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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

00:56:09

Matt King, Founder, Satori Insights

Alpha Exchange ·

2025/04/25

For Matt King, evaluating market risk is often about pinpointing vulnerabilities within the financial system. Over the many years he's been advising institutional investors, he's gone where the action is - in the dotcom era it was corporate balance sheets, in the pre-GFC period it was asset-backed CP and in the last decade it's been sovereigns and QE. Now the founder of Satori Insights, Matt shared his current assessment of risk on this episode of the Alpha Exchange. His materially bearish take is

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00:52:26

Steve Englander, Head of G10 FX and North America...

Alpha Exchange ·

2025/04/23

Market risk events come in all shapes and sizes, originating from unique sources of uncertainty. We've seen them all - valuation bubble unwinds, mortgage credit crashes, Fed policy shocks, even the shutdown of the US economy from Covid. Over the last month, investors have been forced to confront a new risk, that of the imposition of substantial tariffs by the US on its trading partners. With this in mind, it was great to welcome Steven Englander, Global Head of G10 FX Research of Standard and

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00:24:09

The Vol Shock Heard 'Round the World

Alpha Exchange ·

2025/04/07

Lenin purportedly said, “There are decades where nothing happens; and there are weeks where decades happen.” It’s difficult to understate how highly consequential these past few days have been. We live in an interconnected world of international rivalries, debt, trade, asset prices and economies. All kinds of tail probabilities become more live when a shock of this magnitude occurs. From a market standpoint, however, the higher vol goes, the greater likelihood that government officials blink in some

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00:36:39

Campbel Harvey, Professor of Finance, Fuqua School of...

Alpha Exchange ·

2025/03/31

Best known for his seminal work on the information content of the US Treasury yield curve nearly 4 decades ago, Campbell Harvey has produced meaningful academic research in all corners of empirical finance. In this episode of the Alpha Exchange, I caught up with Campbell, now a Professor of Finance at Duke and Partner at Research Affiliates, on his recent work on gold, an asset near and dear to me. We discuss his piece “Is There Still a Golden Dilemma?", with Claude Erb that updates work they did

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00:27:23

GeoVolitics and Gold

Alpha Exchange ·

2025/03/24

In this discussion, I review the absolutely stunning level of volatility experienced by the S&P 500 right around this time 5 years ago, as the market crash resulting from the Covid shutdowns occurred. No asset – except volatility – can survive the liquidation that took place in March of 2020. I also focus on gold, which, to be clear and to repeat, is not a hedge. A hedge is an insurance contract that you must part money with in order to obtain. There are no positive carry hedges in the world. But

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00:54:50

Owen Lamont, Senior Vice President, Acadian Asset...

Alpha Exchange ·

2025/03/11

Now a Portfolio Manager at Acadian Asset Management, Owen Lamont has had a long career in both the markets and in academic research on them. Earning a PhD in Economics from MIT in the 1990’s and then teaching at the University of Chicago shortly thereafter, Owen makes the point that these two storied institutions approach empirical finance from vastly different perspectives, with the MIT approach to explaining market anomalies utilizing behavioral finance and Chicago embracing market efficiency. Our

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00:47:54

Roxton McNeal, QIS Lead Portfolio Manager, Simplify...

Alpha Exchange ·

2025/03/04

“This is not your father’s ETF market” would be one statement used to highlight the ever-expanding product mix available to investors via exchange traded funds. Today’s suite of ETFs embeds derivatives, targets non-traditional assets like private credit and crypto and can offer daily resetting leverage as well. Add to this, efforts to deliver exposures to quantitative investment strategies via the ETF wrapper. With this in mind, it was a pleasure to welcome Roxton McNeal, lead portfolio manager of

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00:15:09

GeoVolitics, Implied Correlation and Option Pricing

Alpha Exchange ·

2025/03/03

My process is about seeking out some alpha through analyzing a broad spectrum of prices, specifically the one’s that imply some probability. I will repeat that it is the options market, not the stock market that is the best economist in the world. Option contracts carry the dimensions of time – the expiration – and distance – the strike price and the resulting prices help us gauge two important questions for investors, “when and by how much?”.So, in no particular order, a few things on my mind that

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00:21:11

Is There a Plumbing Problem in Equity Correlation?

Alpha Exchange ·

2025/02/10

Recently, DeepSeek, tariffs and earnings news have caused large moves in some stocks but not others, leaving fluctuations at the equity index level relatively tame. Will this volatility moderating run of low correlation continue? In this short podcast, I explore the recent history of extraordinary diversification in the US equity market along with the implications that may result. Is the market vulnerable to recency bias and assuming that ultra-low correlation is here to stay? Further, how should

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00:46:09

Eric Balchunas, Senior ETF Analyst, Bloomberg...

