Correlation, Crowding And Convexity Alpha Exchange podcast

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Business News The Alpha Exchange With Dean Curnutt MBA Finance Investing Volatility Financial Markets Risk Management Dean Curnutt Trading Business News Allocators Derivatives

Innhold levert av Dean Curnutt. Alt podcastinnhold, inkludert episoder, grafikk og podcastbeskrivelser, lastes opp og leveres direkte av Dean Curnutt eller deres podcastplattformpartner. Hvis du tror at noen bruker det opphavsrettsbeskyttede verket ditt uten din tillatelse, kan du følge prosessen skissert her https://no.player.fm/legal.

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Correlation, Crowding and Convexity

9d ago 15:30

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Innhold levert av Dean Curnutt. Alt podcastinnhold, inkludert episoder, grafikk og podcastbeskrivelser, lastes opp og leveres direkte av Dean Curnutt eller deres podcastplattformpartner. Hvis du tror at noen bruker det opphavsrettsbeskyttede verket ditt uten din tillatelse, kan du følge prosessen skissert her https://no.player.fm/legal.

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 before levels of implied correlation offers a uniquely attractive cost of macro insurance.

I hope you enjoy and find this useful.

… continue reading

167 episoder

#Business News #The Alpha Exchange With Dean Curnutt #MBA #Finance #Investing #Volatility #Financial Markets #Risk Management #Dean Curnutt #Trading #Business #News #Allocators #Derivatives

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Correlation, Crowding and Convexity

123 subscribers

published 9d ago

Del

MP3•Episoder hjem

Innhold levert av Dean Curnutt. Alt podcastinnhold, inkludert episoder, grafikk og podcastbeskrivelser, lastes opp og leveres direkte av Dean Curnutt eller deres podcastplattformpartner. Hvis du tror at noen bruker det opphavsrettsbeskyttede verket ditt uten din tillatelse, kan du følge prosessen skissert her https://no.player.fm/legal.

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 before levels of implied correlation offers a uniquely attractive cost of macro insurance.

I hope you enjoy and find this useful.

… continue reading

167 episoder

#Business News #The Alpha Exchange With Dean Curnutt #MBA #Finance #Investing #Volatility #Financial Markets #Risk Management #Dean Curnutt #Trading #Business #News #Allocators #Derivatives

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