2014 Agenda
30th Annual Risk Management Conference Agenda
All presentations and videos that are available are posted here under the speaker's/session name.
Click here to see the recap of the 2014 RMC in Global Capital by Robert McGlinchey (this will take you to www.globalcapital.com)
- Click here for a printable PDF of the Agenda
Monday, March 17, 2014
| 11:00 5:30 | Conference Registration |
| 12:30 1:45 | Historical Performance of Options-Related Strategies - An analysis of benchmark indexes for covered call, cash-secured short put and collar strategies - Sources of enhanced risk-adjusted returns - Comparing options-based strategies to stocks, bonds, and alternatives Doug Kramer,Chief Executive Officer, Horizon Kinetics Matt Moran,Vice President, CBOE Theodore Samulowitz, Vice President - Portfolio Manager, Invesco PowerShares Karl A. Schneider,CAIA, Vice President, State Street Global Advisors Kramer, Moran, Samulowitz & Schneider Presentation |
| 1:45 2:00 | Coffee Break |
| 2:00 3:15 | Directional Options Trading and Strategy - An Analysis of Managing a Directional Options Portfolio -Pre-trade rich/cheap analysis; a look at implied volatility and skew - Time horizon analysis; understanding time value related to overwriting - Position management tactics; when to roll or adjust strikes - Choosing the right options strategy Jim Bittman, Senior Staff Instructor, CBOE Options Institute Bill Looney, Director, Institutional Business Development, CBOE Euan Sinclair, Trader, Bluefin Trading Bittman, Looney & Sinclair Presentation |
| 3:15 3:30 | Session break |
| 3:30 4:45 | Pension, Foundation and Endowment Use of Options - Changes in sponsor operating policies and procedures needed to put options-based investment ideas into practice - Benefits and challenges involved with getting options-related investment programs included as part of a plan's asset allocation process - What option based strategies are being employed? - How does one get these "complex" programs approved by committees and supported by consultants? - What are the lessons learned from using option based programs and where are the opportunities today? Ryan A. Bailey, CFA, FRM, CAIA, CMT, Former Investment Officer and Interim CIO, Meadows Foundation Ryan A Bailey Presentation Tro M. Hallajian, Managing Director, Parametric Risk Advisors Colin Bebee, Vice President, Pension Consulting Alliance Colin Bebee Presentation |
| 4:30 5:30 | Registration continues |
| 6:30 8:30 | Opening Reception: cocktails and dinner |
Tuesday, March 18, 2014
| 8:00 9:00 | Buffet Breakfast and Conference Registration | |
| 9:00 9:15 | Edward Tilly, Chief Executive Officer, CBOE Holdings, Inc. Welcome and CBOE update | |
| 9:15- 10:15 | Keynote Speaker: Marvin Zonis, Professor Emeritus, Booth School of Business, University of Chicago --New Insights Into Geopolitical Risk; Examining Geopolitical Risk Hot Spots and the Implications for Trading Strategies and Risk Management Marvin Zonis Presentation | |
| 10:15 - 10:45 | Coffee break | |
| 10:45 11:45 | Maneesh Deshpande, Managing Director and Head of Americas Equity Derivatives Strategy, Barclays --The Shifting Landscape of Volatility Products: Who is Doing What and Why, and What Should You Do About It? | |
| 11:45 1:00 | Lunch and networking | |
| 1:00 2:00 | Panel on Volatility as an Asset Class What options- and volatility-related strategies are institutional investors employing and why? Moderator: Jonathan Havice, Principal & Chief Investment Officer, Jeffrey Slocum & Associates, Inc. Donald Dale,Managing Partner, Derivaguard Advisors LLC Tarik H. Dalton, Investment Manager, Department of State Treasurer of North Carolina Dennis Davitt, Managing Principal, Chief Investment Officer, Harvest Volatility Advisor Kevin Duggan, Vice President of Equity Products, Ontario Teachers' Pension Plan | |
| 2:00 2:15 | Session break | |
| TRACK A | TRACK B | |
