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Thursday, 6 April 2017

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

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) 

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)

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)

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)

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)

  1. Black Swan Events: What can we learn from derivatives data?

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)

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)

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)

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.

  1. Why do people believe stupid economic ideas?

Our speakers…

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