London, 06 April 2017
Volatility and Tail Risk Educational Event

Please note that this educational day is aimed at investors and is strictly non-marketing.

 

Thursday, 6 April 2017

One Great George Street

Registration & Breakfast

Chair Welcome Remarks

Maya A.Z. Rodriguez (Managing Partner, AZR Capital Ltd)

ECONOMIC ADDRESS: WORLD ECONOMIC PUZZLE

Trumpflation has become the new buzzword and increasingly fiscal policy - as opposed to monetary policy - is seen to be calling the shots. For all the excitement about a tectonic shift in the policy mix, bond yields remain at historically low levels, even after recent gains. Turning to currencies, however, a more volatile picture emerges. This, moreover, is not just a question of the relative policy stance across countries, but also reflects mounting concern on protectionism, be it on trade or capital flows, and geopolitics. With a busy election agenda ahead for the euro area, questions on policy choices remain open and this too will shape the global picture. Next up are the French presidential elections.

Speaker: Michala Marcussen (Global Head of Economics, SG CIB) 

BRIEF OVERVIEW OF LISTED EUROPEAN VOLATILITY

How does the micro structure of listed European volatility look like? How are flows broken down per participant type? How does on-screen liquidity compare against off-screen liquidity? How are market participants positioned ahead of euro-specific events?

Guest Speaker: Laurent Partouche (Vice President, Equity & Index Derivatives, Eurex)

PANEL DISCUSSION: IS LONG VOLATILITY AN ALTERNATIVE TO FIXED INCOME?

In an era of very low rates, fixed income and equity prices at all time high valuations, our primal instinct remains focused on maximizing linear yield from any source and minimising the costs through indexation and factor based-investing while ignoring higher order risks. Investors are making their decisions based on relativism, common knowledge, and recency bias rather than probabilistic assessment of change. Can bonds still play the lead defence role in investor portfolios? Could long volatility be the next generation defence? Why have investors not embraced the power of convexity?

The riddle of modern investing is to unlearn everything we learnt and find defensive assets that profit from extreme outcomes with positive yield but is that too good to be true? 

Manager: David Dredge (CIO, Convex Strategies at City Financial)

Manager: Christopher Cole (Founder & CIO, Artemis Capital Management LP)

Manager: Pierre de Saab (Partner, Dominicé & Co - Asset Management)

Moderator: Chris Watling (CEO & Chief Market Strategist, Longview Economics)

COFFEE BREAK

THE RISK ADVISOR VIEWPOINT: WHERE ARE THE OUTLIERS?

Volatility and convexity strategies are often used as a portfolio hedge against large price moves. Positioning tends to be driven by macro events, and more recently the trend-following approach of systematic fund. Analysis of latest positioning data indicates that current positioning is a strong predictor of medium-term future price changes. This is particularly true when:

  1. positioning is at either extreme, or
  2. as a precondition for a large (2 SD or more) price move

How is the market currently positioned, which assets are the most vulnerable and what upcoming macro catalysts could unwind positioning?

Guest Speaker: Eric Liu (Macro Investment Strategist and Partner, Vanda Securities)

THE EXCHANGE VIEWPOINT: BLACK SWAN EVENTS: WHAT CAN WE LEARN FROM DERIVATIVES DATA?

Calibrating a rich model on a large set of derivatives data can help uncover the rare but large events priced in the market but impervious to statistical analysis. This is true not only for vanilla options, but also for volatility derivatives such as VIX futures, VIX options and variance swaps. Derivatives markets offer an alternative to the elusive statistical analysis of Black Swan events. The implications for risk management are quite significant.

Speaker: Philippe Henrotte (Co-Founder & Partner, ITO 33)

VOLATILITY SUPPLY & DEMAND: HOW IS 2017 DIFFERENT?

What new opportunities have surfaced in 2017 and how have they impacted the supply and demand dynamics in the market? How have supply and demand imbalances affected positioning? How have macro & technical factors influenced risk recycling? How much are liquidity and correlation impacting supply and demand?

