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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

00:51:04

Kris Abdelmessih, Co-Founder, Moontower AI

Alpha Exchange ·

2024/09/11

Most of the discussions on the Alpha Exchange podcast consist of guests sharing views on market risk and portfolio construction. To be sure that leads the conversations down the path of monetary policy, positioning, inflation and growth. There’s a great deal of consideration around the price of optionality and the correlation of assets. But what about insights on the nitty gritty of getting into option trades, being a liquidity provider to the Street and then risk managing those positions? Enter,

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00:14:20

Elections Have (Vol) Consequences

Alpha Exchange ·

2024/09/09

“Elections have consequences”. So said former US President Barack Obama. He probably didn’t have our trusty fear gauge, the VIX, in mind, but he may as well have. We are one day away from the US presidential debate. I am not sure this one can deliver the same fireworks that resulted from June 27th. It may devolve into a food fight, with each side hoping to land a definitive blow. What I’ve learned about election risk with regard to derivatives through events like Brexit, the 2016 and 2020 US

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00:15:05

Lessons from the Rowdy VIX

Alpha Exchange ·

2024/09/03

Three hundred odd years ago, Sir Isaac Newton told us that “no great discovery was ever made without a bold guess.” My sense is he didn’t have the order book in Emini futures in mind, but his words do translate well to our world of financial instruments. In this short pod, I revisit the events of August 5th, a day when prices normally well discovered went dark. The implications are real and we ought to learn from this short-lived but real episode of instability. As we approach the “4 E’s” –

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00:39:46

Kathryn Rooney Vera, Chief Strategist, StoneX Group Inc.

Alpha Exchange ·

2024/08/27

Now the Chief Market Strategist at StoneX, Kathryn Rooney Vera comes from humble beginnings. As a teenager she cleaned houses in order to contribute to her family’s finances. In college, she changed her major to finance from liberal arts, seeing a more direct path to a well-compensated career. She would ultimately settle into the study of economics, a craft she continues to refine today in support of colleagues and clients at StoneX.Our discussion surveys the process Kathyrn uses to find value in

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00:14:04

VIX Went Cray Cray

Alpha Exchange ·

2024/08/20

When an accident occurs, the insurance claims adjuster produces a report. What does said report tell us? The yen’s largely one way path lower took a dramatic turn that saw it rally by roughly 9% over just 3 weeks. The pricing fallout was everywhere – in curves, credit, correlation, convexity and carry. That’s a bunch of C’s, isn’t it. The cause of chaos: crowding. When markets misbehave, it’s natural to jointly evaluate two factors: the combination of “new news” and the “setup” going in. Over the

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00:50:23

Vineer Bhansali, Founder and CIO, LongTail Alpha

Alpha Exchange ·

2024/08/19

Vineer Bhansali was recently among a small group of athletes who achieved the unthinkable, a 135 mile run in scorching heat, wind gusts and rain, all while traversing both the lowest and highest elevation points in North America. The Badwater 135 is considered the most difficult Ultra Marathon, an undertaking in which a guiding philosophy is, simply, “don’t die”.As the CIO of LongTail Alpha, Vineer’s investment philosophy is also not to die – or, translated to markets – don’t get forced out at the

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00:53:13

Oliver Brennan, FX Volatility Strategist, BNP Paribas

Alpha Exchange ·

2024/08/15

Even if very short-lived, market vol episodes as protracted as that of Monday August 5th, demand our attention. In seeking some understanding of the why of successive 10% NKY moves and a 65 pre-open handle on the VIX, it was a pleasure to welcome Oliver Brennan to the Alpha Exchange. An FX vol strategist at BNP, Oliver brings theoretical training in physics to the related but also very different world of option pricing. In setting up the discussion, we first explore a series of past FX vol episodes

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00:17:20

Markets are Never Say Never

Alpha Exchange ·

2024/08/12

What a week in markets and one that should give us a lot to chew on with respect to how and why risk episodes materialize. There are certainly some conclusions at the ready and first and foremost is that vol is the only anti-fragile asset. In the trading action on Monday, August 5th, we see the reflexive nature of vol exposures and the manner in which asymmetric outcomes can result. In this short podcast, I share some of what’s on my mind in trying to uncover the “why” of these seismic moves. Out of

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00:55:18

Dan Greenhaus, Chief Strategist, Solus Alternative...

Alpha Exchange ·

2024/08/08

With deep roots on the sell-side, serving in strategist roles at both Miller Tabak and BTIG, Dan Greenhaus is now Chief Strategist at Solus Asset Managment, a multi-billion dollar AuM firm with expertise in distressed and high yield investing. Our conversation considers economics in theory and practice, differentiating classic academic training from the role someone like Dan plays on a trading desk supporting clients, portfolio managers and an investment process.Here, Dan shares the importance of

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00:40:27

Lisa O'Connor, Head of Global Model Portfolios &...

