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PODCAST

Alpha Exchange

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,

business investing

All Episodes

01:02:44

Amanda Lynam, Head of Macro Credit Research,...

Alpha Exchange ·

2023/10/25

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

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00:58:01

Anastasia Amoroso, Chief Investment Strategist, iCapital

Alpha Exchange ·

2023/10/20

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

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01:00:04

Torsten Slok, Partner and Chief Economist, Apollo...

Alpha Exchange ·

2023/10/16

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

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00:53:04

Cameron Dawson, Chief Investment Officer, NewEdge Wealth

Alpha Exchange ·

2023/09/29

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

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00:55:08

David Rogal, Managing Director, Global Fixed Income,...

Alpha Exchange ·

2023/09/27

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

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00:58:09

Karishma Kaul, Head of Systematic Fixed Income...

Alpha Exchange ·

2023/09/22

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 in return attribution across 8 markets.Still, a decade later, fixed income factor investing is a nascent strategy. Enter Karishma Kaul, Head of Systematic

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00:52:26

LTCM 25 Years Later, Dean Curnutt, Host, Alpha Exchange

Alpha Exchange ·

2023/09/08

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, how and when they might occur? From a risk management perspective, what are the key lessons of vol events?In this context, it’s difficult not to reflect on

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01:05:04

Kristy Akullian, Senior Investment Strategist, BlackRock

Alpha Exchange ·

2023/08/25

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 asset allocation.Our conversation explores the development of ETF technology over the years and Kristy’s time as part of the delta one initiative in

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00:56:30

Mimi Duff, Head of NY Office, GenTrust, LLC

Alpha Exchange ·

2023/08/11

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 framework for the relative value of securities across the curve.We review some of the prominent risk events she’s traded through including September 11th

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00:59:34

Rocky Fishman, Founder and CEO, Asym 500 LLC

Alpha Exchange ·

2023/08/04

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, studying complex products and the mechanical flows they often generate is critical.Our discussion is a review of market risk episodes and how risk

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01:01:53

Daniel Villalon, Global Co-Head of Portfolio...

Alpha Exchange ·

2023/07/25

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 two primary areas.First, we talk about defending against drawdowns that are both fast and slow and back-tests that compare options-based hedging with

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01:09:04

Corey Hoffstein, CIO, Newfound Research

Alpha Exchange ·

2023/07/17

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 of Newfound Research, a firm he co-founded more than a decade ago, Corey is focused on delivering to investors the one free lunch they are entitled to:

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00:41:35

Assessing Recent Dynamics in the World of Vol

Alpha Exchange ·

2023/07/12

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 of lower volatility. Along the way, you’ll hear some talk on the gamma/theta trade-off, stock bond correlation, the price of upside calls in the S&P 500

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00:32:50

Black Scholes Turns 50

Alpha Exchange ·

2023/06/26

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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00:49:44

Amy Wu Silverman, Head of Equity Derivatives...

Alpha Exchange ·

2023/06/02

In a world bubble for the Alpha Exchange podcast, the words vol, carry and convexity would be prominent. And in this episode, featuring Amy Wu Silverman, the Head of Equity Derivatives Strategy at Royal Bank of Canada, we dive into these concepts head on. First, we learn about Amy’s experience in structured rates when, in and around 2007, Fannie and Freddie were the go-to credit to which all kinds of complex instruments were attached.Reflecting on how wrong this ultimately went, she tells us that it

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01:00:08

Nitin Saksena, Head of US Equity Derivative Research,...

Alpha Exchange ·

2023/05/26

There's always a bull market somewhere, and in today's climate of hyper short termism, both volume and commentary are thriving in the land of zero days to expiry options. While the risk characteristics of ODTEs are generally agreed on, the directionality of the flows and resulting positioning remain subjects of vigorous debate. With this in mind, it was a pleasure to welcome Nitin Saksena, the Head of US Equity Derivatives Research at BofA Securities, to the Alpha Exchange.Before embarking on the

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01:02:05

Roni Israelov, President and CIO: NDVR

Alpha Exchange ·

2023/05/05

The hedge that carries positively but delivers convex returns during a market panic is about as elusive as our lawmakers coming together in bipartisan fashion. As head of option strategies at AQR, Roni Israelov not only confirmed this but saw in the empirical data distinctly unpromising results for hedging strategies that utilized put options.Trained with a PhD in Financial Economics from Carnegie Mellon, Roni has spent his career researching complex topics in markets. We explore his paper “Pathetic

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00:24:26

Dean Curnutt: Ten Handy Facts on Vol

Alpha Exchange ·

2023/04/28

Welcome to a special edition of the Alpha Exchange, one in which your host and guest are one and the same. Above all, our conversations on this podcast are aimed at helping you think about risk. After all, it was the Spanish philosopher George Santayana who famously said, “those who forget history are doomed to repeat it.”This podcast has three parts. First, an update on a project I’ve been working on, MacroMinds. I created this foundation back in 2019 to raise funding for causes in the NY area

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00:50:41

Libby Cantrill, Head of Public Policy: PIMCO

Alpha Exchange ·

2023/04/21

What has experience taught us about consequential market risk events? First, volatility in asset prices can materialize when a strongly held consensus view is shattered. Presented with “new news” – about defaults, about inflation, about earnings – investors may be forced to shed exposures, right-sizing their risk allocations to this new state of the world. Market vol episodes can be especially protracted when the attendant uncertainties do not fit neatly into an Excel spreadsheet.Here, the US debt

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00:51:48

Roger Lowenstein, Author: "When Genius Failed"

Alpha Exchange ·

2023/04/14

25 years post the chaotic unwind of Long Term Capital Management, there are lessons a plenty to be gleaned from this event. With this in mind, it was a pleasure to welcome acclaimed writer Roger Lowenstein, author of the famous book “When Genius Failed”, to the Alpha Exchange. His work is a compelling chronical of the vast success but ultimate failure of this storied hedge fund.We discuss some of the philosophical underpinnings of the firm’s risk management framework, focusing on the influence of

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240 results

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