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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

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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00:30:51

The Alpha Exchange Q1 2023 Review

Alpha Exchange ·

2023/04/03

Welcome to the Alpha Exchange Q1 2023 Review, in which we assess some of the trends in market risk that have recently been important. We discuss gold, the performance of VIX ETP strategies and the return of traditional risk on/risk off. We also spend time dissecting changes in the shape of the S&P 500 Index volatility skew and commenting on that well known put spread collar. We finish with some information on the MacroMinds Investment Symposium, an event taking place on June 7th in New York City

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00:56:25

Nicholas Dunbar, Author: “Inventing Money”

Alpha Exchange ·

2023/03/24

I like to say that you learn the most in markets by studying the periods when things go horribly wrong. And in this spirit, Alpha Exchange guests are often asked to reflect back on risk events of great consequence. 2023 marks the 25th anniversary of the LTCM fiasco, an event too long ago to matter for anyone under the age of 40, even as there are valuable lessons to be had from this giant portfolio unwind. As we look back on this vol event from 1998, it was a pleasure to welcome Nicholas Dunbar,

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00:59:01

Adam Parker, Founder and CEO, Trivariate Research

Alpha Exchange ·

2023/03/10

There are lies, damn lies and statistics as the saying goes, and about the latter, Adam Parker knows a thing or two. Armed with a Phd in stats, he began his Wall Street career as a semi’s analyst at Sanford Bernstein in 1999. Reflecting back on the deep dive research the firm was known for, he notes that today’s rapid fire information environment requires especially efficient communication to clients.We look backward to gather some insights on how Adam’s framework and process came to be. Markets

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00:59:26

Jonathan Golub, Chief U.S. Equity Strategist & Head...

Alpha Exchange ·

2023/03/06

With 3 decades in markets, Jon Golub’s career is split evenly between the buyside and sell-side. Reflecting on his early days in the industry, Jon notes the especially benign environment that characterized the 90’s, a period of post-Cold War geopolitical stability, with the trauma of 70’s inflation sufficiently in the rear view even as the tail wind of lower interest rates was still a positive force in markets. While analyzing time series of economic and financial data is a critical part of his

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00:53:49

Eric Liu, Co-Founder and Head of Research, Vanda...

Alpha Exchange ·

2023/02/17

Sketching out a business plan in 2012, Eric Liu and his Co-founders saw an opportunity to create a product that simplified the world of macro for investors. Vanda Research was born, a firm that seeks to connect the top-down with the bottom up and in the process, fill a gap by providing clients with shorter term tactical research ideas. A decade later, the evolution of Vanda leans heavily on the collection of and analysis of unique and often high frequency data sets. Making the point that “2020 was a

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00:59:46

Rebecca Patterson, Former Chief Investment Strategist...

Alpha Exchange ·

2023/02/10

Rebecca Patterson has always sought out new career challenges, willing to take risks in the process. Amidst the Asian financial crisis in 1997, Rebecca was hired into a Strategist position within the asset management side of JP Morgan, giving her early exposure to one of those 100 year market storm events that seems to actually happen every 10 years. She began building out a macro, data driven framework that was underpinned by the vast array of complex linkages between the economy and markets. In

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00:53:54

Deep Kumar, Co-CIO, III Capital Management

Alpha Exchange ·

2023/02/03

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

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01:01:04

Francois Trahan, Founder, Trahan Macro Research

Alpha Exchange ·

2023/01/27

For Francois Trahan, early exposure to econometric models that sought to forecast business conditions illustrated the importance of changes in interest rates. Over a 25 year time frame, he’s developed a framework that utilizes variables that lead the business cycle and consistently have information content with respect to where markets are heading. We talk about challenging times for risk assets – distinguishing crisis episodes like the GFC in 2008 from bear markets experienced in 2001 and 2022. For

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00:48:55

Dylan Grice, Co-founder, Calderwood Capital

Alpha Exchange ·

2023/01/20

A "beaten path" refers to a route that is frequently traveled. In markets, for years, this path led investors to be long both stocks and bonds in unison under the premise that duration exposure would mitigate losses during a sell-off in risk assets. In 2022, amidst sharply rising inflation, investors learned painful lessons that stock and bond prices can become highly correlated. For Dylan Grice, Co-founder of Calderwood Capital, the search for exposures that are off the beaten path has always been

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00:50:42

The Alpha Exchange 2022 Year in Review

Alpha Exchange ·

2022/12/31

Welcome to a special year-end episode of the Alpha Exchange where we look back on market risk dynamics that defined 2022, a painful year by nearly all counts. We’ll finish by looking forward, contemplating the set of uncertainties investor will be confronted with in 2023, sharing a few recommendations on the hedging, alpha generation and portfolio construction front. As 2022 is in the books, the Alpha Exchange podcast recorded 30 episodes this year. It’s been a rewarding experience and I am truly

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00:38:50

Mary Childs, Author, “The Bond King”

Alpha Exchange ·

2022/12/15

In the world of bonds, few firms are as powerful and enduring as PIMCO. And few investors are as storied as Bill Gross whose impact on active fixed income trading and risk management has been substantial. The “Bond King”, by Mary Childs, is a compellingly researched and written book on these two subject matters. Through hours of direct conversation with Bill Gross, discussions with many of the significant players at PIMCO and a careful recounting of some of the most consequential events in market

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00:56:27

Scott Peng, PhD, Founder and CEO/CIO, Advocate...

