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Alpha Exchange

Brought to you by, Dean Curnutt

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Alpha Exchange

The Alpha Exchange is a podcast series launched by Dean Curnutt to explore topics in financial markets, risk management and capital allocation in the alternatives industry. Our in depth discussions with highly established industry professionals seek to uncover the nuanced and complex interactions between economic, monetary, financial, regulatory and geopolitical sources of risk. We aim to learn from the perspective our guests can bring with respect to the history of financial and business cycles, promoting a better understanding among listeners as to how prior periods provide important context to present day dynamics. The “price of risk” is an important topic. Here...

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Recent Episodes of Alpha Exchange


Vol Laundering and the Portrait of a Perfect Hedge

Vol Laundering and the Portrait of a Perfect Hedge

If smoothing returns is the feature not bug of private equity and credit, what strategy fully embraces the virtue of honest mark to market risk?  What strategy highlights price shocks and the resulting level at which a portfolio could be unwound in a hurry as the basis of thinking about its efficacy?  In this short podcast, I make the case that exposure to vol – to the anti-fragile - is going to be a part of this strategy. That is, long exposure to options-based insurance.

I hope you enjoy and find this useful. As always, I appreciate your feedback.<

Episode 168 12 July 2024 14m and 23s


MIchelle Meyer, Chief Economist, Head of the Mastercard Economics Institute

MIchelle Meyer, Chief Economist, Head of the Mastercard Economics Institute

A Wall Street economist who served institutional clients at both Lehman Brothers and Bank of America, Michelle Meyer, transitioned to Mastercard two and a half years ago, now serving as the firm’s Chief Economist and Head of the Mastercard Economics Institute. I had the opportunity to catch up with Michelle back in May and while much has of course happened in the world since, there are some valuable insights shared in our discussion.

We first survey the similarities and differences in her new role at Mastercard versus the traditional sell-side economics role in which she served. He...

Episode 167 11 July 2024 37m and 49s


Cuban’s Collar is Jensen’s Alpha

Cuban’s Collar is Jensen’s Alpha

It’s been 25 years since Mark Cuban implemented an exceedingly well-timed and attractively priced hedge on shares of Yahoo.  In this short podcast, we review the popular “zero cost collar” trade and discuss the factors that impact its pricing. Cuban is known for playing offense in investing, buying the Mavs and making deals on the Tank. But his defensive trade on Yahoo years ago has been critical in his wealth accumulation. We bring in Jensen Huang, the owner of a few shares of NVDA, and make the case that he ought to consider this risk reducing collar transaction. I hope yo...

Episode 166 27 June 2024 16m and 47s


Correlation, Crowding and Convexity

Correlation, Crowding and Convexity

There’s been some decent ink spilled recently on the “dispersion trade” which has profited from the epically low level of realized correlation among stocks. If winning trades attract capital and erode the margin of safety in the process, is this exposure crowded and vulnerable to an unwind?  In this short pod, I lay out a 5-part, informal framework for thinking about risk-off episodes. In the process, we consider the pricing of vol and correlation. While the spill-over risk from dispersion trades gone wrong doesn’t appear to be high, the pricing of index volatility that results from never seen befo...

Episode 165 20 June 2024 15m and 30s


Garrett DeSimone, Head of Quantitative Research at OptionMetrics

Garrett DeSimone, Head of Quantitative Research at OptionMetrics

Earning a Ph.D. in financial economics is no small feat. And not only did Garrett DeSimone do just that, but he would unknowingly embark on his future career in the process of doing so. His dissertation from the University of Delaware involved the study of event risk premia in single stocks ahead of earnings. And to perform the analysis he engaged with OptionMetrics, a firm specializing in implied volatility data. Now the Head of Quantitative Research there, Garrett leads the firm’s efforts to deliver carefully constructed data sets to its client base, while generating original empirical studies of...

Episode 164 18 June 2024 48m and 44s


There’s No Crying in Correlation

There’s No Crying in Correlation

The study of correlation is valuable, informative and, likely an over-indulged in activity on Wall Street. That said, there are important risk considerations when it comes to how significantly assets move together or do not. The task at hand in this short podcast is to illustrate and contemplate the diverging paths of two important correlations: that between the stock market and bond market and second, between equities themselves. If the stock market is diversifying itself in real-time, there are reasons to think it cannot last indefinitely.  I hope you enjoy.

Episode 163 13 June 2024 13m and 42s


The Zeroes…A Cross Asset Sequel

The Zeroes…A Cross Asset Sequel

With option prices in the doldrums, your host provides some thoughts on why and in the process reflects on the skinny levels of risk premia a decade ago. I finish with some cautionary observations around what might go wrong. I hope you enjoy this short pod!

Episode 162 5 June 2024 14m and 25s


Raghuram Rajan, Professor of Finance, Chicago Booth, and Former Head of Reserve Bank of India

Raghuram Rajan, Professor of Finance, Chicago Booth, and Former Head of Reserve Bank of India

It was a pleasure to welcome Raghuram Rajan back to the Alpha Exchange. Raghu is currently a distinguished professor at the Chicago Booth School of Business and is the former head of the Reserve Bank of India. With a deep understanding of the intersection of markets, the economy and policymaking, he is among the most important voices on Central Banking.

With this in mind, our discussion explores his recent book “Monetary Policy and Its Unintended Consequences”, the title alone of which is entirely through provoking. Raghu shares his assessment of the tendency for policy towards increasing asymmetry – where...

Episode 161 3 June 2024 52m and 43s


Harry Markopolos, "The Man Who Knew"

Harry Markopolos, "The Man Who Knew"

Corporate Fraud is an unfortunate, costly and seemingly never-ending aspect of the world of business. In the best case, fraud is prevented or, at least caught before harm is done. All too often, however, these cases of deception lead to large financial losses, impacting the lives of many - shareholders, individuals and certainly those that are courageous whistleblowers.

A little more than 15 years after the unwind of the Madoff Ponzi scheme, I invited Harry Markopolos back to the Alpha Exchange. Harry is often simply referred to as “the Man Who Knew”. He chased Madoff for years, serving up a...

Episode 160 28 May 2024 40m and 39s


Kris Kumar, CIO, Goose Hollow Capital

Kris Kumar, CIO, Goose Hollow Capital

It was a pleasure to welcome Kris Kumar, CIO of Goose Hollow Capital, to the Alpha Exchange. Our conversation starts with Fed policy and the manner in which the 500bps of policy tightening is impacting the economy. To this, Kris argues that the propitious starting position for households and corporates in this cycle has been quite different than in previous ones, thus blunting the impact of rate hikes. He points as well to loose fiscal policy with the unemployment rate so low. For Kris, what happens next depends more on fiscal than monetary side.

We next consider...

Episode 159 14 May 2024 1h, 3m and 1s

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