The 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 cy ...
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When an accident occurs, the insurance claims adjuster produces a report. What does said report tell us? The yen’s largely one way path lower took a dramatic turn that saw it rally by roughly 9% over just 3 weeks. The pricing fallout was everywhere – in curves, credit, correlation, convexity and carry. That’s a bunch of C’s, isn’t it. The cause of …
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Vineer Bhansali, Founder and CIO, LongTail Alpha
50:23
50:23
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Vineer Bhansali was recently among a small group of athletes who achieved the unthinkable, a 135 mile run in scorching heat, wind gusts and rain, all while traversing both the lowest and highest elevation points in North America. The Badwater 135 is considered the most difficult Ultra Marathon, an undertaking in which a guiding philosophy is, simpl…
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Oliver Brennan, FX Volatility Strategist, BNP Paribas
53:13
53:13
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53:13
Even if very short-lived, market vol episodes as protracted as that of Monday August 5th, demand our attention. In seeking some understanding of the why of successive 10% NKY moves and a 65 pre-open handle on the VIX, it was a pleasure to welcome Oliver Brennan to the Alpha Exchange. An FX vol strategist at BNP, Oliver brings theoretical training i…
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What a week in markets and one that should give us a lot to chew on with respect to how and why risk episodes materialize. There are certainly some conclusions at the ready and first and foremost is that vol is the only anti-fragile asset. In the trading action on Monday, August 5th, we see the reflexive nature of vol exposures and the manner in wh…
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Dan Greenhaus, Chief Strategist, Solus Alternative Asset Management LP
55:18
55:18
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With deep roots on the sell-side, serving in strategist roles at both Miller Tabak and BTIG, Dan Greenhaus is now Chief Strategist at Solus Asset Managment, a multi-billion dollar AuM firm with expertise in distressed and high yield investing. Our conversation considers economics in theory and practice, differentiating classic academic training fro…
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Lisa O'Connor, Head of Global Model Portfolios & Co-CIO for Multi-Asset Solutions, BlackRock
40:27
40:27
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With early career roots in both equity derivatives and relative value fixed income, Lisa O’Connor is now the Co-CIO of Multi-Strategy Assets and Solutions at BlackRock. Here she oversees her team’s development and delivery of a long only, systematic asset allocation process on behalf of the firm’s clients. Our discussion first considers some of the…
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“Walking on a tightrope” is an idiom that conjures the notion of danger – of exceptionally little margin of safety and of particularly significantconsequences should things not go as planned. Markets feel this way - asset prices are full, Sharpe ratios high, correlations low, political polarization intensifying. In this discussion, we review the re…
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Vol Laundering and the Portrait of a Perfect Hedge
14:23
14:23
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If smoothing returns is the feature not bug of private equity and credit, what strategy fully embraces the virtue of honest mark to market risk? What strategy highlights price shocks and the resulting level at which a portfolio could be unwound in a hurry as the basis of thinking about its efficacy? In this short podcast, I make the case that expos…
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Michelle Meyer, Chief Economist, Head of the Mastercard Economics Institute
37:49
37:49
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A Wall Street economist who served institutional clients at both Lehman Brothers and Bank of America, Michelle Meyer, transitioned to Mastercard two and a half years ago, now serving as the firm’s Chief Economist and Head of the Mastercard Economics Institute. I had the opportunity to catch up with Michelle back in May and while much has of course …
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It’s been 25 years since Mark Cuban implemented an exceedingly well-timed and attractively priced hedge on shares of Yahoo. In this short podcast, we review the popular “zero cost collar” trade and discuss the factors that impact its pricing. Cuban is known for playing offense in investing, buying the Mavs and making deals on the Tank. But his defe…
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There’s been some decent ink spilled recently on the “dispersion trade” which has profited from the epically low level of realized correlation among stocks. If winning trades attract capital and erode the margin of safety in the process, is this exposure crowded and vulnerable to an unwind? In this short pod, I lay out a 5-part, informal framework …
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Garrett DeSimone, Head of Quantitative Research at OptionMetrics
48:44
48:44
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Earning a Ph.D. in financial economics is no small feat. And not only did Garrett DeSimone do just that, but he would unknowingly embark on his future career in the process of doing so. His dissertation from the University of Delaware involved the study of event risk premia in single stocks ahead of earnings. And to perform the analysis he engaged …
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The study of correlation is valuable, informative and, likely an over-indulged in activity on Wall Street. That said, there are important risk considerations when it comes to how significantly assets move together or do not. The task at hand in this short podcast is to illustrate and contemplate the diverging paths of two important correlations: th…
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With option prices in the doldrums, your host provides some thoughts on why and in the process reflects on the skinny levels of risk premia a decade ago. I finish with some cautionary observations around what might go wrong. I hope you enjoy this short pod!By Dean Curnutt
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Raghuram Rajan, Professor of Finance, Chicago Booth, and Former Head of Reserve Bank of India
52:43
52:43
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It was a pleasure to welcome Raghuram Rajan back to the Alpha Exchange. Raghu is currently a distinguished professor at the Chicago Booth School of Business and is the former head of the Reserve Bank of India. With a deep understanding of the intersection of markets, the economy and policymaking, he is among the most important voices on Central Ban…
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Corporate Fraud is an unfortunate, costly and seemingly never-ending aspect of the world of business. In the best case, fraud is prevented or, at least caught before harm is done. All too often, however, these cases of deception lead to large financial losses, impacting the lives of many - shareholders, individuals and certainly those that are cour…
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Kris Kumar, CIO, Goose Hollow Capital
1:03:01
1:03:01
