of the Alpha Exchange, one where we look back on the historic event that was the 1987 stock market crash. We review the seismic crash in prices that occurred 35 years ago, on October 19th, 1987, when the DOW and S&P 500 fell by 22.6% and 20.4%, respectively. It was a day that the VIX, had it been a calculated index at that time, would have closed at 150, almost double the level reached during the GFC and Pandemic. It was the realization that selling could beget s...
Dennis Davitt, CIO, Millbank Dartmoor Portsmouth
October 06, 2022 18:00 - 53 minutes - 36.8 MBDennis Davitt has spent more than 3 decades in option markets. Getting his start in the crude pit on the NYMEX, he soon thereafter moved to equity derivatives, a product he’s run risk in across both the sell-side and buy-side through many cycles. Through our conversation, we learn of the strong appreciation for liquidity – especially as it relates to dynamic products like options – that Dennis has gained through the many vol events he has traded through, especially during his long tenure run...
Hugh Hendry, Founder, Eclectica Asset Management
October 02, 2022 20:00 - 1 hour - 42.3 MBWe live in unique and highly uncertain times. Rates and FX markets - especially in the developed world -are experiencing volatility at levels associated with crisis. Central Banks are confronting an inflation problem not seen in decades and risk doing too much or too little. And the intersection of market prices and geopolitics is especially fraught. Against this backdrop, it was a pleasure to welcome Hugh Hendry to the Alpha Exchange. The founder of Eclectica Asset Management, a fund he ra...
A Retrospective on the First 100 Episodes of the Alpha Exchange
September 26, 2022 20:00 - 52 minutes - 47.6 MBWelcome to the 100th Episode of the Alpha Exchange. Here we do a podcast retrospective, looking back at some of the themes and insights shared over the past 4 years. I want to thank you for listening. We’ve been fortunate to attract a substantial audience of accomplished professionals. And that’s really the result of the quality of our guests. I want to express sincere gratitude to our guests for taking me up on the invite to come on our show. What I’ve sought to do through these discussi...
Joanna Gallegos, Co-Founder, BondBloxx
September 22, 2022 14:15 - 50 minutes - 46.4 MBLaunched in 1993, the S&P Depository Receipt, or Spider, will soon turn 30. Over these 3 decades, the ETF product landscape has grown tremendously both in assets under management and in the increasing breadth of risk profiles that can be accessed. Credit-focused ETFs have seen particularly robust growth, with products like the HYG reaching an asset size in the tens of billions. And with this in mind, it was a pleasure to welcome Joanna Gallegos, co-founder of ETF creator BondBloxx, to the Al...
Alfonso Peccatiello, Founder, The Macro Compass
September 08, 2022 19:25 - 1 hour - 57.6 MBFearing deflation and eager to sponsor growth post the GFC, Central Banks around the world became a near permanent fixture in markets, gathering vast stockpiles of risk free assets. Few were more impactful in determining clearing prices than was the ECB. With this in mind, it was a pleasure to welcome Alfonso Peccatiello, founder of the Macro Compass, to the podcast. Our conversation is one part retrospective, looking back on the period between 2013 and 2019 when interest rates in the Euroz...
Gargi Chaudhuri, Head of iShares Investment Strategy Americas, BlackRock
July 28, 2022 22:24 - 50 minutes - 46.2 MBGetting her start in 2001 as the TIPS products was just a few years old, Gargi Chaudhuri has been a market participant in inflation-linked securities for more than 2 decades, a time over which she’s developed expertise in a product that has become front and center to the unique risk dynamics of 2022. Our conversation first explores the evolution of the TIPS market, from its early days where even a small notional trade could impact pricing to today when large institutions are assuming and red...
Mr. Blonde, Independent Market Strategist
July 22, 2022 14:30 - 1 hour - 58.3 MBLegendary investor Stanley Druckenmiller has said that the “best economist he knows is the guts of the stock market.” For Mr. Blonde, an industry professional who has served in both sell-side and buy-side roles focused on risk management and equity strategy, few statements ring truer. Our discussion explores the framework he has developed through various market cycles, one that evaluates a collection of metrics both across and within markets, ultimately aiming to gain an edge in the probabil...
Mike O’Rourke, Chief Market Strategist, Jones Trading,
July 14, 2022 19:00 - 58 minutes - 53.4 MBAs Chief Market Strategist at Jones Trading, Mike O’Rourke spends his time studying price, flows and policy and the complex interaction among these factors. Getting his start in the mid 90’s as the tech bubble was gaining momentum and both the Asian Currency crisis and LTCM event would occur, he’s gained an appreciation for how impactful flows and crowdedness can be on asset prices in both directions. The study of markets is complicated by agents of price agnostic demand. Here Mike points to...
