Alpha Exchange

It was a pleasure to welcome Jon Havice, Founder and CIO of DGV Solutions, back to the Alpha Exchange. Our conversation explores systematic investing, volatility risk premia, and portfolio construction for institutional investors.   We begin with Jon's path from trading currency options and derivatives at O'Connor and UBS through hedge fund management and investment consulting before founding DGV Solutions. He reflects on advising endowments, foundations, and healthcare systems, and explains how those experiences shaped a philosophy centered on delivering liquid, systematic investment strategies designed to help institutions pursue long-term objectives while managing downside risk.   The discussion focuses on DGV's approach to accessing equity beta through a collateralized put-write strategy. Jon discusses the volatility risk premium as a persistent feature of options markets, comparing it to traditional insurance markets where investors are willing to pay for downside protection. He explains how systematic o

It's been a busy year for the Alpha Exchange podcast — 25 episodes so far and an exciting fall schedule ahead. Today I'm going solo, assessing a backdrop for market risk that has proven quite unique this year. In the discussion that follows, I want to share what's on my mind with respect to the prices we all stare at every day, and tie together three crosscurrents that look separate on the surface but are really one story. These themes are low correlation, spot up vol up dynamics, and the cheapness of market-based insurance.   First, correlation. Realized and implied correlation among S&P stocks have fallen to levels never seen before — one-month realized printed 0.4% in late July — and that's pinning index vol to the floor even as the stocks inside get more volatile. On the second front, a meaningful cohort of stocks are experiencing massive returns, and, atypically, seeing their options become more expensive at the same time. This is amplified by leveraged ETFs and there are unique implications for risk

It was a pleasure to welcome Alec Litowitz, the Founder of Magnetar Capital and QStar Capital, to the Alpha Exchange. Central to our discussion is an exploration of the ideas in Alec’s new book, The Adaptability Quotient. Here, he draws on more than thirty years of investing across multiple market regimes. We begin with Alec’s three decades in financial markets, from his early years at Citadel through the founding of Magnetar. Looking back across multiple market cycles, he argues that long-term investing success is driven by more than intelligence alone. Instead, he introduces the concept of Adaptability Quotient, or AQ, emphasizing the ability to revise views, respond to changing conditions, and distinguish between environments defined by risk, uncertainty, and black swans. A central theme throughout the discussion is decision-making under uncertainty. Alec explains why markets spend much of their time in environments where outcomes are possible, but probabilities remain difficult to estimate. He outlines a

It was a pleasure to host an Alpha Exchange discussion with Franklin Parlamis, the Founder and CIO of Aequim Alternative Investments. Franklin brings a distinctive perspective shaped by two decades in capital structure and convertible bond arbitrage. His career spans the Russian debt restructuring of 1998—where he witnessed firsthand how broken correlations can unwind hedges—through the convertible market collapse of 2008, when leverage amplified systemic stress and "the machine broke." Our conversation explores how convertibles sit at the nexus of multiple asset classes: rates, rate volatility, credit, credit volatility, equities, and stock lending. When any of these inputs malfunctions, arbitrage breaks down. Franklin's experience navigating the GFC reinforced a critical lesson: sometimes the bravest move is admitting losses and right-sizing risk, a discipline that positioned his team to prosper during 2009's rebound. Franklin articulates a central insight: markets are generally good at identifying under

It was a pleasure to welcome David Silber, Head of Institutional Equity Derivatives at Citadel Securities, to the Alpha Exchange to discuss the evolution of listed options markets, institutional liquidity, and the technology reshaping modern derivatives trading. We begin with Dave’s early career on the floor of the Chicago Board Options Exchange during the transition to multi-listed options, where market making, open outcry, and physical proximity to order flow defined liquidity provision. He reflects on the evolution of the options market from paper tickets and fractional pricing to today's electronic ecosystem, highlighting how advances in technology have fundamentally changed both price discovery and risk management. We then turn to the creation of Citadel Securities’ institutional derivatives business. Dave explains how his experience across multiple firms led him to identify opportunities to reduce friction in institutional options execution by combining technology, quantitative research, and broad acc

