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Alpha Exchange: Daily Summaries Delivered
by Dean Curnutt
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 we engage experts in their assessment of risk premium levels in the context of uncertainty. Is the level of compensation attractive? Because Central Banks have played so important a role in markets post crisis, our discussions sometimes aim to better understand the evolution of monetary policy and the degree to which the real and financial economy will be impacted. An especially important area of focus is on derivative products and how they interact with risk taking and carry dynamics. Our conversations seek to enlighten listeners, for example, as to the factors that promoted the February melt-down of the VIX complex. We do NOT ask our guests for their political opinions. We seek a better understanding of the market impact of regulatory change, election outcomes and events of geopolitical consequence. Our discussions cover markets from a macro perspective with an assessment of risk and opportunity across asset classes. Within equity markets, we may explore the relative attractiveness of sectors but will NOT discuss single stocks.
Latest Episodes
The most recent episodes — sign up to get AI-powered summaries of each one.
- 3 days ago55 min
Bruce Darringer, Founder BSD Strategic Advisors
My guest today on the Alpha Exchange is Bruce Darringer, Founder of BSD Strategic Advisors and former Partner and Chief Operating Officer of King Street Capital Management. Our conversation is about risk management, but not simply the risk of prices moving against you. As Bruce makes clear, an investment firm is a complex institution, and market stress has a way of exposing weaknesses everywhere at once. A portfolio may be positioned for a dislocation, but the organization's ability to act depends on much more than the investment thesis. It depends on where assets are held, how financing is structured, whether cash can move and whether the people making decisions have reliable information. Those considerations can appear routine in quiet markets. In a crisis, they can determine how much flexibility a firm actually has. We use the market dislocations resulting from the GFC and Covid as case studies. In late 2008, with a major broker-dealer suddenly failing, the challenge extended far beyond investment positions. Bruce asserts that firms needed to understand collateral, counterparty exposure, unsettled trades, bankruptcy regimes, and legal documentation, all while enormous opportunities to buy distressed assets were emerging. COVID provided a different test. Entire organizations moved from offices to remote work almost overnight, putting technology, communication, culture, and trading relationships under extraordinary pressure. Yet once again, the crisis also created opportunity, and Bruce describes launching new investment vehicles in the midst of the dislocation. We then broaden the discussion to what makes an asset-management organization durable: operational due diligence, properly structured investor capital, incentive alignment, technology, human capital, and the difficult transition from a founder-led investment business into an enduring institution. I hope you enjoy this episode of the Alpha Exchange, my conversation with Bruce Darringer.
- 5 days ago50 min
Lori Calvasina, Managing Director, Head of US Equity Strategy, RBC Capital Markets
On this episode of the Alpha Exchange, I’m joined by Lori Calvasina, Head of U.S. Equity Strategy at RBC Capital Markets, for a discussion on the forces shaping the equity market and the framework she uses to assess where the S&P 500 should trade. A central theme of our conversation is the strength of corporate earnings. Lori contrasts today’s market with 2022, when the rapid repricing of interest rates coincided with a considerably weaker earnings environment. This time, earnings growth has provided an important offset to pressure on valuation multiples. She also identifies a vulnerability. Her current framework incorporates a 10% reduction to consensus earnings estimates, reflecting concerns about both the non-AI economy and the sustainability of earnings expectations associated with the artificial intelligence investment cycle. We explore whether the extraordinary capital spending of the largest technology companies can be sustained and whether companies outside that group are positioned to participate in a broader recovery in investment. Lori distinguishes between the concentration of spending among the largest companies and the much earlier stages of capital expenditure recovery across the rest of the market. This creates an interesting tension. The companies responsible for much of the market’s earnings strength are also the companies making some of the largest commitments to future growth. Their ability to generate returns on that investment matters not only for their own valuations but for the outlook of the broader index. At the same time, an improvement in capital spending elsewhere in the economy could provide an additional source of support, particularly if the recovery broadens beyond technology. I hope you enjoy this episode of the Alpha Exchange, my conversation with Lori Calvasina.
