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VOLATILITY RESEARCH SEMINAR

Co-hosted by CBOE Futures Exchange, ABN AMRO Clearing Chicago LLC, and Sigma Analysis & Management

 

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Tuesday, June 7, 2016

 

5:00 PM - 8:00 PM

Registration opens at 5:00 PM

 

The Downtown Harvard Club of Boston

One Federal Street, 38th Floor,

Boston, Massachusetts 02110

 

The evening will begin with a general research discussion on volatility from some of the world's leading practitioners.

This panel will focus on some of the different lenses of volatility, including volatility from an investor's perspective, the macro environment of volatility, the path of volatility, and trading volatility.

The audience is most welcome to ask questions. The talk will be immediately followed by a reception.

 

 

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Agenda

 

Registration

5:00 PM - 5:30 PM

 

Panel Discussion & Q/A

5:30 PM - 6:30 PM


Networking Reception

6:30 PM - 8:00 PM

Refreshments will be served

 

Panel

 

https://mlsvc01-prod.s3.amazonaws.com/f793f11e401/933f9de6-5fa8-43c6-80ac-f2b3c07e887b.jpghttps://imgssl.constantcontact.com/letters/images/1101116784221/T.pngRoy G. Niederhoffer

President, R. G. Niederhoffer Capital Management, Inc.

Roy Niederhoffer graduated magna cum laude from Harvard in 1987 with a degree in Computational Neuroscience. After working for another hedge fund for 5 years, he founded R. G. Niederhoffer Capital Management, Inc. ("RGNCM"), in 1993. Since then, RGNCM has employed a quantitative, behavioral finance-based strategy to trade equities, fixed income, foreign exchange and commodities to provide returns that are both valuable on a stand-alone basis and also provide significant downside protection to clients' portfolios. Roy leads the Management Committee and brings nearly 30 years of experience in the hedge fund industry. Mr. Niederhoffer also serves as Chairman of the Board for the New York City Opera and the Harmony Program. He is an accomplished classical and jazz pianist, plays violin with the Park Avenue Chamber Symphony, and is an avid skier. He, his wife and his five children reside in New York City.

 

https://mlsvc01-prod.s3.amazonaws.com/f793f11e401/d2619d2c-6ab8-4a83-94a4-9154751f8184.pnghttps://imgssl.constantcontact.com/letters/images/1101116784221/T.pngAlan Dunne, CFA

Managing Director, Abbey Capital Limited

Alan Dunne is Managing Director for Abbey Capital Limited ("Abbey Capital"), the Dublin-based alternative investment fund manager, and is a voting member of the Investment Committee.
In his role, Alan oversees market and portfolio analysis and research thought pieces, and participates in all aspects of Abbey Capital's portfolio construction and manager selection and appraisal activities. Before joining Abbey Capital in 2012, Alan was Investment Director with Ulster Bank Wealth, the private wealth management business of the Royal Bank of Scotland (RBS) Group in Ireland, where he was responsible for investment strategy and asset allocation. Prior to that, he was Investment Strategist at Allied Irish Capital Management (AICM), a Dublin based global macro Commodity Trading Advisor (CTA). Alan started his career at Bank of America, London, as a technical analyst and proprietary trader in the Foreign Exchange (FX) division. He subsequently worked with Bank of America in Hong Kong and Singapore as Senior Research Analyst in FX, before joining BNP Paribas as a fixed income strategist in Emerging Markets in London. Alan is a CFA holder with a BA in Economics from Trinity College Dublin, an MSc in Investment Management from Hong Kong University of Science and Technology and an MBA from University College Dublin.

