Alpha Exchange

In this episode, the podcast explores sayings on volatility and risk, discussing topics such as the correlation of securities, the relationship between equities and interest rates, the concept of things breaking in markets, and the insights of Alan Greenspan. It also delves into the intersection of high finance and entrepreneurship as well as the impact of historical events on markets.

Matt King, Founder of Satori Insights, LTD, discusses the impact of central bank liquidity on asset prices and market movements. He explores the correlation between global reserves and equity markets, emphasizing the importance of considering central bank activities globally. The podcast also explores the deviation between proposed quantitative tightening and actual easing by the Federal Reserve. Additionally, King discusses the robustness of the economy in the face of higher interest rates and potential risks of US government debt on the market.

In this podcast, the speaker discusses the current state of market risk and shares a list of 25 sayings on vol and risk. They explore the importance of big moves in option trading, analyze S&P movements and their impact on investor psychology, discuss long volatility vs short volatility, and examine the impact of trades on market risk.

Danny Dayan, Founder and CIO of DWD Partners, shares his perspective on pricing and risks in the US Government bond market. He discusses the launch of his hedge fund, key developments like the Fed SLR expiration and SVB's downfall, and options trades that generate and require premium. The distorted yield curve, government debt, and FX option trades are also discussed.

Nancy Tengler, CEO and CIO of Laffer Tengler Investments, discusses her interest in money management, the importance of taking risks in investing, and the potential benefits of cloud computing and generative AI. She shares her journey in the finance industry, the challenges of running money after the Black Monday crash, and the balance between market growth and valuation metrics. They also explore the impact of AI on productivity and potential investing opportunities.

The podcast explores the origins of Alpha Exchange and its goals, focusing on risk management and identifying opportunities in financial markets. It also discusses the impact of hindsight bias on predicting future events and examines lessons from past crises. The podcast introduces a framework for categorizing uncertainty and volatility markets, and delves into the concept of the volatility risk premium and its impact on market risk events. It also explores the setup leading to the COVID crisis and the proliferation of short equity vol exposure.

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 sincerely thank both our guests and listeners for the ongoing support. 2023 has been a year of significant growth for the podcast and I hope that 2024 will bring more of the same. Wishing you an excellent end to this year and a relaxing holiday.

Guest Anthony Morris, Global Head of Quantitative Strategies at Nomura International, discusses the vol risk premium in the equity market and credit spreads, as well as the credit risk premium. He also talks about the work his team is doing at Nomura in the Quantitative Investment Strategies business, highlighting the importance of considering strategy interactions and hidden co-movement in portfolio construction.

Exploring efforts to empower women in finance, this retrospective podcast highlights female guests who discuss topics such as volatility, hedging, portfolio construction, and the impact of technology on work. It reflects on progress, mentorship, and sponsorship, and expresses optimism about the future of gender equality in finance.

Dennis DeBusschere, Chief Market Strategist at 22V Research, discusses the interaction between the economy, inflation, and the Fed's reaction function. He explores linkages between equity factors and macro variables like the yield curve. He also talks about hedging in an environment of unfriendly stock/bond correlation levels.