Alpha Exchange

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 then shifts to commodities, where Hari sees a differentiated opportunity set. We discuss how producer hedging, end-user demand, and forward-curve dynamics create a very different volatility ecosystem than that in equities. He outlines a strategy focused on gaining long exposure to select commodities while using options structures to reduce carry costs and preserve upside convexity.

We close with a discussion on cross-asset dislocations, the recent divergence between oil, gold, and equities, the role of commodities in a world where bonds may be less defensive, and how AI tools are accelerating research, customization, and hypothesis testing across markets.

I hope you enjoy this episode of the Alpha Exchange, my conversation with Hari Krishnan.

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 Treasuries, and the implications of a more leveraged global economy.

 

We close with a discussion on regulation, private credit, and the impact of geopolitical shocks, as well as how AI-driven disruption is influencing corporate behavior and risk management across industries.

 

I hope you enjoy this episode of the Alpha Exchange, my conversation with Rob Kaplan.

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 conversation next considers today’s landscape. Here, Wayne walks through how the firm is positioning across liquid credit markets, highlighting areas such as residential mortgage-backed securities and shorter-duration, high-income instruments as ways to balance yield with risk control.

 

We close with a discussion on AI-driven dispersion, energy-driven uncertainty, and the importance of portfolio construction across geographies, sectors, and structures in navigating an increasingly complex environment.

 

I hope you enjoy this episode of the Alpha Exchange, my conversation with Wayne Dahl.

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 conversations that emphasize intellectual honesty, humility, and the ongoing exchange of ideas. I feel as convicted as ever about the business model which aims to create value through engagement.

I hope you enjoy this episode and appreciate your ongoing support of the Alpha Exchange.

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 US government is the source of the shock?”

 

The implications for asset prices that result from a less stable US are significant and there are important questions to consider. I hope you find this discussion useful.