- 1 weeks ago52 min
Randy Cohen, Professor of Entrepreneurship & Finance Harvard Business School Co-Founder, PEO Partners
Private equity has become an increasingly important part of institutional portfolios. Investors are attracted to its long-term return potential, the ability to influence portfolio companies and, perhaps less explicitly, the relatively smooth performance that comes from periodic rather than daily valuations. But what exactly are investors being compensated for? And how much of private equity's return profile can be recreated in public markets? My guest today is Randy Cohen, Professor of Finance and Entrepreneurship at Harvard Business School and Co-Founder of PEO Partners. Randy has spent much of his academic career studying asset pricing, investment management, and the challenge of identifying genuine investment skill. Randy and I go back to our days at the University of Chicago, where Gene Fama's work provided a foundation for how we think about markets, risk, and expected returns. In our conversation, Randy describes an approach to private equity replication that begins with the economics of a leveraged buyout. Companies attractive to buyout investors generally exhibit strong profitability, attractive valuations, healthy cash generation and relatively manageable business risk. These characteristics overlap meaningfully with established equity factors. Add industry selection and a measured amount of leverage, and Randy argues that a liquid portfolio can capture important elements of traditional private equity exposure. Of course, the differences matter. Private equity managers can make operational improvements and exercise control. Public portfolios offer liquidity but expose investors to daily market volatility. And the smoothing of private valuations, what Cliff Asness has called volatility laundering, complicates the comparison. We discuss these trade-offs, the substantial role of fees, and the potential for liquid private equity to serve as a complement rather than a replacement for traditional allocations. I hope you enjoy this episode of the Alpha Exchange, my conversation with Randy Cohen.
- 4 weeks ago52 min
Chris Hentemann, Founder and CIO, 400 Capital Management
Chris Hentemann launched 400 Capital Management in October of 2008, in the teeth of the Global Financial Crisis, with roughly $2.5 million of friends, family and mostly his own capital. Today, 400 Capital manages approximately $8 billion, focused on asset-based and securitized credit. We begin with Chris’s early career at First Boston, Salomon Brothers and Bank of America, where he developed expertise across mortgages and structured products. Chris reflects on the extraordinary expansion of bank balance sheets leading into the GFC and why the combination of leverage, insufficient risk capital and misaligned incentives ultimately proved unsustainable. That experience became foundational to the investment philosophy he would build at 400 Capital. Chris explains why he starts with raw, unlevered returns, looks for strong underlying asset selection, and seeks structures that provide asymmetric or convex outcomes. We then turn to significant risk transfer, or SRT, and how regulatory changes created opportunities for private investors to assume credit risk that banks increasingly wanted off their balance sheets. Chris walks us through a recent transaction with OceanFirst involving a seasoned residential mortgage portfolio and explains both the underwriting and structuring behind the investment. Lastly, we discuss the enormous AI infrastructure buildout. Chris explains why 400 Capital is cautious on data-center real estate itself but sees opportunity financing tangible assets such as power equipment and turbines. We finish with risk management, dry powder and why, at this point in the cycle, being a thoughtful second mover can sometimes be more valuable than being first. I hope you enjoy this episode of the Alpha Exchange, my conversation with Chris Hentemann.
- Oct 6, 202650 min
Harley Bassman, The Convexity Maven
My guest today on the Alpha Exchange is the Convexity Maven, Harley Bassman. Harley joins me at a particularly interesting moment for markets, with long-end Treasury yields backing up, rate volatility elevated and the traditional relationship between stocks and bonds looking increasingly unsettled. We begin with Harley’s argument that the rise in long-term yields is less an inflation story than a trust story. With large fiscal deficits, growing interest expense and an enormous amount of Treasury supply coming to market, he sees investors demanding greater compensation to own long-duration government debt. Add substantial borrowing from AI hyperscalers and a changing global buyer base, and the supply-demand equation for bonds becomes even more challenging. We discuss why Harley thinks the Fed is in a difficult position, how higher real yields are affecting housing affordability, and why changes in the transmission of monetary policy may make the policy rate less powerful than it once was. Harley then gives us a tutorial on the MOVE Index, which he created in 1994 using data extending back to 1988. We discuss what a MOVE reading above 100 actually means, how today’s volatility compares with history, and why seemingly extreme levels can sometimes simply represent a return to an older market regime. We finish with options, forward rates, equity-market flows, and the conditions Harley believes could finally make higher rates matter for stocks. I hope you enjoy this episode of the Alpha Exchange, my conversation with Harley Bassman.
- Oct 1, 202650 min
Brij Khurana, Fixed Income Portfolio Manager, Wellington
With one of the largest repricings in fixed income in decades underway, Brij joins me for a wide-ranging conversation on monetary policy, inflation, the wealth effect and where he sees opportunity across global bond markets.We begin with a provocative question: what if interest rates have become more effective at influencing financial markets than the real economy? Here, Brij argues that the traditional relationship between rates and business investment has weakened considerably. Ultra-low and negative real rates did not necessarily generate the productive investment policymakers hoped for. Instead, they helped encourage greater financialization, from household leverage and corporate stock buybacks to private equity activity and, more recently, government borrowing.That leads us to inflation and Brij's argument that today's remaining price pressures are increasingly connected to wealth rather than wages. With an enormous amount of household wealth tied to equities, particularly among older generations, we explore how asset-price appreciation can support spending in areas like housing, healthcare, restaurants and travel even as labor-market demand cools.We then turn to the Fed and the dramatic repricing underway across developed-market yield curves. Brij explains why the front end remains closely tied to expectations for monetary policy, while longer-dated yields incorporate a much broader debate around nominal growth, term premium and the economic consequences of the AI investment boom.AI itself becomes an important part of the discussion. We examine whether extraordinary capital spending and borrowing by hyperscalers are contributing to higher bond yields, changing the traditional stock-bond relationship and potentially crowding out other borrowers.I hope you enjoy this episode of the Alpha Exchange, my conversation with Brij Khurana.
