Alpha Exchange

It was a pleasure to welcome Ian Harnett, co-founder and Chief Investment Strategist at Absolute Strategy Research, to the Alpha Exchange. Our discussion explores how long periods of low volatility and abundant liquidity can quietly allow systemic risks to accumulate outside the traditional banking system. Drawing on lessons from the Global Financial Crisis, Ian explains why today’s financial system—now dominated by non-banks rather than banks—requires a different risk framework.  While post-GFC regulation focused on large banks and insurers, much of the system’s leverage and liquidity transformation has migrated toward pension funds, private equity, insurance companies, and private credit vehicles. In the U.S. alone, roughly three-quarters of private-sector financial assets are now controlled by non-banks, reshaping how shocks can propagate through markets. A key theme of the discussion is that systemic risk is multiplicative rather than additive. Ian argues that past crises were often triggered not by the l

Kumaran Vijayakumar has spent his career in the equity derivatives market, first as an exotics trader and later in running large risk-taking desks in listed and OTC options. Now, the CEO of DataDock Solutions, a firm he Co-Founded in 2018, Kumaran and his team are developing analytical tools that allow sell-side flow desks to better understand the risks they take and clients they take it for. Our discussion explores the challenges inherent in evaluating client flow, and how data-centric infrastructure has changed the way risk is assessed. With the premise that “what you can measure you can manage and improve”, we discuss DataDock’s efforts to build tools capable of ingesting large-scale trade history and simulating outcomes at the most granular level. In equity derivatives, where trades move quickly and visibility is often instantaneous, desks have historically made decisions based on memory and anecdotal assessments of “good” versus “bad” flow. Kumaran describes this as a space where information is abundant,

Risk generally falls into 4 categories, monetary (Central Banks), economic (growth and profits), financial (leverage, carry and correlation) and finally, geopolitical. This last category is non-market, market risk.  And in this context, it was a pleasure to welcome Mark Rosenberg, Founder of GeoQuant and adjunct professor at UC Berkeley to the Alpha Exchange for a discussion centered on political risk as a measurable market variable.Mark’s work evaluates how governance, social instability, institutional stress, and security dynamics influence asset pricing. Tracing his path from academia to his time at Eurasia Group, he describes the gap that existed in country-risk assessment—macroeconomic indicators were abundant, yet political inputs remained qualitative, backward-looking, and infrequent. His motivation for launching GeoQuant followed the belief that political dynamics could be structured into model-based, data-driven signals rather than anecdotes, expert impressions, or slow annual indicators.GeoQuant sep

Todd Rapp got his career started in equity options at Goldman Sachs in the late 1990’s, a wild time in which a bubble inflated and burst and provided critical lessons in both gamma and vega risk in the process. Now the CEO of the Fortress Multi-Manager Group, Todd leans heavily on his derivatives DNA in the areas of sourcing uncorrelated return streams, portfolio construction and both measuring and managing risk. Early training has shaped his long-term view that markets express probability through delta, option curvature, and distribution structure rather than through static price movements.Our conversation connects early risk management lessons to today’s landscape, where market concentration echoes 1999, yet correlation conditions differ meaningfully. Todd notes that unlike the prior cycle, today’s equity index shows low intra-index correlation, making dispersion, risk sizing, and factor neutrality more fundamental for return generation.We also explore how the multi-manager architecture seeks to harness unc

It was a pleasure to welcome Jessica Stauth, CIO for Systematic Equities at Fidelity Investments, to the Alpha Exchange. Our discussion explores how quant investing has evolved through cycles of market stress, technological change, and today’s extraordinary concentration in the equity landscape. Reflecting on her start in markets in the aftermath of the 2007 Quant Quake and the onset of the global financial crisis, Jessica highlights the foundational lesson that markets contain far more uncertainty than models can fully capture — a theme as relevant today as investors confront narrow leadership and elevated fragility. She explains how early dislocations demonstrated the limits of traditional risk models and the dangers of crowding, especially when many quantitative strategies rely on similar signals or hedging techniques. Turning to the present, Jessica describes how her team builds equity strategies designed to function across regimes, emphasizing the need for diversified risk models, guardrails that prevent

