Thursday, 25 October 2018
Zürich Volatility and Tail Risk Educational Breakfast 2018
Venue
Zunfthaus zur Schmiden, Zunfthaus zur Schmiden, Marktgasse 20, 8001 Zurich, Switzerland
Our agenda
8:00am – 8:30am
Breakfast & Registration
8:30am – 8:45am
Chair Welcome Remarks
Maya A.Z. Rodriguez | Managing Partner, AZR Capital Ltd
8:45am – 9:35am
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
9:35am – 9:55am
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
9:55am – 10:30am
Coffee Break
10:30am – 11:00am
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?
Managers:
Anthony Limbrick | Head of Quantitative Research, 36 South Capital Advisors
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
11:00am – 11:10am
In Brief: Manager Presentation
Pierre de Saab | Partner, Dominicé & Co - Asset Management
Subject: February 5th revisited: can volatility products, risk premia and other quantitative strategies trigger another volatility spike?
11:10am – 11:30am
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