KEY
IN - Introductory Sessions
PPM - Program & Policy Management
AI - Alternative Investments
FI - Fixed-Income Applications
EQ - Equity Applications
KEY
IN - Introductory Sessions
PPM - Program & Policy Management
AI - Alternative Investments
FI - Fixed-Income Applications
EQ - Equity Applications
KEY
IN - Introductory Sessions
PPM - Program & Policy Management
AI - Alternative Investments
FI - Fixed-Income Applications
EQ - Equity Applications
KEY
IN - Introductory Sessions
PPM - Program & Policy Management
AI - Alternative Investments
FI - Fixed-Income Applications
EQ - Equity Applications
KEY
IN - Introductory Sessions
PPM - Program & Policy Management
AI - Alternative Investments
FI - Fixed-Income Applications
EQ - Equity Applications
KEY
IN - Introductory Sessions
PPM - Program & Policy Management
AI - Alternative Investments
FI - Fixed-Income Applications
EQ - Equity Applications
KEY
IN - Introductory Sessions
PPM - Program & Policy Management
AI - Alternative Investments
FI - Fixed-Income Applications
EQ - Equity Applications
(CODE KEY)
IN = Introductory Sessions
PPM = Program & Policy Management Sessions
EQ = Equity Application Sessions
FI = Fixed-Income Application Sessions
AI = Alternative Investment Sessions
1:00 p.m. – 1:30 p.m.
REGISTRATION FOR FUNDAMENTAL WORKSHOP SERIES PARTICIPANTS
For conference delegates who consider their futures and options derivatives knowledge and skills to be at a very basic level.
Sessions focused on the relevant issues pertaining to the development of risk management programs and derivative policy implementation. For end-user delegates of all knowledge and skill levels.
For conference delegates who consider their futures and options derivatives knowledge and skills to be at an intermediate to advanced level.
For conference delegates who consider their futures and options derivatives knowledge and skills to be at an intermediate to advanced level.
Sessions focused on current theory and research with regards to the use of derivatives in alternative investment strategies. For conference delegates who consider their futures and options derivatives knowledge and skills to be at an intermediate to advanced level.
Fundamentals of Exchange-Traded Derivatives Workshop
An Eight-Session Workshop Series
This comprehensive workshop series covers the basic concepts and applications that corporate treasurers, plan sponsors, and others with investment management responsibilities need to understand to incorporate derivatives into a risk management program. Sessions begin Thursday afternoon and continue through Friday afternoon.
1:30 p.m. – 2:45 p.m.
Fundamentals of Exchange-Traded Derivatives Workshop: Part I—Futures Market Fundamentals - IN
- The evolution of the futures market—cash to forward to futures contracts
- The relevance of contract standardization and central clearing
- Terminology, concepts and landscape of exchange-traded derivatives
3:00 p.m. – 4:15 p.m.
Fundamentals of Exchange-Traded Derivatives Workshop: Part II—Options Market Fundamentals - IN
- Contract mechanics: rights and obligations
- Examples of various options strategies including covered calls, protective puts and more
- Options pricing dynamics and implications for making trading decisions
4:30 p.m. – 5:45 p.m.
Fundamentals of Exchange-Traded Derivatives Workshop: Part III—Derivatives Literacy Quiz - IN
- Determine where you are on the learning curve
- Give and take introduction to derivatives and hedging strategies
4:45 p.m. – 6:00 p.m.
General Conference Registration
6:30 p.m. – 8:30 p.m.
Opening Reception
Friday, February 2
7:30 a.m. – 8:00 a.m.
Conference Registration
Continental Breakfast
8:00 a.m. – 8:30 a.m.
Conference Welcome
Patrick J. Catania, Executive Vice President, Chicago Board of TradeMark F. Duffy, Vice Chairman, Chicago Board Options Exchange
Scott Gordon, Chairman, Chicago Mercantile Exchange
8:30 a.m. – 9:30 a.m.
Opening Address:
Investment Strategy Outlook: The U.S. Economy, Stock Market and Equity Portfolios
Jeffrey Applegate, Lehman Brothers
9:45 a.m. – 10:45 a.m.
Fundamentals of Exchange-Traded Derivatives Workshop: Part IV—Basic Interest Rate Futures Applications - IN
- Scenarios appropriate for using futures to protect portfolio value in rising or declining markets
- Bond pricing, CTD, hedge ratios, and duration management
Sheldon Natenberg, Independent Trader
Volatility, Skew, and Tail Risks - EQ/FI
- What are they and what causes them?
- Trading & Hedging Strategies
- Measuring & Monitoring Risks
Stephen Stone, Allstate Insurance Company
Market Neutral Investing - EQ
Steve Henderlite, Long Short Partners
11:00 a.m. – 12:00 p.m.
Fundamentals of Exchange-Traded Derivatives Workshop: Part V—Basic Interest Rate Options Applications - IN
- The appropriate use of market forecasts in investment objectives
- Option utility, hedging convexity, option pricing, and the Greeks
Sheldon Natenberg, Independent Trader
Mutual Funds and Listed Options - EQ
- How mutual funds can and do use options
- Types of strategies used to increase returns and manage risks
Christopher N. Orndorff, Payden & Rygel
The Role of Futures in Managing a Short-term Asset Portfolio - FI
- Risk-neutral substitutes for physical securities
- Markets where no physical securities are available
- A source of outperformance, providing return volatility similar to that of a benchmark index
Ashok Bhatia, Strong Capital Management, Inc.