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It was a pleasure to welcome Kris Kumar, CIO of Goose Hollow Capital, to the Alpha Exchange. Our conversation starts with Fed policy and the manner in which the 500bps of policy tightening is impacting the economy. To this, Kris argues that the propitious starting position for households and corporates in this cycle has been quite different than in…
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Jerry Peters, Managing Partner, Smithbrook, LLC
56:50
56:50
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56:50
The “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…
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Mandy Xu, Head of Derivatives Market Intelligence, Cboe Global Markets
54:11
54:11
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After 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, ca…
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Kieran Goodwin, Consultant, Saba Capital Management
52:23
52:23
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52:23
Kieran 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 f…
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Lori Calvasina, Head of US Equity Strategy, RBC Capital Markets
47:33
47:33
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In 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 do…
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Jared Dillian, Author: “No Worries: How to Live a Stress-free Financial Life”
38:12
38:12
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George 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 outl…
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Our 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 …
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The 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 Mar…
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Our 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 th…
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Hello! 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 writt…
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Efforts 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 …
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I 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 thr…
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Danny Dayan, Founder and CIO, DWD Partners
55:34
55:34
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Danny 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 ex…
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Nancy Tengler, CEO and CIO, Laffer Tengler Investments
49:31
49:31
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It 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, sh…
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Alpha Exchange 5 Year Anniversary Podcast, Part I
43:58
43:58
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Welcome 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 …
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Alpha Exchange 5 Year Anniversary Podcast, Part II
40:45
40:45
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Welcome 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 Trea…
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Anthony Morris, Global Head of Quantitative Strategies, Nomura International
1:10:16
1:10:16
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1:10:16
Tony 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 shortfa…
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Retrospective Episode: Reflections on Women in Finance
37:17
37:17
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Welcome 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…
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Dennis DeBusschere, Co-Founder and Chief Market Strategist, 22V Research
56:04
56:04
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Game 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 …
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Darrell Duffie, The Adams Distinguished Professor of Management and Professor of Finance, Stanford University
57:00
57:00
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Over 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 Grad…
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Amanda Lynam, Head of Macro Credit Research, Portfolio Management Group, Private Markets, BlackRock
1:02:44
1:02:44
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As 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 fo…
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Anastasia Amoroso, Chief Investment Strategist, iCapital
58:01
58:01
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As 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…
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Torsten Slok, Partner and Chief Economist, Apollo Global Management
1:00:04
1:00:04
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Armed 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…
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Cameron Dawson, Chief Investment Officer, NewEdge Wealth
53:04
53:04
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An 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 inter…
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David Rogal, Managing Director, Global Fixed Income, Head of Total Return and Inflation Portfolios, BlackRock
55:08
55:08
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55:08
With 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 …
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Karishma Kaul, Head of Systematic Fixed Income Strategies, Fidelity Investments
58:09
58:09
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58:09
To 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 …
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LTCM 25 Years Later, Dean Curnutt, Host, Alpha Exchange
52:26
52:26
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Welcome 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, h…
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Kristy Akullian, Senior Investment Strategist, BlackRock
1:05:04
1:05:04
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For 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 …
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Mimi Duff, Head of NY Office, GenTrust, LLC
56:30
56:30
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56:30
With 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 fr…
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Rocky Fishman, Founder and CEO, Asym 500 LLC
59:34
59:34
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Market 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…
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Daniel Villalon, Global Co-Head of Portfolio Solutions, AQR Capital Management
1:01:53
1:01:53
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As 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…
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Corey Hoffstein, CIO, Newfound Research
1:09:04
1:09:04
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With 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 o…
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Assessing Recent Dynamics in the World of Vol
41:35
41:35
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Your 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…
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As 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!…
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