What causes significant risk-off events? Can they be anticipated to any degree? Understanding the how and why of these episodes is critical for investors seeking to avoid drawdowns. In this short podcast, I share how I think about episodes of risk-off, with particular attention to the interaction between stock and bond prices — before, during, and after market vol events. I outline three type of risk-off: the classic, the taper, and the liquidation, and provide examples of each. I also propose a fourth, in which the US Treasury market is itself the source of global instability.  I hope you find this discussion useful and I wish you an excellent July 4th holiday.    Editing and post-production work for this episode was provided by The Podcast Consultant (⁠https://thepodcastconsultant.com⁠)

Aaron Brown is a Wall Street quant, risk manager, and trader. He’s also a professor and the author of the recent book Wrong Number—on probability, reasoning, and the role of skepticism in markets and beyond.   We begin with Aaron’s unconventional path into finance, from identifying betting opportunities in horse racing and playing professional poker to studying under pioneers including Fischer Black before spending decades on Wall Street.   The conversation explores how concepts from poker—including bankroll management, Kelly sizing, and separating risk management from individual decisions—translate into portfolio construction and investing.   We then turn to Aaron’s latest book, Wrong Number, which examines the misuse and misinterpretation of statistics across a range of public policy and scientific topics. He discusses common errors surrounding p-values, data quality, and the incentives that shape published research, emphasizing the importance of skepticism and careful interpretation of statistical claims.

David Dredge, Founder and CIO of Convex Strategies, has spent his career in derivatives markets, on the long side of optionality and seeking value in convexity. It was great to learn more about the role he plays in fortifying client portfolios with insurance and to have him reflect on how periods of market stress expose limitations in traditional risk methodologies. Our conversation focuses on volatility supply and the structural forces that generate it. Here, David discusses the growth of structured products across equities, rates, and FX markets, and explains how regulatory frameworks, accounting treatment, and yield-seeking behavior contribute to the persistent creation of short-volatility exposures throughout the financial system. David describes Convex Strategies as a value investor in volatility, focused on sourcing efficient insurance rather than trading volatility for profit. He explains how the firm seeks to identify areas where volatility is supplied at attractive prices and where convexity can pr

It was a pleasure to host a discussion with Samir Patel, Global Head of Global Market Sales at Nomura Securities International, on leadership, client strategy, and the evolution of institutional markets businesses in an environment defined by constant change.   The conversation emphasizes how institutional client relationships have evolved over time. Samir explains why clients increasingly seek counterparties with differentiated strengths rather than broad-based coverage across every product area. He discusses how Nomura has focused on areas where the firm can leverage structural advantages, including solutions-oriented financing and strategies tied to concentrated equity positions.   We also explore the growing importance of alignment across sales, trading, structuring, legal, compliance, and risk management. Samir outlines how cross-functional coordination and global product integration are critical as markets and client needs grow more interconnected. The discussion also covers recruiting, mentorship, and

It was a pleasure to welcome Colin Lancaster, Global Co-Head of Discretionary Macro and Fixed Income at Schonfeld Strategic Advisors, back to the Alpha Exchange. Our discussion focuses on the evolution of the multi-manager model, portfolio construction, and the challenges of navigating today’s macro environment.   Colin discusses the importance of systems, data, and risk infrastructure, and why scale has increasingly become a competitive advantage. We explore how firms differentiate themselves through strategy mix, geographic focus, and organizational culture, even as the industry has converged around a similar set of core investment disciplines.   A further theme throughout the discussion is talent. Colin outlines his approach to identifying and underwriting portfolio managers, emphasizing self-awareness, intellectual honesty, resilience, and the ability to articulate a sustainable edge. He also discusses the growing importance of managing correlations across strategies, particularly during periods of market

