YouSaid · the spoken record

Dean Curnutt

lines on the record: 102
first: 2024-02-05
most recent: 2024-02-05
sittings or episodes: 1
sources: podcast

Every line below is reproduced as it was said and linked to the record it came from. Nothing here is summarised or generated. Directory · Search · Corrections

“Historically about the risky and risk free asset is that they move in opposite directions, right? So risk assets generally do okay until something disruptive happens in the economy with Fed policy, perhaps a natural disaster, a geopolitical shock. And so that's going to send the stock market down perhaps fast. And then the bond market becomes this flight to safety asset, right? It is the recipient of capital that's running away from the risk and volatility that suddenly hit the S&P 500. And so what you see is typically a scenario in which the stock market falls and the 10-year, let's use that as the base sort of risk-free asset, rallies. And so if you run correlations, especially post the GFC, between the S&P and the TLT, you'll see a decidedly negative correlation. Honestly, upwards of 40%.”
2024-02-05 · Forward Guidance · Dean Curnutt: Market Insurance Is Cheap, Stock-Bond Correlation Is Positive, And “Interesting” VIX Opportunities · IDENTIFIED FROM THE TRANSCRIPT
“So I've been in the derivative space for all too long, you know, 30 plus years before the VIX even became a thing, well before all these episodes of crisis that are supposed to happen once every 100 years and happen once every, you know, five to seven years. And I've thought a lot about how risk-off events materialize. Where do they come from? Is there any alpha to be had in trying to devise a mosaic that helps us appreciate the why of them, you know, where they might originate from, what's the severity, and then what's the defense plan? Should you see one coming? And a lot of my work tends to think about the, quote, risk-free asset, which let's call that the Treasury complex. That's at least what we were taught in the textbook. And then the risky asset complex, which we can just say the S&P is a shorthand just because that's where almost all the wealth and liquidity is. But what we know is...”
2024-02-05 · Forward Guidance · Dean Curnutt: Market Insurance Is Cheap, Stock-Bond Correlation Is Positive, And “Interesting” VIX Opportunities · IDENTIFIED FROM THE TRANSCRIPT