Maya Rodriguez (Managing Partner, AZR Capital Ltd)
Please note that this educational day is aimed at investors and is strictly non-marketing.
11 Cavendish Square
Registration & Breakfast
Chair Welcome Remarks
Economic address: Why economists always being right creates volatility
Markets and economics have increasingly divorced from one another. This is encouraging mispricing of assets and of policy, and facilitates periods of market volatility against a relatively clear policy and fundamental backdrop.
Paul Donovan (Global Economist, Managing Director, UBS Investment Bank)
Manager Panel Discussion: Managers' views on volatility, risks, returns and what lies ahead
This panel will consider how the recent period of low volatility has changed the use and perception of volatility by different market participants and if this is about to change again. Discussion topics will include: the landscape of volatility products, their evolution and their impact on the market, where the current opportunities in the volatility markets can be found and their practical implementation, and views on the fast evolving volatility market environment.
Manager: Marc Perrigault (Portfolio Manager, Schroders Volatility Funds)
Manager: Pierre de Saab (Partner, Dominicé & Co - Asset Management)
Manager: Jacob Weinig (Founding Partner and Portfolio Manager, Malachite Capital)
Moderator: Paul Donovan (Global Economist, Managing Director, UBS Investment Bank)
CASE STUDY: PORTFOLIO CONSTRUCTION IN THE AGE OF FRAGILITY – GOING BEYOND THE DRYLANDS
This case study will first shed some light on today’s extraordinary fragility of global markets, then discuss why extrapolating experiences from our past lifetime might be very dangerous, and finally offer some thoughts of how one could go beyond the drylands by cutting across asset classes to extract generic alpha.
Guest speaker: Pascal Spielmann (Executive Director, LGT Capital)
Moderator: Andrew Wong (Advisor, Global Markets & Risk)
Please contact us at email@example.com to receive a copy of the presentation.
Volatility trends: Volatility of volatility, liquidity, regulations and volatility supply & demand mania
Short presentation by Kokou followed by a Q&A led by Paul. The presentation will look to answer the following open questions: Will my counterparties be there when I need liquidity? How is the liquidity landscape changing for volatility instruments? How does MIFID2 impact your day to day in terms of execution / cost of trading / counterparty selection? Should managers / investors pull out of certain markets / strategies as a consequence? Has regulation overshot? Who are the buyers and sellers of volatility today? Is structured product issuance still hot? What are the trends in structured product issuance globally and what impact is it having on volatility of volatility?
Bank: Kokou Agbo-Bloua (Managing Director, Global Head of Flow Strategy & Solutions, Financial Engineering, SG CIB)
Manager: Will Bartlett (CIO, Parallax Volatility Advisers)
Investor: Patrick Fleur (Head of Trading & Execution Desk, PGGM)
Moderator: Paul Hilgers (Global CEO, Optiver)
EQUITY PROTECTION PANEL DISCUSSION: Is it still working and worth it? What's new, what do you get?
This session seeks an ideal way of hedging tail risk and protecting equity portfolios. What have been the experiences of the investors on the panel? How can a successful allocation be defined? How can investors overcome challenging investment committee debates on the cost/benefit of tail risk hedging? How should they allocate to these strategies?
Manager: Richard (Jerry) Haworth (CEO & CIO, 36 South Capital Advisors LLP)
Manager: Tomoko Yamahara (Portfolio Manager, Capula Investment Manager)
Manager: Keith Guthrie (Chief Investment Officer, Cardano Risk Management Ltd)
Moderator: Brian Dana (Principal/Hedge Fund Practice Leader, Meketa Investment Group)
INSTITUTIONAL INVESTOR VIEWPOINTS: How to best hedge volatility? Banks vs. tail risk funds?
Short case study presentations followed by a Q&A by each of the institutional investors Arnaud Fortier and Mike Edleson. They will be making the case for having efficient hedging strategies as part of investor portfolios. Both investors have been investing in hedging strategies for a number of years now. Arnaud Fortier will argue for sourcing directly from the investment banks to obtain a more tailored and liquid hedge, while Mike will make the case for portfolio protection through funds, explaining why hedging programs make sense for an endowment and how much it should constitute.
Investor: Arnaud Fortier (Head of Financial Engineering, Zurich Insurance Company Ltd)
Investor: Mike Edleson (Chief Risk Officer, The University of Chicago)
Moderator: Stephen Coltman (Senior Investment Strategist, Aberdeen Asset Management)
GUEST SPEAKER: How volatility changes your brain
John Coates (John, until recently Research Fellow in Neuroscience and Finance at the University of Cambridge, previously traded derivatives for Goldman Sachs and ran a trading desk for Deutsche Bank. He now researches the biology of risk taking and stress. His book, The Hour Between Dog and Wolf, was shortlisted for the Financial Times/Goldman Sachs Business Book of the Year, while the journal, Foreign Policy, named him one of the most influential thinkers of the year.)
Prize draw results
Managing Director, Global Head of Flow Strategy & Solutions, Financial Engineering SG CIB
CEO and Managing Member Parallax Volatility Advisers, LLC
Research Fellow in Neuroscience and Finance University of Cambridge
Senior Investment Strategist Aberdeen Asset Management
Principal, Consultant Meketa Investment Group
Partner Dominicé & Co - Asset Management
Managing Director and Global Chief Economist UBS Wealth Management
Chief Risk Officer The University of Chicago
Head of Trading and Execution Desk PGGM
Head of Financial Engineering Zurich Insurance Company Ltd.
Chief Investment Officer Cardano
CEO & CIO 36 South Capital Advisers LLP
Group CEO Optiver Holding BV
Portfolio Manager Schroders
Managing Partner AZR Capital
Executive Director and Senior Investment Strategist LGT Investment Partners Ltd
Founding Partner and Portfolio Manager Malachite Capital Management
Advisor Global Markets & Risk
Portfolio Manager Capula Investment Management LLP