Asia EQD - Agenda

Thursday October 19th

Day 1

11:00am – 12:30pm – The SGX Private Buyside China & Hong Kong Forum 

By invitation only

Bhavik Patel, UBS

Vincent Li, Fidelity Worldwide Investment

Lam Kok Chong, SGX

A private session where buysiders will get to hear about the latest product developments surrounding China, the impact warrant flow is having on HK & China parameters and subsequent ways to implement overlays. 

Main Sessions Begin

Grand Ballroom I & II, Level 1

1:00pm: Economist Address: China – A Macro Outlook

Wei Yao, Société Générale

Societe Generale’s Wei Yao will present the latest economic outlook, analysis and forecasts for China. The presentation will be timely given the commencement of the 19th Party Congress a day earlier, where analysts expect institutional changes to be determined. 

1:45pm: Panel - China, FX & Opportunities Ahead

Moderator: Filip Siekierczak, Deutsche Bank

El Mehdi Benhmade, Capula Investment Management

Liam Stevenson, CLSA Alternative Investment

Daniel Scinto, BFAM Partners

Deutsche Bank’s Filip Siekierczak will lead a panel featuring some of the leading portfolio managers in APAC active in cross-asset volatility markets. Topics to be discussed include the different drivers of fx and equity vols, the perception of Asia equity vol performance during a selloff, and the rotation in to vol carry strategies and the resulting market implications. 

2:30pm: CME Group Product Update

Tim McCourt, CME Group

CME Group’s Tom McCourt will set out the latest product developments at CME Group, detailing current growth areas and trading opportunities during Asia hours. 

2:45pm: Coffee Break

3:15pm: APAC Volatility Drivers & Flow Dynamics

Jason Lui, BNP Paribas

BNP Paribas’ Lui will take a deep dive in to updating investors on the asymmetric supply/demand dynamics in Asia, the three chariots of Asian structured product markets and what may impact Asia volatility structurally. The presentation will also feature a case study looking at the innovation of Japan vol recycling. 

4:00pm: Systematic Portfolio Hedging – Underlying Principles & Latest Innovations

Bharat Sachanandani, Societe Generale

Mark Richardson, Janus Henderson

Henderson’s Mark Richardson will kick off the session by focusing on systematic portfolio hedging – the anatomy of back testing, ways to improve the carry profile and engineering a hedge to make it a more suitable solution for investors. Societe Generale’s Bharat Sachanandani will then provide perspectives on tactical hedging, looking at leveraging cross-asset correlation tactically, supply/demand dynamics in correlation and opportunities present in alternative risk transfer structures.

4:45pm: Panel - Global X-Asset Volatility Perspectives

Moderator: Markus-Alexander Flesch, Eurex

Yann Le Her, La Francaise Investment Solutions

Oleg Lugovkin, Argentière Capital

Additional Panelist To Be Announced

Eurex’s Markus-Alexander Flesch will lead a panel of buyside participants to discuss the latest developments in cross-asset volatility markets globally. Panelists will provide views on dislocations in Asia Pacific equity markets, supply and demand dynamics at play globally and performance of strategies that exploit imbalances, among other topics.

5:30pm: Day 1 Sessions Conclude

6:00pm: Cocktail Reception, sponsored by Optiver @ the Vista, Level III

Friday October 20th - Day 2

7:30am-9:00am: Networking Breakfast, sponsored by HKEX @ Grand Ballroom III, Level I

Main Sessions @ Grand Ballrooms I & II

9:00am: EQDerivatives Product Update

Peter Thompson & Pat Fay, EQDerivatives

EQDerivatives’ Peter Thompson and Pat Fay will provide an update on EQDerivatives products across commentary and events globally, as well recent findings in the Vol Market Mapping Survey and what is coming up in the Alternative Risk Premia Market Mapping. 

9:15am: Signals & Volatility

Shane Carroll, Citigroup

Kicking off day two of Asia EQD, Citi’s Shane Carroll will cover what the core drivers of volatility in Asia have been and what is expected going forward. He will highlight how this translates into potential future trading opportunities.

10:00am: Risk Premia – Investor Approaches Across Factors & Asset Classes

Sean Flanagan, Deutsche Bank

In the second session of the day, Deutsche Bank’s Sean Flanagan will present on how risk premia investors are getting more sophisticated and involved, requiring investment banks to be both research providers and synthetic private bank providers. Case studies will look at client specific developments on emerging risk factors and client-specific implementation of short volatility strategies with intra-day delta-hedging.

10:45am: Coffee Break

11:15am: X-Asset Trends - A Case Study

Abhinandan Deb, Bank of America Merrill Lynch

Alexandre Mamet, Pictet Alternative Advisors

In our late morning session, BAML’s Abhinandan Deb will team up with Pictet Alternative Advisors’ Alexandre Mamet. Deb will discuss unpicking momentum vs trend, when do they work best and the properties of trend following strategies across assets. He will also look at how poor persistence and fragility have led to lacklustre CTA returns in recent years. Mamet, meanwhile, will break down trend following returns, balancing Sharpe vs orthogonal bets and deciding the parameters of the strategy. He will conclude by providing an industry overview from a practitioner’s perspective, what assets to include in your strategy and what to watch out for when evaluating offerings. 

12:00pm: Cross-Asset Volatility Premium: The Latest Quant Approaches

Raphael Dando, quantitative strategist, Société Générale

In this session, Raphael Dando of Société Générale will present on recent analysis on option premium. The presentation will cover what drives the volatility premium, how to design an option strategy - which hedging frequency, which expiry, which strike, and whether there is value in intraday delta-hedging.

12:45pm: Lunch @ Rossio

1:45pm: The Asset Manager Perspective: Leaders In Alternative Risk Premia

Moderator: Yajur Arora, BNP Paribas

Tanuj Dutt, Nikko Asset Management

Gus Dhothar, AHA Capital Management

Michael Dyer, Neuberger Berman

Eric Bissonnier, LumX Group

Fresh from lunch, alternative risk premia leaders from the buyside will discuss the current challenges facing the market as well as the benefits of certain styles in the current market environment. Topics addressed include challenges around traditional allocation techniques and how ARP fits into a multi asset portfolio. The team will also debate whether short vol is overcrowded.

2:45pm: Fireside Chat – From East To West – Approaches To Harvesting Risk Premia

Moderator: Hirofumi Takaku, UBS

Henry Zhang, First State Super

Kari Vatanen, Varma

First State Super’s Henry Zhang and Varma’s Keri Vatanen will present on each fund’s approach to alternative risk premia, implementation and next steps for expansion. UBS’ Hirofumi Takaku will then lead a discussion on key criteria for allocating, factor timing and outlook for the industry.

3:30pm: Conference Ends

Register To Attend

Book Discounted MGM Accommodation

Asia EQD 2017 Sponsors:

Platinum Sponsors

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Gold Sponsors

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