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Macro Hive Conversations With Bilal Hafeez
Ep. 208: David Dredge on Inflation, Underpriced Risks and Sharpe Ratio Flaws
Mar 22, 2024
The podcast discusses the BoJ's timid hike, fiscal dominance in bond buying, central banks' shifting views on inflation, and strategies for risk management in volatile markets. David Dredge, CIO of Convex Strategies, shares insights on portfolio positioning, utilizing convexity for risk mitigation, navigating market volatility, and recommended books for understanding economics.
58:58
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Quick takeaways
- Analyzing VIX futures structure reveals market risk perception and opportunities for risk assessment.
- Incorporating third and fourth moments in volatility analysis aids in identifying mispriced risk areas.
Deep dives
Understanding Market Dynamics through Volatility Analysis
Analyzing the term structure of VIX futures can indicate where market risk is perceived. Steep curves suggest buyers at the back end and sellers at the front, anticipating volatility spikes. Assessing options pricing across equity and interest rate markets based on skew (third moment) and convexity (fourth moment) can reveal areas with mispriced risk and value.
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Discover
highlights
Listen to the best highlights from the podcasts you love and dive into the full episode