Alpha Exchange ·

2025/01/30

It is said that death and taxes are the only two certainties in life. Add to these, the enormous growth of the ETF industry as a third irrefutable occurrence. Covering the landscape of exchange traded funds for Bloomberg is Eric Balchunas, a man steeped in the most plain vanilla of products like the SPY to the newest flavors of underlying exposures and payout constructions which he calls “hot sauce”. Our conversation starts with an overview of the massive ETF haul in 2024 and we learn that inflows

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00:47:40

Anniversary Episode: Reflections on the Podcast

Alpha Exchange ·

2025/01/23

Since 2018, Dean Curnutt has been hosting discussions with market professionals, focused on topics such as portfolio construction, hedging, monetary policy and the impact of financial products on markets. Central to these conversations has been the exploration of an expert’s risk framework and how he or she goes about looking for opportunities. A little more than 6 years after its launch, the Alpha Exchange is celebrating its 200th episode. Along the way, Dean has been privileged to engage with

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00:19:21

Digital Gold and Actual Gold

Alpha Exchange ·

2025/01/11

Good listeners welcome to 2025 and at the risk of offending Larry David and violating his strict 3 day statute of limitations, I gotta wish you a Happy New Year.The subject at hand is diversification. What composition of assets yields a favorable return with bearable drawdowns? After two straight years of 25+ percent returns on the SPX with just 13 vol, portfolio construction might be considered an open and shut case. But in this short podcast, I propose 3 assets to overlay on top of your base risk

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00:21:28

IBIT…the Hottest Option on the Planet

Alpha Exchange ·

2024/12/18

The subject at hand in this discussion is the unbelievable launch of options on IBIT, the bitcoin ETF. What I’d like to put forth is that the financial characteristics of the underlying asset – bitcoin - pave the way for IBIT options, already off to an amazing start, to become a critical industry risk management tool.The unique risk characteristics of bitcoin and how they shape the option vol surface in IBIT will underpin the success of its options. Specifically, bitcoin has 3 financial

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00:51:54

Ali Samadi, Managing Director, Equity Derivatives,...

Alpha Exchange ·

2024/12/17

The “flow desk” as it’s often called on the sell-side is about repeatability and scale in the service of institutional clients. It’s a competitive business with not a lot of margin for error, especially in a product like equity options where being on the wrong side of a misbehaving Greek could spell trouble. With this in mind, it was great to welcome Ali Samadi, Head of Flow Equity Derivative Sales at Nomura Securities International to the podcast.Our conversation explores aspects of the salesperson

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00:55:10

Michael Green, CFA, Portfolio Manager, Chief...

Alpha Exchange ·

2024/12/10

A major theme of Alpha Exchange podcasts over the years has been the impact that financial products that live and breathe within the markets have on asset clearing prices. Events like the crash of 1987, the GFC, the 2018 XIV event or the unwind of short variance exposure in March 2020 come to mind as examples. More recently, the substantial growth of leveraged ETF products has gotten a lot of attention, as a potentially amplifying factor with respect to underlying asset volatility.With this in mind,

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00:23:10

Bitcoin, Price / Vol Spirals and MSTR

Alpha Exchange ·

2024/12/07

What follows are some of my recent thoughts on a favorite topic: the interaction between option prices and the assets upon which these options are written. Specifically, I share thoughts on price / vol spirals, which come in two flavors: a) the asset plummets and vol explodes b) the asset surges and vol explodes. In the first, which we might call "Melt Down", the asset nears a bankruptcy cliff as vol surges. See GFC.In "Melt Up", there's typically some version of a short squeeze involved

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00:55:53

Victor Haghani, Founder and CIO, Elm Partners

Alpha Exchange ·

2024/12/07

It was a pleasure to welcome Victor Haghani, the Founder and CIO of Elm Wealth Management back to the Alpha Exchange for an engaging discussion on those turbo-charged financial products called leveraged ETFs. Our conversation is focused on the large product suite built around MicroStrategy, a software company whose mission appears to be solely focused on the accumulation of bitcoin. Itself a stock realizing 75 to 150 vol, MSTRs two times daily return products – MSTU and MSTX – have experienced one

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00:14:53

20 Things to Do Before You Ask for a Price (Part 4)

Alpha Exchange ·

2024/12/02

Welcome back to the last installment of “20 Things to Do Before You Ask for a Price”. This 4-part series has been geared towards illustrating how the equity derivative salestrader can be a meaningful part of getting two institutional counterparties to “yes” with respect to the transfer of option risk. The salestrader, sitting between the trader and the client, can quarterback the process by appreciating the context of the trade and contributing insights on the risk profile of it. Context is about

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00:45:35

Rocky Fishman, Founder and CEO, Asym 500 LLC

Alpha Exchange ·

2024/11/26

It was a pleasure to welcome Rocky Fishman, Founder and CEO of derivatives advisory firm Asym 500 back to the Alpha Exchange. An area of specialty for Rocky is evaluating systematic trading strategies, like vol targeting, that live and breathe within equity markets and potentially sponsor feedback loops.The focus of our discussion, the growing universe of leveraged ETFs, a unique product set that has been on my mind and that Rocky has recently done a deep dive on. We start our conversation by

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00:16:40

20 Things to Do Before You Ask for a Price (Part 3)

Alpha Exchange ·

2024/11/26

Welcome to Part 3 of “20 Things to do Before You Ask for a Price”. To review, “20 Things” is a to-do list I developed more than 2 decades ago while running a derivative sales team. The desk committed a substantial amount of capital in pursuit of business, which made it easy to win trades but also easy to lose money in the process of winning those trades. 20 Things was about playing defense and offense simultaneously by requiring the salesperson to be an active part of the price discovery process

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231 results

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