They say there’s always a bull market somewhere and a chart on doom commentary has surely been up and to the right. Perhaps it’s been the joint decline in the equity and crypto markets. NVDA is down 10% in November and Bitcoin is down almost twice that. Perhaps it’s been that there wasn’t a hard and fast enough of a catalyst to point to…no trade war, Powell presser, CPI surprise or earnings shortfall. These would have at least left us with plausible drivers, satisfying our need for markets to make sense. But when price operates as the only fundamental, sell-offs in asset prices take on much greater meaning.If there’s one idea that best captures my own curiosity about markets it lies in studying our presence in them. And here’s where the Soros theory of reflexivity is so relevant, especially to modern day risk-taking. Reflexivity is a brilliant concept and price is central to it. Price is surely an outcome that results from changes in economic data, corporate profits and adjustments in the stance of monetary p

Welcome back to the Alpha Exchange. In today’s episode, I am joined by Megan Miller, Senior Portfolio Manager and Head of the Options Solutions team at Allspring Global Investments. Her career spans the extremes of market volatility—from learning options trading during the GFC to now overseeing option-based strategies across a $600 billion platform. The conversation centers on how her team uses a GARCH-like modeling framework as part of a systematic approach to forecast future realized volatility. From this, signals emerge as to which options are over or underpriced.Megan explains how the democratization of options has reshaped implementation. While call overwriting may appear simple, doing it efficiently at scale requires advanced technology, rule-based construction, and close attention to liquidity across both U.S. and global underlyings. She outlines how index-option overlays can deliver income, preserve stock-specific alpha from the underlying equities, and manage beta more deliberately—an especially rele

On this episode of the Alpha Exchange, I’m pleased to welcome back Jordi Visser, CEO of Visser Labs and Head of AI Macro Research at 22V. Our conversation centers on one of the most consequential themes in markets today: the intersection of artificial intelligence, exponential innovation, and market structure. With Nvidia’s historic rise as a backdrop and AI’s increasing integration into every sector, Jordi pushes back on the tendency to label this cycle a “bubble,” arguing that AI is more akin to electricity — an enabling technology whose applications will permeate everyday life. Demand for compute remains effectively infinite, he notes, and the supply shortfalls in GPUs, data centers, and power capacity shape how investors should think about the buildout phase.Jordi also lays out a framework for navigating volatility in sectors tied to AI buildout — including how to handle 20–30% drawdowns — and why estimate revisions matter more than multiple expansion from here. Beyond markets, we explore the labor dynami

The global economic and geopolitical order has long been balanced by the United States. Today, however, that traditional stabilizing role is in flux. The drivers of market uncertainty, typically resulting from changes in monetary policy and the economy, are increasingly linked to US politics. Fiscal strain, tariffs, and hyper-partisanship are sources of unpredictability reverberating across markets worldwide. In this context, it was a pleasure to welcome Alex Kazan, Partner and Co-head of the Geopolitical Practice at the Brunswick Group, back to the Alpha Exchange.Our conversation explores just how we got to a point where the US is exporting risk to the rest of the world. Alex argues that this is not solely about Donald Trump but more the result of structural forces that have been building over time. The advent of social media and the technology that maximizes attention by algorithmically parsing individuals into one camp or the other and the twin shocks of the GFC and Pandemic have deepened partisanship and

Loyal listeners, I hope your recent days have gone well, even if they are becoming shorter. On my mind – and where I hope to engage your interest for 20 odd minutes – is the topic of risk and uncertainty.The SPX is at an all time high and it is also highly concentrated with volatile and richly valued but uncorrelated tech behemoths. That’s very unique. Whether you are an AI bull or bear, one thing we must acknowledge is the unique degree of index concentration and the risks that accompany it.The exposure of both US households and foreign investors to the SPX is at an all-time high. There’s a reflexive element here. The massive increase in market cap for corporates is the currency that funds the epic capex. For consumers, facing a tepid labor market and ongoing cost of living challenges, stock market wealth matters a great deal.I also discuss the surge in volatility in gold and the advent of prediction markets. I hope you enjoy the discussion. Be well.