Alpha Exchange ·

2024/08/03

With early career roots in both equity derivatives and relative value fixed income, Lisa O’Connor is now the Co-CIO of Multi-Strategy Assets and Solutions at BlackRock. Here she oversees her team’s development and delivery of a long only, systematic asset allocation process on behalf of the firm’s clients.Our discussion first considers some of the lessons Lisa has derived from market risk cycles. In reflecting on vol episodes, she asserts that markets become very focused on relative value during

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00:15:36

Man and Markets On Wire

Alpha Exchange ·

2024/07/30

“Walking on a tightrope” is an idiom that conjures the notion of danger – of exceptionally little margin of safety and of particularly significantconsequences should things not go as planned. Markets feel this way - asset prices are full, Sharpe ratios high, correlations low, political polarization intensifying. In this discussion, we review the recent role of correlation in breaking the more than 500 day streak over which the S&P 500 failed to move down by 2% in one day. We also talk about out the

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00:14:23

Vol Laundering and the Portrait of a Perfect Hedge

Alpha Exchange ·

2024/07/12

If smoothing returns is the feature not bug of private equity and credit, what strategy fully embraces the virtue of honest mark to market risk? What strategy highlights price shocks and the resulting level at which a portfolio could be unwound in a hurry as the basis of thinking about its efficacy? In this short podcast, I make the case that exposure to vol – to the anti-fragile - is going to be a part of this strategy. That is, long exposure to options-based insurance.I hope you enjoy and find

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00:37:49

MIchelle Meyer, Chief Economist, Head of the...

Alpha Exchange ·

2024/07/11

A Wall Street economist who served institutional clients at both Lehman Brothers and Bank of America, Michelle Meyer, transitioned to Mastercard two and a half years ago, now serving as the firm’s Chief Economist and Head of the Mastercard Economics Institute. I had the opportunity to catch up with Michelle back in May and while much has of course happened in the world since, there are some valuable insights shared in our discussion.We first survey the similarities and differences in her new role at

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00:16:47

Cuban’s Collar is Jensen’s Alpha

Alpha Exchange ·

2024/06/27

It’s been 25 years since Mark Cuban implemented an exceedingly well-timed and attractively priced hedge on shares of Yahoo. In this short podcast, we review the popular “zero cost collar” trade and discuss the factors that impact its pricing. Cuban is known for playing offense in investing, buying the Mavs and making deals on the Tank. But his defensive trade on Yahoo years ago has been critical in his wealth accumulation. We bring in Jensen Huang, the owner of a few shares of NVDA, and make the

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00:15:30

Correlation, Crowding and Convexity

Alpha Exchange ·

2024/06/20

There’s been some decent ink spilled recently on the “dispersion trade” which has profited from the epically low level of realized correlation among stocks. If winning trades attract capital and erode the margin of safety in the process, is this exposure crowded and vulnerable to an unwind? In this short pod, I lay out a 5-part, informal framework for thinking about risk-off episodes. In the process, we consider the pricing of vol and correlation. While the spill-over risk from dispersion trades

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00:48:44

Garrett DeSimone, Head of Quantitative Research at...

Alpha Exchange ·

2024/06/18

Earning a Ph.D. in financial economics is no small feat. And not only did Garrett DeSimone do just that, but he would unknowingly embark on his future career in the process of doing so. His dissertation from the University of Delaware involved the study of event risk premia in single stocks ahead of earnings. And to perform the analysis he engaged with OptionMetrics, a firm specializing in implied volatility data. Now the Head of Quantitative Research there, Garrett leads the firm’s efforts to

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00:13:42

There’s No Crying in Correlation

Alpha Exchange ·

2024/06/13

The study of correlation is valuable, informative and, likely an over-indulged in activity on Wall Street. That said, there are important risk considerations when it comes to how significantly assets move together or do not. The task at hand in this short podcast is to illustrate and contemplate the diverging paths of two important correlations: that between the stock market and bond market and second, between equities themselves. If the stock market is diversifying itself in real-time, there are

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00:14:23

The Zeroes…A Cross Asset Sequel

Alpha Exchange ·

2024/06/05

With option prices in the doldrums, your host provides some thoughts on why and in the process reflects on the skinny levels of risk premia a decade ago. I finish with some cautionary observations around what might go wrong. I hope you enjoy this short pod!

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00:52:43

Raghuram Rajan, Professor of Finance, Chicago Booth,...

Alpha Exchange ·

2024/06/03

It was a pleasure to welcome Raghuram Rajan back to the Alpha Exchange. Raghu is currently a distinguished professor at the Chicago Booth School of Business and is the former head of the Reserve Bank of India. With a deep understanding of the intersection of markets, the economy and policymaking, he is among the most important voices on Central Banking.With this in mind, our discussion explores his recent book “Monetary Policy and Its Unintended Consequences”, the title alone of which is entirely

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00:40:39

Harry Markopolos, "The Man Who Knew"

Alpha Exchange ·

2024/05/28

Corporate Fraud is an unfortunate, costly and seemingly never-ending aspect of the world of business. In the best case, fraud is prevented or, at least caught before harm is done. All too often, however, these cases of deception lead to large financial losses, impacting the lives of many - shareholders, individuals and certainly those that are courageous whistleblowers.A little more than 15 years after the unwind of the Madoff Ponzi scheme, I invited Harry Markopolos back to the Alpha Exchange

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240 results

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