Alpha Exchange

Informações:

Synopsis

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 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.

Episodes

  • Jared Dillian, Author: “No Worries: How to Live a Stress-free Financial Life”

    19/03/2024 Duration: 38min

    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 outlandish statements about profit opportunities and often giving unsound advice on wealth management.With these in mind, it was a pleasure to welcome Jared Dillan back to the Alpha Exchange. Jared is the Founder and Editor of the Daily Dirtnap and the author of a recent book, “No Worries: How to Live a Stress-free Financial Life”. While many of the podcast discussions are in the weeds on high finance topics like monetary policy, hedging and correlation, my conversation with Jared emphasizes the basics: how to get the big decisions right and, in the process, enjoy more peace of mind. The foundations of our discussion are debt and risk, the two main sources of financial

  • 25 Sayings on Vol and Risk…Part 5 of 5

    05/03/2024 Duration: 27min

    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 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… “When I see a bubble forming, I rush in to buy.” (George Soros) “Vol is the only anti-fragile asset.” “When financial markets implode, convexity can be found lurking at the scene.” (Harley Bassman) “The correlation of vol and the vol of correlation are not your friend.” “Vol has memory, vol mean reverts.” Hope you Enjoy!

  • 25 Sayings on Vol and Risk…Part 4 of 5

    26/02/2024 Duration: 27min

    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 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 under 30 minutes, less time than an episode of Curb Your Enthusiasm.Sayings 16 through 20 are… “The money money makes, makes more money.” (Ben Franklin) “ROMO is the risk of missing out.” “Risk-on and risk-off are curious cousins.” “Accident-free finance promotes the selling of accident insurance.” “Price is the only fundamental.”  (Someone)

  • 25 Sayings on Vol and Risk…Part 3 of 5

    20/02/2024 Duration: 25min

    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 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, and no doubt less time it takes Windows to update the drivers on your PC. Sayings 11 through 15 are… 1. “If history is a foreign country, the history of risk is another planet.”2. “By definition, there’s a winner to every back-test.”3. “Price is a liar.”4. “Volatility is an instrument of truth.”5. “It ain’t what you don’t know that gets you in trouble. It’s what you know for sure that just ain’t so.”

  • 25 Sayings on Vol and Risk…Part 2 of 5

    07/02/2024 Duration: 25min

    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 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 one might call them, I’m hoping to give you some stuff to chew on and expand your thinking on matters of risk.Here are our second five: “The next crisis to occur is the one that happened longest ago” “There are no bad securities, only bad correlations” “Equities are short the straddle on rates” “In markets, it’s move fast and things break” “Greenspan was right, sort of”

  • Matt King, Founder, Satori Insights, LTD

    05/02/2024 Duration: 58min

    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 the financial plumbing where Treasury and Central Bank driven fund flows can be responsible for powerful liquidity dynamics. Serving sometimes as a headwind and at others a tailwind, flows like QE as well as changes in the TGA and Reverse Repo facilities influence the manner in which investors interact with risk assets. After a nearly two decade stint at Citi, Matt recently founded Satori Insights, an independent firm helping institutional investors navigate today’s uneven and complicated waters of risk. A main aspect of our conversation is his take on the resilience of the US consumer and broader economy in 2023, set against one of the fastest tightening cycles on

  • 25 Sayings on Vol and Risk…Part 1 of 5

    31/01/2024 Duration: 26min

    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 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 a positive contribution to how you think about markets over 30 minutes.  Here are our first five:“Big Moves Matter Most”“Theta is the Rent on Gamma, and the Rent is Often Too Damn High”“Hedge When You Can, Not When You Have To”“Stock Returns, Like Politics, Are Not Normal”“Financial Market Insurance is Not Like Hurricane Insurance” Hope you Enjoy!

  • Danny Dayan, Founder and CIO, DWD Partners

    19/01/2024 Duration: 55min

    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 expertise in understanding how to implement and risk manage a derivatives portfolio. With experience across the major asset classes, but a long history in rate derivatives markets, Danny shares his perspective on the fascinating world of pricing in the US Government bond market and the giant options complex built around it. We start by reviewing the launch of the hedge fund he founded, DWD Partners, in late 2020, a time of epically low rates and skinny option prices. We walk through key developments, including the expiration of the Fed SLR in 2021 that ultimately played a role in the implosion of SVB and an explosion of the MOVE index, which nearly reached 200 in Marc

  • Nancy Tengler, CEO and CIO, Laffer Tengler Investments

    27/12/2023 Duration: 49min

    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, 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. She’s also come to believe that the biggest risk is not taking enough of it, a notion is a thread throughout our discussion. This idea dates all the way back to the crash of ’87, a harrowing episode during which Nancy was forced to look past the shocking volatility and argue that clients should put fresh money to work as part of a longer-horizon plan. We talk about the stratospheric valuations of tech stocks in the late 1990’s and she contrasts that period with today’s the more reasonably valued market leadership. In the prese

  • Alpha Exchange 5 Year Anniversary Podcast, Part I

    13/12/2023 Duration: 43min

    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 to how risks materialize, with attention to the exposures that sometimes are forcibly unwound when assumptions about the state of the world change. We also touch on geopolitical risks, those that originate from elections, wars and even Tweets. I hope these perspectives shared deepen your own thought process on risk management.