Alpha Exchange ·

2022/12/07

We next turn to Scott’s time at Secor Asset Management, running portfolio solutions and working with global pension plans on asset/liability risk. Scott shares his perspective on the recent blow-up in the long-dated Gilt market, stating that in some ways this was an accident waiting to happen given the mismatch in duration exposure required and that accessible through the cash Gilt market. The balance of our discussion is spent on Scott’s work as CIO of Advocate Capital, a firm he founded in 2016 to

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00:55:27

Seema Shah, Chief Global Strategist, Principal Asset...

Alpha Exchange ·

2022/11/29

Originally trained as an economist and now the Chief Global Strategist at Principal Asset Management, Seema Shah spends her time looking at the intersection of fundamentals, technicals and valuation. Our conversation first considers the low growth, low inflation era that persisted post GFC but pre-Pandemic and here Seema distinguishes between strong economic expansion and favorable market conditions. Of course, the opposite has been the case in 2022, as the Fed has been forced to tighten at an

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01:01:35

Robert Dannenberg, Former Chief of Central Eurasia...

Alpha Exchange ·

2022/11/16

Market risks come in all shapes and sizes. A good starting point might be to categorize them as economic, financial, or monetary. But increasingly, and unfortunately, geopolitical risk is a threat that must be closely monitored and understood. And in this context, it was a pleasure to welcome Robert Dannenberg to the Alpha Exchange. Spending his entire career as an operations officer in the CIA, Rob served in various leadership positions, including as both chief of operations for the

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00:52:44

Dan Corcoran, Founder and President, Volos Software

Alpha Exchange ·

2022/11/13

For Dan Corcoran, a fascination with option pricing began in high school. By college, he was coding up pricing models and trading strategies in MatLab. Compelled by the multi-dimensional set of inputs driving prices, in 2014 Dan set out to found Volos, the financial backtesting and consultancy firm he is now President of. Dan shares with us his love for ski jumping and the manner in which dynamic calculations – of wind speed, snow quality and lighting pitch among them – must be made, sometimes

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00:57:49

Maziar Minovi, CEO, Eurasia Group

Alpha Exchange ·

2022/10/31

A teenager in Iran during the 1979 revolution, Maziar Minovi experienced first-hand how disruptive the impact of politics can be on economic security. Motivated by this personal experience he would pursue a Ph.D. in international finance and economic development and ultimately find his way to the investment industry in the early 1990s, just as the Tequila Crisis was underway. Maziar shares early lessons learned from navigating the complicated world of sovereign debt, recalling Russia’s decision to

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00:21:17

35 Years Later…Retrospective on the 1987 Stock Market...

Alpha Exchange ·

2022/10/19

Welcome to a special episode of the Alpha Exchange, one where we look back on the historic event that was the 1987 stock market crash. We review the seismic crash in prices that occurred 35 years ago, on October 19th, 1987, when the DOW and S&P 500 fell by 22.6% and 20.4%, respectively. It was a day that the VIX, had it been a calculated index at that time, would have closed at 150, almost double the level reached during the GFC and Pandemic. It was the realization that selling could beget selling,

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00:53:34

Dennis Davitt, CIO, Millbank Dartmoor Portsmouth

Alpha Exchange ·

2022/10/06

Dennis Davitt has spent more than 3 decades in option markets. Getting his start in the crude pit on the NYMEX, he soon thereafter moved to equity derivatives, a product he’s run risk in across both the sell-side and buy-side through many cycles. Through our conversation, we learn of the strong appreciation for liquidity – especially as it relates to dynamic products like options – that Dennis has gained through the many vol events he has traded through, especially during his long tenure running

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01:01:31

Hugh Hendry, Founder, Eclectica Asset Management

Alpha Exchange ·

2022/10/02

We live in unique and highly uncertain times. Rates and FX markets - especially in the developed world -are experiencing volatility at levels associated with crisis. Central Banks are confronting an inflation problem not seen in decades and risk doing too much or too little. And the intersection of market prices and geopolitics is especially fraught. Against this backdrop, it was a pleasure to welcome Hugh Hendry to the Alpha Exchange.The founder of Eclectica Asset Management, a fund he ran from

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241 results

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