| 2:15 3:30 | Mutual Fund Use of Options - Research quantifying options usage patterns of US mutual funds funds and comparing performance relative to peers in terms of returns, volatility and AUM growth - How funds are managed to reduce risk and create alpha with index, ETP and single stock options - Growth potential of options-based funds John Marshall, Equity Derivatives, Convertibles, & Cross-asset Research, Goldman Sachs Eric Metz, Portfolio Manager, RiverNorth Capital Eric Metz Presentation | Listed Derivative Product Design and Trading - A detailed description of the VIX settlement process - Weekly futures and options on short term VIX, ticker VXST - Volatility of non-equity asset classes including interest rate volatility - Managing volatility trades Dominic Salvino, VIX Specialist, Group One, LLC William Speth, Vice President, Research and Product Development, CBOE Salvino & Speth Presentation |
| 3:30 -3:45 | Session break | |
| 3:45 5:00 | Asset Allocation Rebalancing Using Options - Results from an empirical study on the use of SPX options to implement allocation shifts with market moves - A case study on how dynamic rebalancing has been accomplished in practice Dr. Christoph Gort, Partner, SIGLO Capital Advisors Dr. Christoph Gort Presentation Pav Sethi, Chief Investment Officer, CEO, Gladius Investment Group Pavi Sethi Presentation | Trading Volatility Across Asset Classes - Volatility of non-equity asset classes - Relative value trading ideas - Sizing hedges for macro portfolios - In practice: examples and implementation Puneet Kohli, Portfolio Manager, Derivatives & Fixed Income, Healthcare of Ontario Pension Plan Puneet Kohli Presentation James Hosker, Director, Engineering and Strategy, Americas, Soci้t้ G้n้rale James Hosker Presentation |
Wednesday, March 19, 2014
| 7:15 8:00 | Buffet Breakfast | |
| 8:00 9:00 | Keynote Speaker: Carl R. Tannenbaum, Senior Vice President, Chief Economist, Northern Trust Turning the Corner: A New Phase for Growth and for the Federal Reserve Carl R Tannenbaum Presentation | |
| 9:00 9:15 | Session break | |
| TRACK A | TRACK B | |
| 9:15 10:30 | Design and Management of Low Volatility Products by Insurance Companies - New product designs including volatility control products, low volatility by stock selection and VIX-linked structures - Managing risk of low volatility products - Special considerations for insurance companies - Hedging challenges presented by exotic optionality within Fixed Indexed Annuities Alan Grissom, Global Head of Insurance, S&P Dow Jones Indices Alan Grissom Presentation Chris Quallan, Vice President, Derivative Trading, 40/86 Advisors Chris Quallan Presentation Barry S. Seeman, Global Head of Derivatives Structuring, AEGON Barry S Seeman Presentation | Volatility of Volatility - An analysis of volatility of volatility surfaces, including the VIX of VIX index, ticker VVIX - Historical observations and interpretations - Trading and hedging applications John-Mark Piampiano, Portfolio Manager, Global Volatility, Pine River Capital Management John-Mark Piampiano Presentation Edward K. Tom, Head, Equity Derivatives Strategy, Credit Suisse |
| 10:30 11:00 | Coffee break | |
| 11:00 12:15 | The Volatility Surface: Skew and Term-Structure - Option Pricing Theory vs. the Real World - Modeling Skew and Term Structure - The Dynamics of the Volatility Surface - How the Volatility Surface Impacts Strategy Selection and Risk Measurement Trevor Mottl, Head of Macro and Derivatives Strategy, Susquehanna Investment Group Trevor Mottl Presentation Sheldon Natenberg, Co-Director of Education, Chicago Trading Company, LLC Sheldon Natenberg Presentation | Alternative Products for Locking in Volatility Targets - The spectrum of volatility products including variance swaps, VIX and fixed strike options - Replication of exposures and optimal hedging techniques - Design of TIXX futures that are based on realized variability - Pricing theory and trading applications Bruno Dupire, Head of Quantitative Research, Bloomberg Bruno Dupire Presentation Thong Wei Koh, Trader, CSS LLC and Co-Founder, Kinetic Laboratory Thong Wei Koh Presentation |
| 12:15 | End of Conference sessions | |
| 1:00 | Golf Tournament: Raptor Bay, shotgun start | |
| 7:00 9:00 | Buffet dinner and networking | |