Alpha Exchange

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 shortfall of realized versus implied vol in the equity market, Tony details a similar circumstance in credit where realized defaults are lower than implied by spreads. He suggests that the existence of both the equity VRP and the credit risk premium are tied to fact that both have beta to the SPX, which in turn enjoys its own risk premium.Our conversation shifts to the work that Tony and his team are doing within the larger Quantitative Investment Strategies, or QIS, business at Nomura. We touch briefly on the history of QIS, a business motivated by end user interest in systematic strategies that require substantial market access, modelling and operational infrastructure.