Zürich, 25 October 2018
Volatility and Tail Risk Educational Breakfast

Further details to follow soon!

Thursday, 25 October 2018

Zunfthaus zur Schmiden

Breakfast & Registration

Chair Welcome Remarks

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

Economic Address: The deterioration begins; a.k.a the problems with cheap money

Financial historian Charles P. Kindleberger was clear in his conclusions after analysing multiple centuries of financial market bubbles. Bubbles are always built upon 3 or 4 key foundations (including cheap money), are always accompanied by a strong narrative and always come to an end when that cheap money is removed. In this speech Longview will outline how and where that bubble has been building and why, in their view, the deterioration has already begun. 

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

 

IN BRIEF: MANAGER PRESENTATIONS

1. Anthony Limbrick (Head of Quantitative Research, Principal & Portfolio Manager, 36 South Capital Advisors)

Subject: The ETF environment, secondary market liquidity and the gap risk premium

2. David Dredge  (Chief Investment Officer, Convex Strategies, City Financial Investment Company)

Subject: The increasing complexity within the structured product markets

Coffee break

PANEL DISCUSSION: Tail risk hedging

• How can investors construct an efficient tail hedge today?

• Is there too much focus on the VIX index? Should we be looking at longer term volatility? What about volatility in other asset classes?

• Is the cost of certainty today cheap or expensive?

Manager: Anthony Limbrick (Head of Quantitative Research, 36 South Capital Advisors)

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

Investor: Roger Hilty (Partner, LGT Capital Partners Ltd) 

Investor/Moderator: Christoph Gort, PhD (Partner, SIGLO Capital Advisors)

IN BRIEF: MANAGER PRESENTATION

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

SubjectFebruary 5th revisited: can volatility products, risk premia and other quantitative strategies trigger another volatility spike?

 

 

FIRESIDE CHAT: Q&A DISCUSSION

• The rotation from active to passive management has reduced the ability of the market to prevent and navigate large drawdowns. Total ETFs are now at a record $5 trillion versus $0.8 trillion in 08 and are now 45% of global equity AUM.

• Are flash crashes exposing the issues in the current state of market and is high-frequency trading contributing to market fragility? 

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

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

Our speakers…

David Dredge
Chief Investment Officer, Convex Strategies City Financial Investment Company
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Roger Hilty
Partner LGT Capital Partners Ltd
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Anthony Limbrick
Principal, PM, Head of Quantitative Research 36 South
Read Bio
Pierre de Saab
Partner Dominicé & Co - Asset Management
Read Bio
Chris Watling
CEO and Chief Market Strategist Longview Economics
Read Bio
Christoph Gort, PhD
Christoph Gort, PhD
Partner SIGLO Capital Advisors
Read Bio
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Venue

Zunfthaus zur Schmiden, Marktgasse 20, 8001 Zürich, Switzerland

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