- Sep 23, 202649 min
Amanda Lynam, Chief Credit Strategist in Global Investment Research, Goldman Sachs
It was a pleasure to welcome Amanda Lynam, Chief Credit Strategist in Global Investment Research at Goldman Sachs, back to the podcast. Nearly three years after our first conversation, much has changed! With the extraordinary capital expenditure cycle underway in artificial intelligence, there is no shortage of questions about how the corporate credit market will finance it and what the growing supply of debt means for investors. We begin with Amanda’s assessment of the broader credit landscape. She describes a market supported by resilient economic growth, generally solid corporate fundamentals, and powerful demand from yield-oriented investors, including insurers, pensions, and foreign buyers. These forces have kept periods of spread widening relatively brief, even as issuance has accelerated. We then turn to the scale of the AI buildout. Amanda walks us through Goldman Sachs’ estimates for hyperscaler capital expenditures and debt issuance, along with the financing needs of data centers, chips and other businesses supporting the AI ecosystem. We discuss why companies are raising debt before an immediate funding gap appears, how much issuance the investment-grade market can absorb and why private markets may take on a larger role as the cycle progresses. Importantly, Amanda sees little evidence so far that AI borrowing is crowding out other corporate issuers. Instead, investors appear increasingly attentive to their total exposure to the theme across equities, bonds, and private assets. That creates a renewed role for sectors such as banks, energy, healthcare and food and beverage as sources of diversification. Lastly, we explore the risks that could challenge today’s supportive credit backdrop, particularly an increase in rates volatility that weakens yield-based demand. Amanda also discusses the evolving high-yield market, the software refinancing calendar, and the role of real assets in portfolio construction. I hope you enjoy this episode of the Alpha Exchange, my conversation with Amanda Lynam.
- Sep 8, 202654 min
Kimberly Gallant, Global Head of QIS Structuring, CIBC
Kimberly Gallant, the Global Head of QIS Structuring at CIBC, has spent nearly two decades working across quantitative investment strategies, derivatives and structuring. Our conversation is a deep dive into the evolution of QIS and the economic rationale behind these increasingly important systematic investment strategies. We begin by exploring the origins of QIS and how ideas from academia, pension funds, commodity markets and bank trading desks ultimately converged into a cross-asset business focused on generating alternative sources of return. Kimberly explains that at its core, QIS is about identifying persistent factors, facilitating risk transfer between market participants and packaging these exposures in a transparent and efficient way. The discussion turns to carry and volatility risk premia. Kimberly describes carry as compensation for taking a risk that another market participant needs to transfer—essentially the insurance premium of financial markets. Importantly, she explains why an attractive backtest alone is never enough. Investors must first understand the economic hypothesis behind a premium and whether the market structure supporting it is likely to persist. Lastly, we discuss crowding, leverage and correlation. Kimberly explains how a strategy can evolve from alpha to a fairly compensated risk premium, and how crowding can initially make performance appear stronger before a market shock exposes the underlying positioning. Unexpected correlations and forced unwinds can then turn what should have been a contained event into something much larger. I hope you enjoy this episode of the Alpha Exchange, my conversation with Kimberly Gallant.
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About 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 we engage experts in their assessment of risk premium levels in the context of uncertainty. Is the level of compensation attractive? Because Central Banks have played so important a role in markets post crisis, our discussions sometimes aim to better understand the evolution of monetary policy and the degree to which the real and financial economy will be impacted. An especially important area of focus is on derivative products and how they interact with risk taking and carry dynamics. Our conversations seek to enlighten listeners, for example, as to the factors that promoted the February melt-down of the VIX complex. We do NOT ask our guests for their political opinions. We seek a better understanding of the market impact of regulatory change, election outcomes and events of geopolitical consequence. Our discussions cover markets from a macro perspective with an assessment of risk and opportunity across asset classes. Within equity markets, we may explore the relative attractiveness of sectors but will NOT discuss single stocks.
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