Bill Birmingham, Chief Investment Officer, Osprey Funds
July 12, 2022 17:30 - 48 minutes - 44.8 MBAmidst the ongoing tumult in the digital asset space, it was a pleasure to welcome Bill Birmingham, the Chief Investment Officer of the Osprey Funds, to the podcast. Originally trained as a lawyer and then transitioning to a role in portfolio management in the traditional hedge fund space, Bill shares his views on many aspects of the crypto landscape, at once excited by the potential in blockchain innovation but also on guard for a further leg down in prices. Our conversation explores his e...
Andy Constan, Founder, Damped Spring Advisors
June 30, 2022 18:30 - 1 hour - 62.3 MBMarket prices are impacted by a host of forces including changes in the economy, in earnings and in the stance of monetary policy. For Andy Constan, flows carry great import as well. Hitching a ride to Wall Street in 1986 at Salomon Brothers, Andy was part of a group that contributed to the Brady Commission Report, the post-mortem on the calamity that was the ’87 stock market crash. In this context, he shares his views on episodes in which flows into or out of an asset disrupted the equilibr...
Vishnu Kurella, Macro Portfolio Manager
June 17, 2022 16:00 - 53 minutes - 49.2 MBTrading convertible bonds on emerging market underlyings in the pre-GFC period, Vishnu Kurella quickly learned that even indices can experience enormous daily moves. A macro portfolio manager who evaluates opportunities through the lens of optionality, he shares the lessons learned from trading through the frequent episodes of crisis that characterize modern markets. In this context, Vishnu emphasizes liquidity and the implications for being able to unwind trades without excessive friction. ...
Devin Anderson, Co-Founder, Convexitas
June 13, 2022 20:30 - 55 minutes - 51.1 MBOver a 15 year career at Deutsche Bank, Devin Anderson watched the pendulum of risk swing. Developing solutions for clients during the ultra-low vol period before the GFC, through the crisis itself and then again during the relatively benign periods of its aftermath, Devin has observed the tendency for modern markets to lurch from quiet to chaos. In the process, he’s had a front row seat in how various hedging strategies have performed and why. We explore the poorly timed decision by Calpers...
Robin Wigglesworth, Editor, Alphaville
June 10, 2022 12:00 - 58 minutes - 53.4 MBWith a curious mind and keen desire to learn how things work, Robin Wigglesworth has always found the complexity of financial markets fascinating. Now the editor of the well-regarded Alphaville markets blog, Robin has been with the Financial Times since 2008 and through this period he’s covered episodes of crisis in traditional markets, and more recently, within the cryptocurrency realm. Robin shares his perspectives on how vastly the terrain has shifted in the delivery of financial media, p...
Jon Kalikow, President, Gamma Real Estate and AFC Gamma
June 08, 2022 08:00 - 55 minutes - 51.2 MBFor Jon Kalikow, more than two decades of experience in the derivatives and converts market provided important lessons on risk management and the reality that even well designed trades rarely go strictly according to plan. Our conversation explores lessons imparted by Mr. Market, both during the Dotcom bubble and the Global Financial Crisis. In the former, efforts to strip out the optionality embedded in convert positions were stymied by basis risk across markets. And in the period leading i...
Puneet Kohli, Assistant Vice President, Fixed Income and Derivatives, Healthcare of Ontario Pension Plan
April 29, 2022 16:00 - 57 minutes - 39.8 MBWith a background in math and an inclination to embrace complexity, Puneet Kohli has always found managing capital in the derivatives market both interesting and challenging. And at the Health Care of Ontario Pension Plan, Puneet is also finding meaning and purpose in his work. Sitting within the Fixed Income and Derivatives team at HOOPP, Puneet helps play a role in delivering the pension promise for hundreds of thousands of front-line workers within the 110 billion dollar defined benefit p...
Cameron Crise, Macro Strategist, Bloomberg
April 22, 2022 13:45 - 1 hour - 56 MBArmed with the power of the terminal, and bringing together a gift for writing and a deeply curious mind, Cameron Crise is a macro strategist at Bloomberg, contributing pieces on the big picture topics investment professionals are wrestling with. The author of the Macro Man column, Cameron utilizes a framework developed over years on the buy-side in portfolio management roles in which managing interest rate and FX risk were among his primary responsibilities. Through our conversation, we ga...
Vadim Zlotnikov, President, Fidelity Institutional Asset Management
March 29, 2022 18:30 - 49 minutes - 45.5 MBOver a 30-year career in markets, Vadim Zlotnikov has gained a strong appreciation for the value of time horizon in risk management and alpha generation. Noting that being sufficiently early in expressing a view on markets is not much different from being wrong, Vadim stresses the importance of implementation in achieving a successful outcome. Here we talk of trade construction that is not necessarily burdened by high carry costs. We also discuss the endogenous nature of many market risks, a...