Bank: Delphine Limpalaer (Director, Equity Derivatives, Societe Generale)

Investor: Mark Mehtonen (Portfolio Manager, Ilmarinen Mutual Pension Insurance Company)

Manager: Alexis Maubourguet (Portfolio Manager, Argentière Capital AG)

Moderator: Robert McGlinchey (Director & Co-Founder of EQDerivatives)

LUNCH BREAK

CONSULTANT VIEWPOINT: TAIL RISK BUDGETING: AN INSTITUTIONAL INVESTOR’S PERSPECTIVE ON EXTREME RISK HEDGING

What are the investment objectives, flight path and risk budget when investing in a tail risk strategy? What is the tail for an institutional investor? What are the risk management approaches? What are the governance requirements?

Guest Speaker: Julien Halfon (Principal, Financial Strategy Group, Mercer)

EQUITY PROTECTION PANEL DISCUSSION: TAIL RISK HEDGING IN A LOW VOLATILITY AND HIGH UNCERTAINTY MARKET

Are Tail Risk Hedging Strategies doomed in the overarching low volatility / high uncertainty markets? Are we getting close to the system imploding? Where do you see fragility in the system? Should tail Risk Managers be monetizing on gap events (Brexit, US Elections, etc.) or letting the tail run? Will central banks let it go as far as the tails? Is the cost of recovery still greater than the bleed? What is a reasonable cost for a tail hedge? What are the challenges and opportunities for tail strategies in 2017?

Manager: Richard (Jerry) Haworth (CEO & CIO, 36 South Capital Advisors LLP)

Manager: Mohammed Fawaz (Portfolio Manager, Capula Investment Management LLP)

Manager: Ryan Dow (Co-Founder, CEO & CIO, Macro Risk Solutions)

Consultant & Moderator: Julien Halfon (Principal, Financial Strategy Group, Mercer)

GUEST SPEAKER: Mark Blyth: Why do people continue to believe stupid economic ideas?

Mark Blyth is the Eastman Professor of Political Economy at The Watson Institute for International and Public Affairs of Brown University. Before becoming an academic Blyth has been variously, a stand-up comedian, a chef, and a funk bass player. Realizing that such pursuits where long options at best, he finished his PhD. in political science at Columbia University in 1999. He then joined the Johns Hopkins University before moving to Brown University in 2009. His research focuses upon the causes of stability and change in the economy and why people continue to believe stupid economic ideas despite buckets of evidence to the contrary. The power of economic ideas is a common theme in Blyth’s work, as seen in his recent award winning Book Austerity: The History of a Dangerous Idea (New York: Oxford University Press 2015) and in his new projects on the economic legacies of the baby boomers and the politics of low growth. When not writing, he still likes to cook, and he recently has become a serious cocktail mixologist, which eases the pain of the stuff he writes about.

PRIZE DRAW RESULTS

Our speakers…

Mark Blyth
Author & Political Economist The Watson Institute for International and Public Affairs at Brown University
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Christopher Cole, CFA
Founder & CIO Artemis Capital Management LP
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Ryan Dow
Co-Founder, CEO, and CIO Macro Risk Solutions LLC
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David Dredge
Chief Investment Officer, Convex Strategies City Financial Investment Company
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Portfolio Manager
Mohammed Fawaz
Portfolio Manager Capula Investment Management LLP
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Julien S. Halfon
Principal, Strategic Solutions Group Mercer
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Richard (Jerry) Haworth
CEO & CIO 36 South Capital Advisers LLP
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Philippe Henrotte
Co-Founder & Partner ITO33
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Delphine Limpalaer, CFA
Director, Equity Derivatives Sales SG CIB
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Eric Liu
Head of Research and Partner Vanda Research
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Michala Marcussen
Global Head of Economics SG CIB
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Alexis Maubourguet, CFA
Volatility Portfolio Manager Argentière
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Mark Mehtonen
Portfolio Manager Ilmarinen Mutual Pension Insurance Company
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Robert McGlinchey
Robert McGlinchey
Director, Cross-Asset Volatility Coverage EQDerivatives
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Laurent Partouche
Vice President of Equity & Index Sales Eurex
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Maya Rodriguez
Maya Rodriguez
Managing Partner AZR Capital
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Pierre de Saab
Partner Dominicé & Co - Asset Management
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Chris Watling
CEO and Chief Market Strategist Longview Economics
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Venue

1 Great George Street, Westminster, London SW1P 3AA

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