It was a pleasure to host a discussion with Ronnie Wexler, Global Head of Equities Distribution at Barclays, and solicit his insights on change – in markets, in client relationships and in the growing role of technology across the financial ecosystem. We begin with Ronnie’s early years at Goldman Sachs during the final stages of the technology bubble and the sharp market reversal that followed. He reflects on how periods of market stress, from the post-dot-com bear market to the GFC, have shaped his perspective on risk and the importance of being adaptable in markets that are constantly moving. The conversation then turns to the changing structure of institutional investing. Ronnie discusses the growth of hedge funds in pursuit of industrial-scale alpha generation, highlighting how client needs have become increasingly cross-asset, and solutions-oriented. He explains how a sell-side equities business today functions as an integrated ecosystem that spans prime brokerage, derivatives, electronic trading, and

I was excited to host this conversation with Rob Flatley, Founder and CEO of TS Imagine, on prediction markets, AI-driven workflows, and the structural changes reshaping financial market infrastructure.   We begin with Rob’s path from software engineering into capital markets, including leadership roles at Bank of America and Deutsche Bank during the rise of electronic trading and through the Global Financial Crisis. That experience informs a broader perspective on how market infrastructure evolves during periods of stress and technological transition.   The conversation then turns to artificial intelligence and the distinction between large language models and reinforcement learning systems. Rob explains why traditional deterministic workflows in settlement and collateral management create different challenges than probabilistic systems such as risk management. He argues that the next phase of AI adoption will focus less on generating language and more on learning and automating complex workflows across fina

It was a pleasure to host a conversation with Hari Krishnan, Head of Volatility Strategies at SCT Capital, on the changing nature of volatility markets, portfolio hedging, and why commodities may offer increasingly valuable diversification in today’s environment. Hari reflects on his book Second Leg Down, which explores practical approaches to tail-risk hedging and the cyclical nature of volatility. He discusses how investors often ignore protection in calm periods, only to rush toward hedges after markets have already repriced risk. That dynamic leads to a broader conversation on planning, budgeting, and approaching hedging as an ongoing portfolio discipline rather than a reactive decision. We then turn to option markets more broadly, including volatility risk premium, skew, and the challenge of protecting against fat-tailed outcomes. Hari explains why moderately out-of-the-money options often embed persistent premium, while deeper tail risks can be difficult to price with confidence. The conversation the

It was a pleasure to welcome Rob Kaplan, Vice Chairman of Goldman Sachs, and former President of the Dallas Fed, to the Alpha Exchange.   We begin with Rob’s reflections on his time at the helm of the Dallas Fed from 2015 to 2021, a period spanning rate liftoff, fiscal stimulus, and the COVID crisis. He outlines how his perspective as a business practitioner led him to focus on structural forces—demographics, globalization, and technology—rather than relying solely on cyclical data and economic models.   We then turn to the current environment, where the Fed faces a more complex trade-off between inflation and employment. Rob highlights the limits of monetary policy, emphasizing that broader economic outcomes are increasingly shaped by fiscal policy, regulation, and structural trends beyond the Fed’s control.   The conversation also explores changes in financial markets, including the diminished influence of Fed policy on the long end of the yield curve, the growing importance of supply and demand for Treasur

It was a pleasure to welcome Wayne Dahl, Co-Portfolio Manager of Global Credit Strategy at Oaktree Capital Management, to the Alpa Exchange.   We begin with Wayne’s path through convertible arbitrage, structured credit, and multi-asset investing, and how that foundation informs a framework centered on understanding sensitivities across rates, credit, and equity exposures. Convertible arbitrage, in particular, serves as an entry point into managing multiple dimensions of risk simultaneously, reinforcing a core principle: avoiding large losses is essential to long-term compounding.   We explore Oaktree’s consistent investment philosophy—one that prioritizes credit fundamentals over macro forecasting and emphasizes patience in periods of compressed risk premiums. Wayne reflects on environments like 2021, where low yields and tight spreads challenge investors to remain disciplined, and contrasts that with the more attractive all-in yields that have emerged following the shift in rates since 2022.   The conversati

