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 201...
Dec 07, 2022•56 min•Ep. 108
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 e...
Nov 29, 2022•55 min•Ep. 107
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 Counterterr...
Nov 16, 2022•1 hr 2 min•Ep. 106
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 i...
Nov 13, 2022•53 min•Ep. 105
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 ...
Oct 31, 2022•58 min•Ep. 104
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 s...
Oct 19, 2022•21 min•Ep. 103
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...
Oct 06, 2022•54 min•Ep. 102
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 fro...
Oct 02, 2022•1 hr 2 min•Ep. 101
Welcome to the 100th Episode of the Alpha Exchange. Here we do a podcast retrospective, looking back at some of the themes and insights shared over the past 4 years. I want to thank you for listening. We’ve been fortunate to attract a substantial audience of accomplished professionals. And that’s really the result of the quality of our guests. I want to express sincere gratitude to our guests for taking me up on the invite to come on our show. What I’ve sought to do through these discussions is ...
Sep 26, 2022•52 min•Ep. 100
Launched in 1993, the S&P Depository Receipt, or Spider, will soon turn 30. Over these 3 decades, the ETF product landscape has grown tremendously both in assets under management and in the increasing breadth of risk profiles that can be accessed. Credit-focused ETFs have seen particularly robust growth, with products like the HYG reaching an asset size in the tens of billions. And with this in mind, it was a pleasure to welcome Joanna Gallegos, co-founder of ETF creator BondBloxx, to the Al...
Sep 22, 2022•51 min•Ep. 99
Fearing deflation and eager to sponsor growth post the GFC, Central Banks around the world became a near permanent fixture in markets, gathering vast stockpiles of risk free assets. Few were more impactful in determining clearing prices than was the ECB. With this in mind, it was a pleasure to welcome Alfonso Peccatiello, founder of the Macro Compass, to the podcast. Our conversation is one part retrospective, looking back on the period between 2013 and 2019 when interest rates in the Eurozone d...
Sep 08, 2022•1 hr 3 min•Ep. 98
Getting her start in 2001 as the TIPS products was just a few years old, Gargi Chaudhuri has been a market participant in inflation-linked securities for more than 2 decades, a time over which she’s developed expertise in a product that has become front and center to the unique risk dynamics of 2022. Our conversation first explores the evolution of the TIPS market, from its early days where even a small notional trade could impact pricing to today when large institutions are assuming and reducin...
Jul 28, 2022•50 min•Ep. 97
Legendary investor Stanley Druckenmiller has said that the “best economist he knows is the guts of the stock market.” For Mr. Blonde, an industry professional who has served in both sell-side and buy-side roles focused on risk management and equity strategy, few statements ring truer. Our discussion explores the framework he has developed through various market cycles, one that evaluates a collection of metrics both across and within markets, ultimately aiming to gain an edge in the probability ...
Jul 22, 2022•1 hr 4 min•Ep. 96
As Chief Market Strategist at Jones Trading, Mike O’Rourke spends his time studying price, flows and policy and the complex interaction among these factors. Getting his start in the mid 90’s as the tech bubble was gaining momentum and both the Asian Currency crisis and LTCM event would occur, he’s gained an appreciation for how impactful flows and crowdedness can be on asset prices in both directions. The study of markets is complicated by agents of price agnostic demand. Here Mike points to the...
Jul 14, 2022•58 min•Ep. 95
Amidst the ongoing tumult in the digital asset space, it was a pleasure to welcome Bill Birmingham, the Chief Investment Officer of the Osprey Funds, to the podcast. Originally trained as a lawyer and then transitioning to a role in portfolio management in the traditional hedge fund space, Bill shares his views on many aspects of the crypto landscape, at once excited by the potential in blockchain innovation but also on guard for a further leg down in prices. Our conversation explores his early ...
Jul 12, 2022•49 min•Ep. 94
Market prices are impacted by a host of forces including changes in the economy, in earnings and in the stance of monetary policy. For Andy Constan, flows carry great import as well. Hitching a ride to Wall Street in 1986 at Salomon Brothers, Andy was part of a group that contributed to the Brady Commission Report, the post-mortem on the calamity that was the ’87 stock market crash. In this context, he shares his views on episodes in which flows into or out of an asset disrupted the equilibrium ...
Jun 30, 2022•1 hr 8 min•Ep. 93
Trading convertible bonds on emerging market underlyings in the pre-GFC period, Vishnu Kurella quickly learned that even indices can experience enormous daily moves. A macro portfolio manager who evaluates opportunities through the lens of optionality, he shares the lessons learned from trading through the frequent episodes of crisis that characterize modern markets. In this context, Vishnu emphasizes liquidity and the implications for being able to unwind trades without excessive friction. In h...
Jun 17, 2022•54 min•Ep. 92
Over a 15 year career at Deutsche Bank, Devin Anderson watched the pendulum of risk swing. Developing solutions for clients during the ultra-low vol period before the GFC, through the crisis itself and then again during the relatively benign periods of its aftermath, Devin has observed the tendency for modern markets to lurch from quiet to chaos. In the process, he’s had a front row seat in how various hedging strategies have performed and why. We explore the poorly timed decision by Calpers to ...