  • Alpha Exchange 5 Year Anniversary Podcast, Part II

    13/12/2023 Duration: 40min

    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 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. I sincerely thank both our guests and listeners for the ongoing support. 2023 has been a year of significant growth for the podcast and I hope that 2024 will bring more of the same. Wishing you an excellent end to this year and a relaxing holiday.

  • Anthony Morris, Global Head of Quantitative Strategies, Nomura International

    08/12/2023 Duration: 01h10min

    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.

  • Retrospective Episode: Reflections on Women in Finance

    16/11/2023 Duration: 37min

    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 risk. Over the course of these last 5, most interesting years, I’ve been fortunate to engage with 135 individuals, soliciting their perspectives, uncovering their frameworks and asking them to detail the lens through which they evaluate the trade-off between risk and opportunity. Among my guests, 22 have been women. I’m pleased to say that 2023 is already a record year for female guests at 9. These guests are chief investment officers, heads of derivative strategy, hedge fund founders, heads of asset allocation and macro credit research. Female guests of the podcast are, almost always, mothers as well.I enjoyed putting this together, hoping to highlight what leadin

  • Dennis DeBusschere, Co-Founder and Chief Market Strategist, 22V Research

    03/11/2023 Duration: 56min

    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 Knicks. 50 years later, his son, Dennis DeBusschere, is a co-founder and the Chief Market Strategist at 22V Research, a firm advising institutional clients on risk and asset allocation.My conversation with Dennis explores his process for uncovering the interaction between the economy, inflation and the Fed’s reaction function. He emphasizes the importance of the financial conditions channel, asserting that economic growth that proves too resilient will force the market to ultimately confront policy that is higher for longer.  A large part of our conversation is around the linkages that Dennis and his team find in various equity factors to macro variables like the sh

  • Darrell Duffie, The Adams Distinguished Professor of Management and Professor of Finance, Stanford University

    27/10/2023 Duration: 57min

    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 Graduate School of Business. Along the way he has written several books, authored countless papers and provided guidance to policymakers who have sought his counsel in addressing complex regulatory questions.We review some of Darrell’s research over the past 4 decades, starting with equilibrium models of asset pricing in the 80’s, termstructure models in the 90’s and work on default correlation post the GFC. We spend most of our time on his recent research on the US Treasury market, that risk-free asset class that recently appears anything but. Darrell shares some conclusions from analysis of the melt-down of the bond market in March of 2020 and the policy implications

  • Amanda Lynam, Head of Macro Credit Research, Portfolio Management Group, Private Markets, BlackRock

    25/10/2023 Duration: 01h02min

    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 focused on the insurance and healthcare sectors. Our discussion takes stock of the current opportunity set in corporate credit, exploring Amanda's process for finding value amidst an environment of middling credit spreads, but high all-in yields. As most of the heavy lifting is currently being done by the risk-free component, her team sees this continuing, with a view that the bar is high for Fed rate cuts well into 2024.Expecting a higher cost of capital to prevail for some time, Amanda expects more dispersion of returns across issuers in credit, with a view that certain capital structures that added considerable leverage when rates were low will struggle as they ult

  • Anastasia Amoroso, Chief Investment Strategist, iCapital

    20/10/2023 Duration: 58min

    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 and bond prices and resilient economic growth – and exploring where history is and is not relevant.Here, Anastasia highlights the degree to which both consumers and corporations are far less sensitive to interest rate increases than they were in the pre-GFC era. Higher rates are a concern, but they need not derail the case for risk assets like stocks which have delivered good returns amidst higher rates in the past. For Anastasia, an instructive framework for evaluating opportunity is one that considers valuation, positioning and a catalyst. And in the context of this last factor, she notes favorable earnings revisions which are showing signs of recently bottoming

  • Torsten Slok, Partner and Chief Economist, Apollo Global Management

    16/10/2023 Duration: 01h04s

    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 the lean rate years between them.Now a Partner and Chief Economist at Apollo Global Management, Torsten is providing input on the macroeconomic backdrop and the implications for the firm’s investments. Our discussion primarily considers the joint states of the economy and inflation - where we’ve been, where we’re headed and the read through on Fed policy. On the economy, Torsten suggests that in this cycle, the transmission of changes in monetary policy to the real economy is especially lagged as both individuals and corporates have largely shielded themselves from rate increases.On inflation, Torsten describes the ebbing and flowing of goods versus services inflat

  • Cameron Dawson, Chief Investment Officer, NewEdge Wealth

    29/09/2023 Duration: 53min

    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 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 of ebullience within the energy sector and a fracking supply boom. For Cameron, there are important lessons to be had in observing the speed with which this optimism gave way to a protracted downcycle by late 2014. And, in sharp contrast, when the sector appeared un-investable in early 2016, the stocks would turn, discounting the improving fundamentals that would only be visible by late 2016. Here, she sees lessons with how forward looking the market can be, noting that if you weren’t there early, you missed it.We talk about

  • David Rogal, Managing Director, Global Fixed Income, Head of Total Return and Inflation Portfolios, BlackRock

    27/09/2023 Duration: 55min

    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 industry experts, and quickly exposed to the world of pricing dislocations that populated the system well into 2009.Now the head of Total Return and Inflation Portfolios, Dave shares some of the lessons learned on risk management through crisis periods. Reflecting on vol events like the Covid market shock, he asserts that simplification of exposures is critical as correlations can become unstable and unreliable. We spend most of our time learning about Dave’s framework for thinking about inflation, a variable he suggests must be approached with humility. On a forward-looking basis, he sees disinflation in autos, a component that was hot, but is now starting to feel

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