Asia EQD - Agenda
Thursday October 19th
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