Alpha Exchange

Among 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 Exchange.The Co-CIO of III Capital Management, Deep is engaged in finding value in global government bond markets, deploying relative value strategies across the curve and utilizing derivatives to seek out asymmetric return opportunities. Armed with a PhD in hypersonics, Deep hit Wall Street in the mid 90’s, building risk and pricing models that leveraged his understanding of the math that underpins derivatives pricing. Our discussion looks back on some of the formative events that Deep has encountered and how those have ceme