The distribution of asset price returns is a subject of much study in the literature of empirical finance. We know, of course, that equity returns are left-tailed, subject to the occasional violent plunge. But other asset classes are different, and in this context it was a pleasure to welcome Ben Hoff, Global Head of Commodity Strategy at Société Générale, to the Alpha Exchange. Ben describes commodities as a dual system — one that exists both physically and financially. This duality means real-world frictions such as storage, transport, and substitution shape risk and return in ways financial models often miss. Unlike equities, where the volatility risk premium (VRP) is structural and macro-driven — investors chronically overpay for protection against crashes — the commodity VRP is episodic and micro-driven, emerging only when the physical system’s natural buffers are overwhelmed. Ben likens the commodity ecosystem to a CDO structure of risk absorption. The first-loss tranche is “optionality in time,” where

They say that diversification is the only “free lunch” in markets. Scatter your bets around and you’ll realize a reduction in volatility that helps you manage risk. That’s been happening at an epic scale in US equity markets: the 1m correlation among stocks in the S&P 500 is (to quote Dean Wormer from Animal House) zero point zero. But I’d argue that today’s index and the trillions of dollars that track it are enjoying a run of low correlation among stocks that is unsustainable. It’s not if, but when the next correlated risk-off episode materializes.Effective risk management requires a healthy imagination and a willingness to carefully evaluate blind spots. In the aftermath of largescale drawdowns and spikes in measures like the VIX, a consistent realization by investors is that the degree of “sameness” in assets was underestimated. It took us until 2008 to recognize that the substantial run up in housing prices was linked to a common underlying driver: the vast supply of mortgage credit. There was a huge

It was a pleasure to welcome David Puritz back to the Alpha Exchange. A colleague of mine from 25 years ago and now the CIO of Shaolin Capital Management, Dave has some excellent insights to share on uncorrelated investing broadly and on the current state of convertible bond trading, risk, and liquidity, specifically. When he last joined the podcast in 2021, the Fed was still at zero, five-year yields were 75bps and Dave warned investors to avoid long-duration, low-coupon converts. The epic drawdown in bonds in 2022 made that call quite prescient.We talk about some of the pricing dynamics within converts, where Dave sees the risk of being wrong as especially high. Here, he points to the pricing of high implied vol underlyings that can suffer from vol compression that is not offset by a tightening of credit spreads. Overall, he sees many areas of the converts market with little margin for error. On the risk management front, Dave states that in order to get a position to a fully desired sizing, the first purch

In this discussion, I share my thoughts on the backdrop for both SPX realized and implied volatility, as I explore the question of whether there is value in optionality. We have 3 things going in terms of realized vol at the index level. It’s low, it’s especially low on SPX down days, and it’s remarkably stable. My take is that the combination here can play tricks on how we think about risk. We are prone to letting our guards down. Next, I share a 5-part framework for addressing the question, “is insurance worth it?”. I find that certain proxy hedges like HYG provide excellent value at current ultra-skinny option premium levels. Next, I review the GOAT (Great Opportunities and Threats) portfolio which overlays gold and bitcoin as diversifying assets and index put spreads as insurance on a base portfolio that is long the SPX. The risk-return characteristics of the GOAT are decidedly better than those of the SPX in 2025. I also explore the pricing of SPX vol skew and how it is a headwind for collar hedging trad

On this episode of the Alpha Exchange, I had the pleasure of reconnecting with Ken Rogoff, Professor of Economics at Harvard and former Chief Economist at the IMF. In our conversation, we explore themes from his latest book, Our Dollar, Your Problem, a valuable retrospective, and analysis of the rise of the U.S. dollar as the world’s reserve currency and the vulnerabilities that accompany it. In our discussion, Ken reflects on the privileges America enjoys from dollar dominance, namely lower borrowing costs, financial system centrality, and sanction power—while warning that such advantages are not guaranteed forever.We also explore the lessons from past debt and currency crises and the fragility of fixed exchange rate regimes. Here Ken shares firsthand experience as a policymaker who was among those whose advice was sought for how to address many of the prominent FX vol episodes of the 1990’s.We turn to the main point of his book – that there are risks that come with assuming low interest rates will persist i

