Alpha Exchange

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,...

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 A...

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 sig...

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 bal...

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 conditio...

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, R...

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...

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...

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...

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...

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 wel...

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 fo...

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 mi...

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 r...

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...

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 collect...

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 directi...

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...

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 contex...

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 emphas...

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 va...

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 sha...

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 embe...

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...

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 int...