Lindsay Politi, Head of Inflation Strategies, One River Asset Management
February 25, 2022 21:00 - 48 minutes - 44 MBAmidst a fraught backdrop for macro risk, uncertainty around inflation is a new and vexing challenge for investors. And with this in mind, it was my pleasure to host a conversation with Lindsay Politi, the Head of Inflation Strategies at One River Asset Management. Through our discussion, we learn about the framework she has developed over two decades in fixed income with an emphasis on trading inflation. In Lindsay’s rendering, inflation is not a single variable but needs to be understood t...
Dave Bizer, Co-Founder and Managing Partner, GCW
February 16, 2022 21:20 - 47 minutes - 43.7 MBArmed with a PhD in economics and policy experience, Dave Bizer hit Wall Street, landing at Lehman Brothers in structured equity derivatives in the early 1990’s. A deep background in options pricing theory notwithstanding, he soon found that concepts like Ito’s Lemma were less important than helping clients solve practical problems like hedging equity risk in a tax efficient manner. Developing a keen understanding of the tax code as it pertained to derivatives, Dave was among the innovators ...
Robert Tipp, Chief Investment Strategist and Head of Global Bonds, PGIM
February 12, 2022 17:30 - 56 minutes - 51.5 MBFor Robert Tipp, Chief Investment Strategist and Head of Global Bonds at PGIM, an appreciation for financial market history matters. And in today’s fast moving environment, in which market prices are rapidly adjusting to expectations of Fed policy changes, Robert’s perspectives are especially relevant. Our discussion is a review of inflation and monetary policy cycles from many years prior and through this, Robert shares his insights on the drivers of inflation. Calling into question a very ...
Robert Tipp, Chief Investment Strategist and Head of Global Bonds, PGIM Fixed Income
February 12, 2022 17:30 - 56 minutes - 51.5 MBFor Robert Tipp, Chief Investment Strategist and Head of Global Bonds at PGIM Fixed Income, an appreciation for financial market history matters. And in today’s fast moving environment, in which market prices are rapidly adjusting to expectations of Fed policy changes, Robert’s perspectives are especially relevant. Our discussion is a review of inflation and monetary policy cycles from many years prior and through this, Robert shares his insights on the drivers of inflation. Calling into que...
Matt Amberson, Founder, Option Research and Technology Services
January 18, 2022 20:00 - 48 minutes - 33.3 MBMatt Amberson is among those who have watched the steady and consequential evolution of the listed equity options market over the last 3 decades. Getting his start on the floor of the CBOE in the 90’s, he was in the trenches during the period of incredible single stock volatility that was tied to the original tech bubble. While markets were not nearly as efficient then as they are now, Matt sought to improve his edge in trading options, seeking enhanced methods for estimating a stock’s volat...
Ari Pine, Co-Founder, Digital Gamma
January 14, 2022 14:15 - 1 hour - 56.8 MBThe still-nascent world of trading derivatives on cryptocurrencies requires more than just expertise in the math of options and trade construction. Pricing relationships can be driven by flows, by changes in sentiment and by regulatory tape bombs. For Ari Pine, Co-Founder of Digital Gamma, adeptness in financial technology is critical as well. Disparate venues, unique margin relationships and economic nuances in products across different exchanges all require a heavy lift with respect to cre...
Kris Sidial, Co-CIO, The Ambrus Group
December 23, 2021 20:00 - 58 minutes - 54 MBFor Kris Sidial, the Co-CIO of the Ambrus Group, trading and risk management is a passion. A self-professed math nerd in college, Kris began dabbling in sports betting using a statistical approach. He soon found his way into option markets, where is now an active participant and also a humble student continuously gathering knowledge from his interaction with the markets. Through our discussion, we learn of how Kris thinks about flows, his analysis of positioning and the complex poker game th...
Dean Curnutt, Founder, Macro Risk Advisors
December 03, 2021 21:00 - 1 hour - 49.7 MBOn this special 3 year anniversary episode of the Alpha Exchange, we turn the tables and your host Dean Curnutt is the guest. In conversation with dear friend Arthur Kaz, Dean shares perspectives developed over 30 years in financial markets. Through the discussion we learn of a risk framework focused on understanding the why of volatility events and how this study led to Dean’s founding of Macro Risk Advisors in 2008. Asked by Arthur to share a few war stories, Dean tells us of how a surge ...
Andrew Lapthorne, Global Head of Quantitative Research, Societe Generale
November 22, 2021 14:39 - 56 minutes - 38.5 MBNow the Global Head of Quantitative Research at Soc Gen, Andrew Lapthorne got an early taste in unconventional macro thinking from the likes of Albert Edwards and James Montier. Over a career spanning 25 years, Andrew has engaged in the study of market prices, seeking understanding in their levels and volatilities both on an absolute and relative basis. Out of this work comes a framework for helping investors identify, capture and defend against risk exposures. Our conversation considers som...