12:00 p.m. – 1:30 p.m.
Seated Luncheon
1:30 p.m. – 2:30 p.m.
Fundamentals of Exchange-Traded Derivatives Workshop: Part VI—Basic Equity Futures Applications - IN
- An examination of a variety of "fair value" estimates of futures prices
- What "fair value" means for users with different objectives, motivational impacts, funding costs, and investment yields
Gary Trennepohl, Oklahoma State University
Impact of Technology on Derivatives - EQ/FI
- History of technology’s impact on investment research and trade execution
- Opportunities and dangers ahead
Harindra de Silva, Analytic Investors, Inc.
Murray Finebaum, Trading Edge, Inc.
The Changing Shape of the Treasury Market - FI
- Implications of the Federal debt paydown for financial markets
- Impact of supply changes on the Treasury yield curve
- Emergence of alternative market benchmarks (agency notes, swaps, corporate notes)
Michael McGlone, IBJ Lanston Futures
2:45 p.m. – 3:45 p.m.
Fundamentals of Exchange-Traded Derivatives Workshop: Part VII—Basic Equity Options Applications - IN
- An explanation of a unique two-step thinking process for options
- Case studies involving practical option strategies for investors and traders
Gary Trennepohl, Oklahoma State University
Enhanced Indexing - EQ
- Different approaches to enhanced indexing
- Using derivatives to enhance index returns
Managing Credit Spread Risk - FI
- Credit spread volatility has increased and spreads have unlinked from Treasury benchmarks
- How the change in behavior of credit spreads is forcing a shift to more effective cross-hedging instruments
Wesley Bonewell, GMAC-RFC
4:00 p.m. – 5:00 p.m.
Fundamentals of Exchange-Traded Derivatives Workshop: Part VIII—Getting Started - IN
- What you need to know to start using futures and options
- Interacting with professionals who specialize in futures & options
- Audience/Panelists—question & answer opportunity
Panelists: "Fundamental" Track Speakers (Luft, Natenberg, Bittman and Trennepohl)
Single-Stock Futures - EQ
- Strategy applications
- Regulatory and tax issues
- How successful will they be?
Peter Hajas, Knight Financial Products
William Paul, Covington & Burling
Mark Rzepczynski, John Henry and Co., Inc.
Fed Funds, Everything Else is Derivative - FI
Gerald Lucas, Merrill Lynch Government Securities
7:00 p.m. – 9:00 p.m.
The Sponsors’ Dinner
9:00 p.m. – 10:00 p.m.
The Sponsors’ Dessert Party
Saturday, February 3
7:30 a.m. – 8:00 a.m.
Continental Breakfast
8:00 a.m. – 9:00 a.m.
Keynote Address:
The U.S. and the Struggle for Leadership of the Global Economy
Dr. John G. Stoessinger, Distinguished Professor of Global Diplomacy, University of San Diego
9:15 a.m. – 10:15 a.m.
Integrating Derivatives Into A Risk Management And Investment Program - PPM
- Why and how should derivatives be incorporated into the management of a portfolio
- A plan sponsor discusses practical applications for using derivatives to achieve his fund’s objectives
Stewart Dier, Pennsylvania State Employees Retirement System
Single Stock Risk Management - EQ
- Evaluating various strategies for managing the risk of concentrated stock positions
- Choosing the best means to accomplish client objectives
- Regulatory and tax considerations
William M. Paul, Esq., Covington & Burling
Policy Implementation Alternatives - EQ/FI
- Elimination of cash drags on performance
- Rebalancing and transition strategies
- Alpha transfer applications
Thomas H. Weaver, Fairfax County Retirement Agency
10:30 a.m. – 11:15 a.m.
Observations of Market Dynamics - AI/EQ/FI
- How market realities question the quantitative approach
- The future of data arrangement and trading
Establishing and Running Derivatives Trading Operations - EQ
- Why and how to set up a hedge fund
- Determining which products to use in which situations
- Getting best execution
Alexander J. Matturri, Jr., Deutsche Asset Management
New Benchmarks in Fixed Income - FI
- Declining treasury issuance and the rise of new fixed income benchmarks
- Pricing and relative value relationships between interest rate swaps, Eurodollar futures, and other debt markets
12:30 p.m.
Golf Tournament
1:30 p.m.
7:00 p.m. – 10:00 p.m.
Risk Management Dinner and Party
Sunday, February 4
8:30 a.m. – 9:00 ap.m.
Continental Breakfast
9:00 a.m. – 11:00 a.m.
Featured Panel Discussion:
Risk Budgeting - AI/EQ/FI
Sponsored by the New York Mercantile Exchange
- The use of new technologies to improve the balance of risk and return in the asset allocation decision
- How risk measurement has enhanced the opportunities for alternative investments and derivative strategies
- The changing relationship between asset managers and beneficial owners
Leo de Bever, Ontario Teachers Pension Plan Board
Henrik Neuhaus, Metrics Associates
Kurt Winkelmann, Goldman Sachs Asset Management