I wanted to share with you some of my thoughts about the current state of market risk as this new year is now sufficiently underway. A number of years ago, I created a list that I call “25 Sayings on Vol and Risk”. In the spirt of 7 minute abs and 12 holiday recipes, I think lists are an easy way to connect concepts. Twenty five is a lot to get through, so we are going to simply divide them into 5, creating a series of half hour episodes. I do hope I can keep your attention and, again, make a po...
Jan 31, 2024•27 min•Ep. 148
Danny Dayan has spent more than 2 decades in markets, developing a top-down process that seeks to find opportunity in derivatives markets. In his search for value in option trades, he marries a study of the macro landscape – including the economic backdrop, the evolution of inflation and the Central Bank reaction function to incoming data – with expertise in understanding how to implement and risk manage a derivatives portfolio. With experience across the major asset classes, but a long history ...
Jan 19, 2024•56 min•Ep. 147
It was once said that we are “the sum total of our experiences”. In the world of investing, this rings especially true. For Nancy Tengler, the CIO of Laffer Tengler Investments, a career in money management that has spanned more than 3 decades has presented real world challenges and opportunities that have reinforced a philosophy on risk. First, she shares that her interest in money came from not having any of it, pushing her to first focus on savings and then on investing that savings. She’s al...
Dec 27, 2023•50 min•Ep. 146
Welcome back, as we review some of the themes and insights that have been prominent over the first 5 years of the podcast. In Part II, we discuss inflation, stock-bond correlation as well as trend strategies. We finish with a not so optimistic take on the growth of US government debt and the strains emerging on the risk-bearing capacity of the Treasury market. The late Doris Day once said that “gratitude is riches”. I am full of gratitude for having the opportunity to host the Alpha Exchange. I ...
Dec 13, 2023•41 min•Ep. 145
Welcome to Part I of a special, retrospective podcast, looking back on 5 years of the Alpha Exchange. It’s been a joy hosting these conversations with experts. I’ve had an opportunity to solicit their insights and bring to life the lens through which they evaluate risk and reward. In Part I, I highlight some of what guests have shared with respect to how risks materialize, with attention to the exposures that sometimes are forcibly unwound when assumptions about the state of the world change. We...
Dec 13, 2023•44 min•Ep. 144
Tony Morris, Global Head of Quantitative Strategies at Nomura International, has spent 25 plus years studying complex market pricing relationships across asset classes, with a focus on derivatives. Our conversation explores some of the factors that drive asset price outcomes, first, considering the vol risk premium. Observing the consistent shortfall of realized versus implied vol in the equity market, Tony details a similar circumstance in credit where realized defaults are lower than implied b...
Dec 08, 2023•1 hr 10 min•Ep. 143
Welcome to a special Alpha Exchange Retrospective podcast in which I highlight discussions with female guests and their reflections on efforts to empower careers for women in the field of finance. I launched the Alpha Exchange back in 2018 to host conversations with prominent investors, strategists and policymakers that explored the world of market risk. Over the course of these last 5, most interesting years, I’ve been fortunate to engage with 135 individuals, soliciting their perspectives, unc...
Nov 16, 2023•37 min•Ep. 142
Game 5 of the 1973 NBA finals would be the last one played by Wilt Chamberlain, as the Lakers lost to a NY Knick team that featured basketball legends Walt Clyde Frazier, Earl the Pearl Monroe and Willis Reed. A fourth hall of famer, Dave DeBusschere, donning the number 22, also played an instrumental role in what was the last championship for the Knicks. 50 years later, his son, Dennis DeBusschere, is a co-founder and the Chief Market Strategist at 22V Research, a firm advising institutional cl...
Nov 03, 2023•56 min•Ep. 141
Over a distinguished 40-year career as an academician in finance, Darrell Duffie has made important contributions to our collective understanding of how markets work. Earning a PhD from Stanford in 1984, Darrell has taught finance there ever since and now serves as the Adams Distinguished Professor of Management and Professor of Finance at the Graduate School of Business. Along the way he has written several books, authored countless papers and provided guidance to policymakers who have sought h...
Oct 27, 2023•57 min•Ep. 140
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 proce...
Oct 25, 2023•1 hr 3 min•Ep. 139
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 bo...
Oct 20, 2023•58 min•Ep. 138
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 back...
Oct 16, 2023•1 hr•Ep. 137
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 eb...
Sep 29, 2023•53 min•Ep. 136
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 ...
Sep 27, 2023•55 min•Ep. 135
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 Syste...
Sep 22, 2023•58 min•Ep. 134
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 refle...
Sep 08, 2023•52 min•Ep. 133
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 ...
Aug 25, 2023•1 hr 5 min•Ep. 132
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 11...
Aug 11, 2023•57 min•Ep. 131
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 ...
Aug 04, 2023•1 hr•Ep. 130
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 wit...
Jul 25, 2023•1 hr 2 min•Ep. 129
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:...
Jul 17, 2023•1 hr 9 min•Ep. 128
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 ...
Jul 12, 2023•42 min•Ep. 127
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!
Jun 26, 2023•33 min•Ep. 126
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 th...
Jun 02, 2023•50 min•Ep. 125
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 t...
May 26, 2023•1 hr•Ep. 124
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 “Pat...
May 05, 2023•1 hr 2 min•Ep. 123
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...
Apr 28, 2023•24 min•Ep. 122
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 d...
Apr 21, 2023•51 min•Ep. 121
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 ...
Apr 14, 2023•52 min•Ep. 120
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...
Apr 03, 2023•31 min•Ep. 119