It was a pleasure to welcome Kris Kumar, founder and CIO of Goose Hollow Capital, back to the Alpha Exchange. Kris presents a compelling argument that traditional economic frameworks centered on consumption are becoming obsolete as AI-driven capital expenditure emerges as the dominant growth engine. With companies spending $400 billion annually on AI infrastructure, he contends we're witnessing a fundamental shift from consumption-led to investment-led economic dynamics, requiring investors to recalibrate how they analyze market drivers and policy transmission mechanisms.Kris draws parallels between current AI investment patterns and historical tech bubbles, noting critical differences in financing structures that could alter unwind scenarios. He explores the unique challenges facing monetary policymakers as AI disrupts labor markets while tariff policies create inflationary pressures, potentially rendering traditional Fed tools less effective. The discussion also covers emerging market opportunities, particu

As the summer winds down, and there’s so little daily motion in the SPX, the realized vol spike of April feels further in the rear view. I often suggest that periods of calm in the market can cloud our thinking about risk. Sometimes markets get caught in low vol moods and this is one of them. But low realized volatility should not be viewed as an all clear. A good case can be made that the backdrop is becoming definitively worse. I argue that the price of insurance is a good deal versus the totality of risks. Options are valuable in light of a building of uncertainty in the economy, in Fed policy, in tariffs, in US debt, and in a dangerous escalation in not just global affairs but in the US political civil war.

On this episode of the Alpha Exchange, I was joined by Ben Hunt, Co-founder and CIO of Perscient. Ben has built his career around one powerful idea: that the stories we tell—whether in politics, markets, or everyday life—shape our behavior far more than we realize. In the mid-2000s, entering Wall Street from outside its traditional ranks gave him a rare vantage point. He wasn’t steeped in the bullish narrative flow that dominated the industry. With an outsider’s perspective—and an ability to read the “language” of mortgage-backed securities—he was able to see flaws at the heart of a $10 trillion asset class well before the global financial crisis hit.In our conversation, we explore how understanding narrative structure can illuminate risk in ways models cannot, and why being outside the story sometimes lets you see it most clearly.  In this context, we chat as well about Ben’s creation of the Epsilon Theory, a widely read exploration of how narratives drive markets. I have personally found his writing thought

On my mind is correlation. There are plenty of financial market correlations, both implied and realized. In equities, we talk a good deal about the correlation implied by the relationship between S&P 500 index implied vol and the implied vol on the stocks within the index. That’s been low, to put it mildly. How about the correlation between the dollar and SPX? A signature aspect of the recent risk event was a weaker dollar, even as rates rose and the VIX rose while the SPX swooned.A correlation that gets little attention is that between an asset and its implied volatility. We know that - with only rare exceptions, when the SPX rises, the VIX falls. The correlation runs deep, about negative 80% or so. But for select other assets - and this is the main point of my little talk here - the correlation between the price and the implied volatility - is often actually positive. We call them SUVU, “stock up, vol up” assets. SUVU is that compelling financial trait of an asset that leads to substantial option tradin

The clearing price of optionality in the market is impacted by a myriad of factors. To be sure, the economy and corporate profit cycle, the stance of monetary policy and geopolitical risk all matter. Flows in the derivatives markets are also of consequence as they impact the environment for supply and demand. And in this context, it was excellent to welcome Benn Eifert, Founder and Managing Partner of QVR Advisors, back to the Alpha Exchange.Benn brings a data-driven lens to today’s complex volatility markets, and in this conversation, he discusses the unintended consequences of crowded risk-managed option strategies, such as buffer ETFs and overwriting. We explore how structural flows have drained the volatility risk premium, especially from the front end of the curve where the flow has especially been one way, leading to substantial optionality being sold into the marketplace. Benn states that since 2012, the VRP has largely vanished, leaving the returns to owning short-dated straddles actually positive sin