Zürich, 25 October 2018
Volatility and Tail Risk Educational Breakfast

Further details to follow soon!

Thursday, 25 October 2018

Zunfthaus zur Schmiden

Registration and breakfast

Chair Welcome Remarks

Maya Rodriguez (Managing Partner, AZR Capital)

Economic Address

Chris Watling (Longview Economics)

Brief presentations

1. Anthony Limbrick (36 South) on the ETF environment, secondary market liquidity and the gap risk premium

2. David Dredge (City Financial Investment Company) on Increasing complexity within the structured product markets

Coffe break

Panel:Tail Risk Hedging

Panel Topics: 

How to construct efficient tail hedge today?

Is there too much focus on the VIX index - How about longer term volatility? And volatility in other asset classes? 

Is the cost of certainty today cheap or expensive?


Roger Hitly (LGT Capital Partners Ltd) 

Anthony Limbrick (36 South)

David Dredge (City Financial Investment Company)

Chris Gort  (SIGLO Capital Advisors) 

Brief presentation

Pierre De Saab (Dominicé & Co - Asset Management)

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


Fireside chat

 Pierre De Saab (Dominicé & Co - Asset Management) & Chris Watling (Longview Economics)

Q&A topics: 

  • The rotation from active to passive 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 in 08 and now 45% of global equity AUM.
  • Are flash crashes exposing the issues in the current state of market and are High Frequency Trading contributing to market fragility? 

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
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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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Christoph Gort, PhD
Christoph Gort, PhD
Partner SIGLO Capital Advisors
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Zunfthaus zur Schmiden, Marktgasse 20, 8001 Zürich, Switzerland

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