Searching for Volatile Macro Environments with Alfonso Peccatiello, The Macro Compass

What was the short-lived SVB baking crisis all about?  Has it forced the Fed’s hand?  Are we done tightening? Lots of Macro questions so who better to dig into it with than the appropriately nicknamed Macro Alf. In this episode of The Derivative, we sit down with Alfonso Peccatiello, founder of The Macro Compass and owner of the wonderful Twitter handle @MacroAlf to discuss the challenges of generating alpha in a low-volatility environment. 

Peccatiello shares his experience of working for ING Bank and managing the Treasury Department's investment portfolio, how regulatory forces have pushed the large players into what looks currently like the wrong investments. They explore the difficulty of generating more return by taking the same amount of risk, especially in a market where the last basis point of carry of risk premia available was the name of the game.

Alfonso and Jeff also delve into the bond market's predictive ability (or maybe more fair to say inability) and its role in predicting the economy's future, the importance of risk management, and the blending of systematic and discretionary processes in making investment decisions. They emphasize the need to consider various factors when analyzing the bond market and interpreting its nuances, plus so much more!

So sit back, relax, and get ready to learn valuable insights into investment and macro trading and the challenges faced in generating alpha in a low-volatility environment — SEND IT! 

Chapters:

00:00-02:18 = Intro

02:19-14:54= It’s Alf! Regulatory schemes, Bond exposure, Macro volatility, & Quitting the bank

14:55-25:34= Real Estate: The largest asset class under pressure

25:35-35:38= The Macro Compass – Blending Risk appetite, Research & tools

35:39-50:39= The fall of SVB: regulations, funding & risk management & The Swiss Credit Suisse

50:40-01:02:48= Off the Radar: China & its reopening

From the Episode: Fed Pricing chart

Follow Alfonso on Twitter @MacroAlf and check out his research, podcasts, and more at ⁠TheMacroCompass.com and subscribe!

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