Maya A.Z. Rodriguez (Managing Partner, AZR Capital Ltd)
Thank you to those who attended our 9th Volatility Investing and Tail Risk Educational Event on 6 November 2015 in Zurich. The event was a fantastic success, with great questions, thoughtful discussion and panel debate, and insightful presentations. Slides from the presentations will be uploaded soon, watch this space.
Please click on the individual agenda items below for further details.
Zunfthaus zur Schmiden
Registration and breakfast
Economic address: Cognitive dissonance of markets: liquidity delusions and cross-asset volatility
- Conundrum between increasing monetary liquidity, fewer trading liquidity providers and higher vol of vol
- The role of negative rates, structured products and positioning in driving volatility, correlation, skew and convexity globally
- Credit cycle and corporate balance sheet optimisation as drivers of volatility cycles
Kokou Agbo-Bloua (Managing Director, Global Head of Flow Strategy & Solutions, Financial Engineering, SG CIB)
Manager panel: Volatility outlook, opportunities & dealing with a bipolar VIX
- With easing programs well back in fashion, what are your views regarding the macro economic outlook and subsequently the opportunities and threats for your strategy going forward? Has easing monetary policy increased market liquidity, but raised liquidity risk and created tremendous demand to short volatility? Do you think short sellers have created structural weakness in the market? How important do you think tail risks have become? August has seen vol of vol twice as high as 2008, what factors are behind volatility spikes? Are there structural reasons for higher market volatility? What should the new normal trend VIX levels be now? Will it settle back into the low teens (2013 to mid-August 2015)?
- How do you feel about the recent regulatory developments and their potential impact on market liquidity? Very few worried about market liquidity disappearing in 2008 and it did; this was prior to all the onerous regulations. Should investors worry that managers may not find anyone on the other side of their trades? Do you think that in times of stress, the central banks will act as market makers for other asset classes as well as their bonds? Will they bail out small retail investors dominating the short VIX ETFs?
- David Dredge (Co-Chief Investment Officer, Fortress Convex Strategies Group)
- Richard (Jerry) Haworth (CEO & CIO, 36 South Capital Advisors LLP)
- Pierre de Saab (Head of Investment Team, Dominicé & Co)
Investor presentation: Sourcing uncorrelated alpha and downside protection from volatility
How are institutional investors balancing the need for yield whilst effectively managing their portfolio risk
Arnaud Fortier (Head of Financial Engineering, Zurich Insurance Company Ltd.)
Investor panel: Volatility appetite & risk strategies in depressed yield environments
Why are investors less able to stomach volatility today? Has the investment horizon become shorter and shorter for many investors? What are the consequences of that? What coping strategies are being used in the more QE-centric world? Is diversification really nothing but concentrated short convexity exposure? How has your risk strategy adapted since 2008? Are you volatility buyers or sellers today?
- Ernesto Prado (CIO & Partner, Ayaltis)
- Ray Hindi (Partner, Bellegard Capital)
- Benedict Göette (Partner, Crossbow Partners)
- Arnaud Fortier (Head of Financial Engineering, Zurich Insurance Company Ltd.)
ACADEMIC PRESENTATION: Volatility: Make your enemy your friend
Investors typically follow strategies that aim to minimize volatility while achieving target returns. However, in a period of historically low returns this means to destroy an important source of returns: volatility.
Dr. Hens will explain the key features of volatility from a traditional and from a behavioral finance point of view whilst indicating how volatility can be used to generate returns.
Prof. Dr. Thorsten Hens (Prof. Dr. Hens is Chairman of the Department of Banking and Finance at the University of Zurich and is ranked one of the region’s top 10 Professors of Finance. As a consultant to the Investment Committee of the City of Zurich Pension Fund and President of the Investment Committee at Vita Sammelstiftung, he has first-hand experience of applying his research in practice.)
CEO & CIO 36 South Capital Advisers LLP
Chief Investment Officer, Convex Strategies City Financial Investment Company
Partner Dominicé & Co - Asset Management
Swiss Finance Institute Professor of Financial Economics University of Zurich
Managing Partner AZR Capital
Head of Financial Engineering Zurich Insurance Company Ltd.
Partner Crossbow Partners
CIO Bellegarde Capital
Chief Investment Officer & Partner Ayaltis AG
Managing Director, Global Head of Flow Strategy & Solutions, Financial Engineering SG CIB