In this episode I speak with Dean Curnutt, founder of Macro Risk Advisors and host of the Alpha Exchange podcast. This episode is all about the nature of risk.  More specifically, the endogenous risk that can manifest in markets.  We discuss the crash of 1987, Long-Term Capital Management, the Financial Crisis of 2008, the XIV implosion of February 2018, and the 2020 COVID crisis. With these crises in mind, we touches upon topics such as reflexivity, crowding, risk recycling, and the evolving role of the Fed.  Dean also shares his thoughts about the nature of risk, how it is woven into the fabric of markets, and why it seems like there’s a crisis every 11 years. For those who love to think about risk and the nature of markets, this episode is for you. So sit back, relax, and enjoy this episode of Flirting with Models with Dean Curnutt.

Dean Curnutt - The Reflexivity of Equity Volatility (S6E16)

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In this episode I chat with Markku Kurtti, author of the blog Outcast Beta. Markku is classically trained as an electrical engineer and works on receiver algorithms for mobile phones.  A passion for investing, however, lead him to pursue an MS in Finance and an interview with Ed Thorp compelled him to devote his time to better understanding compounding processes. This obsession has driven him to develop a number of analytical and numerical models that provide differentiated insights into topics such as “why do most individual stocks historically underperform cash,” “how many stocks should an active manager actually hold,” and “how does the uncertainty of uncertainty help explain the equity risk premium puzzle?” With Markku’s work, I’m reminded of the phrase: all models are wrong, but some models are useful.  His outsider’s take provides some unique insights into the benefits, and opportunity costs, of diversification. I hope you enjoy my conversation with Markku Kurtti.  

Markku Kurtti – Diversification is a Negatively Priced Lunch

In today’s episode I speak with Otto van Hemert, Director of Core Strategies at Man AHL. After briefly touching upon Otto’s background, we dive into one of his most popular papers: The Best Strategies for Inflationary Times.  Otto shares the inspiration for the research as well as some of what he feels were the less obvious results. Trend strategies, which were a standout winner in the inflation resilience horse race, serve as the bridge to a discussion on seasonality.  Interestingly, Otto’s research suggests that long-term trend signals are actually capturing seasonality effects! Otto shares his thoughts on different approaches to measuring seasonality, why he believes seasonality emerges in both commodities and financial markets, and how to think about combining trend and seasonality in a single portfolio. Please enjoy my conversation with Otto van Hemert.

Otto van Hemert - Seasonality Everywhere

My guest this episode is Clayton Gillespie, VP at Deutsche Bank where he works in quant equity research for the QIS team. Clayton began his career at Credit Suisse HOLT, where he got his hands dirty in extracting fundamental information.  This formative experience dramatically impacted how he views how fundamentals should be incorporated into quantitative equity strategies. Today, at DB, he strives to improve quantitative equity strategies by anchoring them with a strong fundamental understanding. We discuss how fundamental and statistical interpretations can be at odds, how a strong fundamental understanding can help with the identification of emergent risk factors during regime changes, and how best to incorporate fundamental insights while avoiding potential biases from the analysts who deliver them. Please enjoy my conversation with Clayton Gillespie.  

Clayton Gillespie - A Fundamental View of Quant Equity (S7E5)

In this episode I am joined by Hari Krishnan, Head of Volatility Strategies at SCT Capital and author of the books Second Leg Down and Market Tremors. This is Hari’s second appearance on the show, but he comes to us with a very different topic: how to develop a low carry hedge for a commodity bull market. Taking a similar line of thinking to his book Market Tremors, Hari evaluates the market through the perspective of both commodity producers and consumers.  By understanding their business incentives, Hari believes he is better able to understand their market positioning and the potential imbalances created in both futures and options markets. We discuss the conditional impacts of price on real world costs, how perishability impacts derivative markets, and the influence of seasonality. I hope you enjoy my conversation with Hari Krishnan.

Hari Krishnan – Hedging a Commodity Bull Market (S7E4)

In this episode I speak with Nick Baltas, Managing Director at Goldman Sachs and head of cross-asset delta one, commodity, and stocks strategies R&D; and Structuring.   There are three major discussion points in this episode.  First, we discuss how Nick thinks about using the broad palette of systematic strategies he has at his disposal to solve the problems of asset owners. Second, we discuss Nick’s research on cross-asset skewness.  Less commonly discussed among multi-asset strategies, Nick wrote one of the preeminent papers on the topic and provides considerable insight into the nuance of implementing a skewness strategy. Finally, Nick shares his thoughts on building multi-strategy portfolios, both in theory as well as with respect to meeting client needs. I hope you enjoy my conversation with Nick Baltas.

Dean Curnutt - The Reflexivity of Equity Volatility (S6E16)

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