Welcome to Episode 250 of the Alpha Exchange. To celebrate the milestone, I asked my dear friend, Jon Kalikow, to host the conversation, switching seats and having me as the guest. I launched the podcast in 2018 with a simple idea: to create space for long-form conversations that explore how market practitioners think about risk. Rather than focusing on predictions, the goal has always been to understand frameworks—how investors process information, respond to uncertainty, evolve through cycles. In this episode, we also explore some of my own thinking on risk. Here, I outline a simple framework built around four categories: economic, monetary, financial, and geopolitical. While distinct, these risks are deeply interconnected and understanding how they interact is critical in assessing market outcomes. Today’s market dynamics are fascinating in this context. We close the discussion with a look ahead—toward expanding the Alpha Exchange platform through live events, educational initiatives, and continued conv

The “risk-free” rate figures prominently in how we’ve all been taught the foundations of finance. To price a security, start with the asset that is the safest and soundest and then add compensation for bearing uncertainty. It has always been self-evident that the global risk-free benchmark was the Treasury market. Deep, liquid and viewed as default free, US government bonds have been the recipient of capital during times of stress.   And the reason is that the US has long been viewed as not just the world’s strongest economy but also a stabilizing force in global affairs. In this discussion, and with the help of four recent expert guests on the Alpha exchange, I argue that this is changing and the US is now becoming a chief source of risk. In the process, the Treasury market may be losing one its most important characteristics: the insurance feature. That is, its capacity to be durable to and even benefit from market shocks. We’ve all got to be asking, “how can US government bonds be a shock absorber when the

Kris Abdelmessih, author of the MoonTower Substack and founder of the options analytics firm MoonTower.ai., has spent years thinking about option pricing, volatility regimes, and the mental math traders use to translate volatility into price. In this context, it was great to welcome him back to the Alpha Exchange to explore his thought process. We begin with developments in commodity markets, particularly crude oil, and silver, where geopolitical tension and speculative flows have led to sharp changes in volatility surfaces. Kris explains how option skew in underlyings like oil can reprice rapidly during shock events, leading to inverted termstructure and a well bid call skew. These dynamics create unusual behavior in vertical spreads and probabilities implied by option prices. Kris describes how the relationship between spot moves and volatility changes across market environments, emphasizing that traders must continually recalibrate their models. What appears to be a stable relationship—such as the famili

As Chairman and CEO, Zach Buchwald leads Russell Investments, a firm overseeing $370bln in client assets and celebrating its 90th anniversary in providing portfolio management services to institutions and individuals. Zach details the open-architecture model utilized at Russell, explaining how portfolios are constructed by combining best-of-breed managers and strategies across asset classes. He shares how these portfolios are managed through an outsourced chief investment officer framework, providing institutions with integrated portfolio construction, manager selection, and risk management. A central theme in our discussion is retirement, a large focus at Russell on behalf of its client base. Zach highlights the long-term shift from defined benefit pensions to 401(k) plans, and the structural and behavioral challenges individuals face in saving for retirement and the growing responsibility they now bear in planning. We discuss the power of compounding, the importance of staying invested through market vola

Amidst these very uncertain times in the economy, geopolitics, and asset prices, it was excellent to welcome Alberto Gallo, founder and CIO of Andromeda Capital Management, back to the Alpha Exchange. Our conversation first considers the long arc of post-crisis monetary policy. Here, Alberto argues that extended quantitative easing, while stabilizing in the short run, carried structural side effects over time—capital misallocation, corporate consolidation, and widening inequality. He notes that central bank balance sheets remain large and that markets today send mixed signals: stability in rates and credit alongside strength in precious metals. We then turn to Andromeda’s approach to finding value in credit markets. Alberto frames bonds as embedded short-volatility instruments and describes a strategy that seeks asymmetric gain-to-loss profiles, liquidity, and convexity. A major focus is the rapid expansion of private credit—five-year lockups, high-single-digit returns achieved in benign conditions, sector