Maya A.Z. Rodriguez (Managing Partner, AZR Capital Ltd)
1 Great George Street, Westminster, London SW1P 3AA
Chair Welcome Remarks
ECONOMIC ADDRESS: From Goldilocks to peak cycle anxiety
2018 started with a conflict between two competing dynamics, strong growth and easy financial conditions globally on one side, and three unique market realities on the other:
1) Aggressive US late-cycle fiscal easing, bringing forward growth, at the cost of a bigger debt burden for future.
2) The risk of international counter-cyclical trade retrenchment, or “trade wars”, in the era of globalisation.
3) The end of central bank QE and normalisation of core yield curves.
These dynamics have already rewritten the consensus narrative for 2018. Is there more risk repricing in store?
Speaker: Lena Komileva (Chief Economist, G+ Economics)
PRESENTATION: Volatility in cryptocurrency markets from the perspective of an investor and trader
A discussion of cryptocurrency volatility and how this compares to other asset classes, as well as its effects on investors and traders.
Guest speaker: Dr Nic Niedermowwe (Co-Founder & CEO, Prime Factor Capital Ltd)
INVESTOR PRESENTATION: A diversified approach to global risk mitigation strategies
A critique of popular hedging strategies and how different portfolio construction techniques can be utilised to mitigate path dependency.
Investor Speaker: Stephen Coltman (Senior Investment Strategist, Aberdeen Standard Investments)
PANEL DISCUSSION: Solving the volatility dilemma!
- What opportunities and challenges has the current market environment brought to implementing long volatility strategies?
- Should long volatility strategies offer equity crash-protection or general protection in all kinds of turbulence? Which has more chance of success?
- How should long volatility and tail risk managers think about taking profits when volatility spikes?
Manager David Dredge (CIO, Convex Strategies, City Financial Investment Company)
Manager: Richard (Jerry) Haworth (CEO & CIO, 36 South Capital Advisors LLP)
Manager: Alexis Maubourguet (Portfolio Manager, Argentière Capital AG)
Investor: Eric Bissonnier (CIO, LumX)
Moderator: Paul Stephens (Vice President, CBOE Global Markets)
TRADE IDEA: Inflation protection and the right tail
Many modern day portfolios currently rely on high yielding instruments in the bonds, equities and real estate universes, to make up for the lack of return elsewhere. Such overweighting stems from decades of outperformance relative to other asset classes and the recency bias that ensues. Can we rely on the same assumptions going forward? Is the tide turning for inflation, interest rates and the commodities complex?
Manager: Rich Haworth (Portfolio Manager, 36 South Capital Advisors LLP)
THE ACADEMIC VIEWPOINT: What we cannot know
Every week headlines proclaim the latest scientific breakthroughs. Numerous mathematical problems, once regarded as indecipherable, have now been solved. Is it possible that one day we will know everything? Or are there limits to what we can discover about our physical universe? And if so, how do we cope with living in a universe where there are things that will for ever transcend our understanding? Professor du Sautoy will lead the audience on a thought-provoking expedition to the furthest reaches of modern science to find out if there’s anything we truly cannot know.
Marcus du Sautoy has received a number of awards for his work including the London Mathematical Society’s Berwick Prize for outstanding mathematical research. He has been awarded an OBE for his services to science and was recently elected a Fellow of the Royal Society.
Guest Speaker: Marcus du Sautoy (Professor of Mathematics at the University of Oxford and holds an OBE for his services to science)
RESEARCH: Volatility and the alchemy of risk
The Ouroboros, a Greek word meaning ‘tail devourer’, is the ancient symbol of a snake consuming its own body in perfect symmetry. In extreme heat, a snake is unable to differentiate its own tail from its prey, and will attack itself, self-cannibalizing until it perishes.
The Ouroboros is a metaphor for the financial alchemy driving the modern bear market in fear. Volatility across asset classes is at multi-generational lows. A dangerous feedback loop now exists between ultra-low interest rates, debt expansion, asset volatility, and financial engineering that allocates risk based on that volatility. Alchemy is the only way to feed our global hunger for yield, until it kills the very system it is nourishing.
Manager Speaker: Chris Cole (Founder, Artemis Capital Management LP)
ERA OF DIGITAL DISRUPTION: Is technology rewriting the rules of investment?
Discussions around artificial Intelligence, big data, natural language processing, risk premia and behavioural aspects of markets.
Guest Speaker: Tony Guida (UK Pension Fund)
Guest Speaker: W. Ben Hunt, Ph.D (Author of Epsilon Theory & Chief Investment Strategist, Salient)
Manager: Chris Cole (Founder, Artemis Capital Management LP)
Manager: Javier Rodriguez-Alarcon (Head of QIS EMEA Asia ex Japan, GSAM)
Moderator: Georgia Reynolds (Reporter EMEA, EQ Derivatives)
THE POLITICAL DEBATE: Geopolitical volatility
Robert Fisk, a multi award-winning Middle East correspondent for The Independent will be presenting his unique perspective on the conflict in Syria and insight into what we are not hearing from the mainstream media.
Guest Speaker: Robert Fisk (Middle East Correspondent, The Independent)
PANEL DISCUSSION: In the current environment, should investors prioritise hedging or reduce exposure? Can volatility strategies offer a viable/cost effective solution?
- Why do most investors tend to be short volatility in their overall portfolio? Do volatility strategies offer diversification, crisis-protection or both?
- Are volatility strategies better implemented actively or passively? How do you deal with those opportunities but also with the classic challenges of being long volatility?
- Where do you currently find the best trade opportunities in volatility? Are there particularly interesting trades resulting from the skew?
- Which regions or asset classes currently offer the best opportunities?
Moderator: Kokou Agbo-Bloua (Managing Director, Global Head of Flow Strategy & Solutions, Financial Engineering SG CIB)
Manager: Pierre de Saab (Partner, Dominicé & Co - Asset Management)
Manager: Will Bartlett (CEO, Parallax Volatility Advisers)
Manager: Vishnu Kurella (Associate Partner & Portfolio Manager, Caxton Associates)
Exchange: Markus-Alexander Flesch (Global Head Sales for Equity & Equity Index Derivatives, Eurex)
Managing Director, Global Head of Flow Strategy & Solutions, Financial Engineering SG CIB
CEO and Managing Member Parallax Volatility Advisers, LLC
Chief Investment Officer LumX Group
Founder & CIO Artemis Capital Management LP
Senior Investment Strategist Aberdeen Asset Management
Partner Dominicé & Co - Asset Management
Chief Investment Officer, Convex Strategies City Financial Investment Company
Professor of Mathematics University of Oxford
International journalist and writer The Independent
Global Head Sales for Equity and Equity Index Derivatives Eurex
Portfolio Manager 36 South Capital Advisors
CEO & CIO 36 South Capital Advisers LLP
Chief Investment Strategist Salient
Chief Economist G+ Economics
Associate Partner/Portfolio Manager Caxton Associates
Volatility Portfolio Manager Argentière
CEO & Co-Founder Prime Factor Capital
Managing Partner AZR Capital
Head of QIS EMEA Asia ex Japan (GSAM) Goldman Sachs
Partner & Chief Strategist Capula Investment Management
Vice President Chicago Board Options Exchange