Jared Dillian, Editor, The Daily Dirtnap
October 22, 2021 08:00 - 52 minutes - 48.3 MBIn 2008, as the global financial crisis unfolded and his employer, Lehman Brothers, descended into bankruptcy, Jared Dillian decided to go it alone. An ETF market maker with a gift for writing, Jared launched the Daily Dirtnap, a newsletter focused on identifying market themes and actionable trade ideas. Thirteen years and 3,000 publications later, the Dirtnap is widely enjoyed by a loyal readership finding value in Jared’s unique insights. Our conversation is one part retrospective, explor...
Campbell Harvey, Professor of Finance, Fuqua School of Business, Duke University
October 19, 2021 19:00 - 1 hour - 56.1 MBOur conversation focuses on his current work as an Investment Strategy Advisor at Man Group where he has done work on the idea of crisis alpha: strategies that can effectively offset portfolio losses suffered during risk-off events. Campbell and his colleagues find that both time-series momentum as well as a long/short portfolio focused on the quality factor both have insurance-like characteristics and can be valuable overlays for equity portfolios. He also shares his work on rebalancing, wh...
Victor Haghani, Founder and CIO, Elm Partners
October 10, 2021 16:00 - 57 minutes - 52.2 MBGraduating from the London School of Economics in the mid 80’s, Victor Haghani set sail on a career in the fixed income markets. Joining Salomon Brothers and assuming a position in bond portfolio analysis, Victor became steeped in the math of bond markets and derivatives and part of a team that sought to conquer markets with science. He was among those who joined John Meriwether in the founding of Long Term Capital Management in 1993 and as a Partner experienced directly both the early spect...
Barry Knapp, Founder, Ironsides Macro
October 06, 2021 12:30 - 59 minutes - 54.5 MBFor the landscape of elevated asset prices that defines today, nothing may be more consequential than changes in the inflation outlook. And for Barry Knapp, the founder of Ironsides Macro, the Fed is off-track with respect to its understanding of inflation in a post-pandemic world. While the Covid shock brought market volatility comparable to the breathtaking levels experienced during the GFC, the inflation aftermath of these two crises could not be any different. In Barry’s rendering, while...
Subadra Rajappa, Head of US Interest Rate Strategy, Societe Generale
September 21, 2021 08:00 - 45 minutes - 41.4 MBWith a position in rate strategy at Salomon Brothers in the late 1990’s, Subadra Rajappa developed an early appreciation for how market risk can be transmitted from one part of the world to the other through the 1997 Asian FX crisis and the LTCM debacle a year later. Over the course of a career spanning more than 25 years, she’s developed a macro framework that is underpinned by an assessment of growth and inflation variables that help drive interest rate fair value models. Derivative marke...
Denise Chisholm, Sector Strategist, Fidelity Investments
August 24, 2021 16:00 - 52 minutes - 48 MBIf you asked yourself, “what are the odds?”, Denise Chisholm can probably tell you insofar as market outcomes are concerned. A Sector Strategist at Fidelity Investments, Denise leverages historical data as part of a probability framework that helps her evaluate risk and opportunity in the equity market. Our conversation explores episodes when her process uncovered overlooked relationships that were hiding in plain sight. During the GFC, for instance, Denise connected faltering housing prices...
Jeff deGraaf, Founder and CEO, Renaissance Macro
August 19, 2021 16:30 - 53 minutes - 48.6 MBFor Jeff deGraaf, financial markets have always been about figuring out who moved the pieces in a chess match and why. Early exposure to the discipline of technical analysis and its focus on prices and probabilities helped Jeff begin to develop a framework that concentrates on finding bets with favorable odds. Our discussion considers the market events that have played a formative role in how Jeff thinks about risk. Particularly influential among the big risk-off events was the LTCM debacle,...
Peter Cecchini, Head of Research and Strategy, Axonic Capital
August 08, 2021 16:00 - 54 minutes - 50 MBInitially trained as a lawyer and consultant, Peter Cecchini's career spans a few decades across the buy side and sell side, focused on both bottoms up and top down analysis of risk and opportunity. Now the head of research and strategy at Axonic Capital, Peter shared his insights on the Merton model and the linkages between credit spreads, stocks prices and asset volatility. In the context of this discussion, we explore episodes of dislocation between equity and credit markets, how to spot ...
Rick Bookstaber, Founder, Fabric RQ
July 26, 2021 08:00 - 54 minutes - 49.7 MBFew professionals have the depth of perspective on the many market risk events that were missed by the models as Rick Bookstaber. Trained at MIT where he received a PhD in economics, Rick would become Morgan Stanley’s first risk manager in 1984. There, and also at Salomon brothers, Rick was among the quants on Wall Street that developed early pricing models for interest rate derivatives. In this capacity, he had intimate knowledge of the challenges that complex products created for dealers ...