Cboe RMC Europe Day One Recap
What’s Cboe RMC Without Some Volatility Talk?
Tim Edwards, managing director of Index Strategy for S&P Dow Jones Indices, kicked off the conference with a talk about volatility benchmarks, including the Cboe Volatility Index (VIX Index) and Cboe Skew Indexes. Edwards discussed what these indexes may tell investors about market expectations for day-to-day volatility, as well as tail risk. He highlighted the current low skew and higher VIX Index level environment and suggested the market may be more concerned about near-term volatility and less concerned about a major market event. He also charted the declining volatility premium over time, discussed possible causes and suggested that VIX Index levels may be reflective of liquidity concerns in the market.
Portfolio managers Derek Devens of Neuberger Bermanand Chris Hausman of Swan Global followed Edwards with a discussion about the increasing use of options-based strategies. They explained the wide variety of outcomes options-based strategies can produce, the best practices for evaluating these investments and illustrated the importance of path dependency in options-based strategies.
Some Lively Debate?
After the individual presentations, representatives from finccam GmbH, J.P. Morgan, CQS, La Française Global Investment Solutions and TAO Alternatives discussed the risk transfer relationship between banks and funds. The panelists shared techniques for managing a portfolio of alternative risk transfer products, as well as where they see the biggest opportunities in credit markets, variance swaps and equity dispersion.
Another panel of representatives from UBS, J.P. Morgan, Societe Generale, Optiver and Schroders debated different approaches to options pricing. They also discussed trading and execution practices around the world and trading opportunities in the volatility space.
The Pros and Cons of Systematic Investing
Dr. Jens Kroeske, head of macro systematic strategies research at Aberdeen Standard, took the stage next to explore systematic investing and the impact active decision-making has on quantitative strategy outcomes. He discussed if and when systematic strategies should be adaptive to changing market conditions, as well as how allocators should evaluate back-tested strategy performance.
And to Round Out the Day, a Little More Volatility Talk
Attendees ended the day as it began, with a discussion about volatility. Martin Luehrmann from Goldman Sachs and Antti Suhonen from Aalto University closed out day one of RMC. They covered the benefits and risks of short volatility strategies and best practices for evaluating these investments from a portfolio perspective. Luehrmann explored the presence of a volatility risk premium in asset classes outside U.S. equities and the correlation and drawdown performance among various short volatility strategies.
Attendees topped off the day with a wine tasting and dinner. Check back tomorrow for a recap of day two!