Jun 13, 2022•56 min•Ep. 91
With a curious mind and keen desire to learn how things work, Robin Wigglesworth has always found the complexity of financial markets fascinating. Now the editor of the well-regarded Alphaville markets blog, Robin has been with the Financial Times since 2008 and through this period he’s covered episodes of crisis in traditional markets, and more recently, within the cryptocurrency realm. Robin shares his perspectives on how vastly the terrain has shifted in the delivery of financial media, point...
Jun 10, 2022•58 min•Ep. 90
For Jon Kalikow, more than two decades of experience in the derivatives and converts market provided important lessons on risk management and the reality that even well designed trades rarely go strictly according to plan. Our conversation explores lessons imparted by Mr. Market, both during the Dotcom bubble and the Global Financial Crisis. In the former, efforts to strip out the optionality embedded in convert positions were stymied by basis risk across markets. And in the period leading into ...
Jun 08, 2022•56 min•Ep. 89
With a background in math and an inclination to embrace complexity, Puneet Kohli has always found managing capital in the derivatives market both interesting and challenging. And at the Health Care of Ontario Pension Plan, Puneet is also finding meaning and purpose in his work. Sitting within the Fixed Income and Derivatives team at HOOPP, Puneet helps play a role in delivering the pension promise for hundreds of thousands of front-line workers within the 110 billion dollar defined benefit plan....
Apr 29, 2022•58 min•Ep. 88
Armed with the power of the terminal, and bringing together a gift for writing and a deeply curious mind, Cameron Crise is a macro strategist at Bloomberg, contributing pieces on the big picture topics investment professionals are wrestling with. The author of the Macro Man column, Cameron utilizes a framework developed over years on the buy-side in portfolio management roles in which managing interest rate and FX risk were among his primary responsibilities. Through our conversation, we gather ...
Apr 22, 2022•1 hr 1 min•Ep. 87
Over a 30-year career in markets, Vadim Zlotnikov has gained a strong appreciation for the value of time horizon in risk management and alpha generation. Noting that being sufficiently early in expressing a view on markets is not much different from being wrong, Vadim stresses the importance of implementation in achieving a successful outcome. Here we talk of trade construction that is not necessarily burdened by high carry costs. We also discuss the endogenous nature of many market risks, an ar...
Mar 29, 2022•50 min•Ep. 86
Amidst a fraught backdrop for macro risk, uncertainty around inflation is a new and vexing challenge for investors. And with this in mind, it was my pleasure to host a conversation with Lindsay Politi, the Head of Inflation Strategies at One River Asset Management. Through our discussion, we learn about the framework she has developed over two decades in fixed income with an emphasis on trading inflation. In Lindsay’s rendering, inflation is not a single variable but needs to be understood throu...
Feb 25, 2022•48 min•Ep. 85
Armed with a PhD in economics and policy experience, Dave Bizer hit Wall Street, landing at Lehman Brothers in structured equity derivatives in the early 1990’s. A deep background in options pricing theory notwithstanding, he soon found that concepts like Ito’s Lemma were less important than helping clients solve practical problems like hedging equity risk in a tax efficient manner. Developing a keen understanding of the tax code as it pertained to derivatives, Dave was among the innovators in p...
Feb 16, 2022•48 min•Ep. 84
For Robert Tipp, Chief Investment Strategist and Head of Global Bonds at PGIM Fixed Income, an appreciation for financial market history matters. And in today’s fast moving environment, in which market prices are rapidly adjusting to expectations of Fed policy changes, Robert’s perspectives are especially relevant. Our discussion is a review of inflation and monetary policy cycles from many years prior and through this, Robert shares his insights on the drivers of inflation. Calling into questio...
Feb 12, 2022•56 min•Ep. 83
Matt Amberson is among those who have watched the steady and consequential evolution of the listed equity options market over the last 3 decades. Getting his start on the floor of the CBOE in the 90’s, he was in the trenches during the period of incredible single stock volatility that was tied to the original tech bubble. While markets were not nearly as efficient then as they are now, Matt sought to improve his edge in trading options, seeking enhanced methods for estimating a stock’s volatilit...
Jan 18, 2022•48 min•Ep. 82
The still-nascent world of trading derivatives on cryptocurrencies requires more than just expertise in the math of options and trade construction. Pricing relationships can be driven by flows, by changes in sentiment and by regulatory tape bombs. For Ari Pine, Co-Founder of Digital Gamma, adeptness in financial technology is critical as well. Disparate venues, unique margin relationships and economic nuances in products across different exchanges all require a heavy lift with respect to creatin...
Jan 14, 2022•1 hr 2 min•Ep. 81
For Kris Sidial, the Co-CIO of the Ambrus Group, trading and risk management is a passion. A self-professed math nerd in college, Kris began dabbling in sports betting using a statistical approach. He soon found his way into option markets, where is now an active participant and also a humble student continuously gathering knowledge from his interaction with the markets. Through our discussion, we learn of how Kris thinks about flows, his analysis of positioning and the complex poker game that l...
Dec 23, 2021•59 min•Ep. 80
On this special 3 year anniversary episode of the Alpha Exchange, we turn the tables and your host Dean Curnutt is the guest. In conversation with dear friend Arthur Kaz, Dean shares perspectives developed over 30 years in financial markets. Through the discussion we learn of a risk framework focused on understanding the why of volatility events and how this study led to Dean’s founding of Macro Risk Advisors in 2008. Asked by Arthur to share a few war stories, Dean tells us of how a surge in im...
Dec 03, 2021•1 hr 12 min•Ep. 79