 

https://mlsvc01-prod.s3.amazonaws.com/f793f11e401/93a701fc-3de4-4840-82bc-8965dc4998d0.jpghttps://imgssl.constantcontact.com/letters/images/1101116784221/T.pngChris Solarz, CFA, CAIA, CPA

Managing Director, Cliffwater LLC

Chris is a Managing Director of Cliffwater LLC in their New York office and a member of the hedge fund research team. Prior to joining Cliffwater in 2011, Chris was a Senior Analyst at SAIL Advisors, where he focused on manager selection and due diligence as Head of Research for tactical trading and relative value strategies. Previous experience includes working for ING Investment Management, Antarctica Asset Management, Societe Generale Barr Devlin, and CIBC World Markets. He earned a BA in Economics and Anthropology from the University of Pennsylvania and a MComm in Finance from the University of New South Wales, where he was a Federation Scholar. Chris is a Certified Public Accountant, holds the Chartered Alternative Investment Analyst designation, the Chartered Financial Analyst designation, and is a member of the New York Society of Security Analysts. Chris has broken 6 Guinness World Records, has run marathons on all 7 continents and in all 50 US states.

 

https://mlsvc01-prod.s3.amazonaws.com/f793f11e401/06b25b02-fb41-4521-87e1-5373c08ae26f.jpghttps://imgssl.constantcontact.com/letters/images/1101116784221/T.pngTristan Thomas, CFA

Director of Portfolio Strategy - Senior Vice President, 50 South Capital

Tristan Thomas is Director of Portfolio Strategy for 50 South Capital's Hedge Fund Investment Team, responsible for portfolio construction and monitoring and a member of the team's Senior Investment Committee. Prior to joining 50 South Capital, he was a Strategy Head at Mesirow Advanced Strategies and a member of the Senior Investment Group.  He was responsible for the monitoring and sourcing of all strategies that fell outside of credit and equity including macro, commodities, relative value, multi-strategy, volatility, convertible arbitrage and reinsurance.  Prior to his role as a Strategy Head, he was a Senior Analyst covering all hedge fund strategies in Asia.  He began his career at Lehman Brothers where he was on the emerging markets fixed income desk focused on sovereign debt and derivatives. Mr. Thomas received a B.A. from the University of Wisconsin in political science and international business and holds a Masters in Business Administration from NYU's Stern School of Business. He is a Chartered Financial Analyst and a member of the CFA Institute.  He also holds his series 7 and 63 licenses.

 

https://mlsvc01-prod.s3.amazonaws.com/f793f11e401/5c173abf-d430-43c2-b60d-ca1d0bb05dd7.jpghttps://imgssl.constantcontact.com/letters/images/1101116784221/T.pngWill Kinlaw, CFA 

Senior Managing Director and Head of State Street Associates, State Street

Will is senior vice president and head of State Street's academic affiliate, State Street Associates, a unique partnership that bridges the worlds of financial theory and practice. Part of State Street's Global Exchange division, State Street Associates develops risk, investor behavior, and economic indicators as well as investable indices for investment managers and institutional investors around the world. Its products leverage State Street's proprietary information assets as well as data sourced through strategic partnerships with "big data" start-up companies in the Boston area. Will and his co-authors were awarded the 2013 Peter L. Bernstein Award as well as the 2013, 2014, and 2015 Bernstein Fabozzi/Jacobs Levy "Outstanding Article" Awards for their articles on liquidity, risk management, and performance measurement. He serves on the Editorial Advisory Board of the Journal of Portfolio Management and the Advisory Board for the Journal of Investment Management conference series. He also sits on the Technical Committee of State Street Global Advisors. Will holds an M.S. in finance from the Carroll School of Management at Boston College and a B.A. in Economics from Tufts University, as well as a CFA designation. He joined State Street in 2002. 

 

https://mlsvc01-prod.s3.amazonaws.com/f793f11e401/66436d10-f79a-4fc5-9f71-6fd2137e2d98.pnghttps://imgssl.constantcontact.com/letters/images/1101116784221/T.pngGrant Jaffarian

Chief Investment Officer, Crabel AlphaTerra

Grant Jaffarian is Crabel AlphaTerra's Chief Investment Officer ("CIO") and a member of Crabel Capital Management's Executive Team.  In addition to his senior role within Crabel Capital, Jaffarian is the Portfolio Manager ("PM") for Crabel's AlphaTerra Advanced Trend Program.  As Advanced Trend PM, Jaffarian oversees the portfolio's composition, advancement and day-to-day management.  Jaffarian's oversight extends to all Crabel AlphaTerra programs which include several additional alpha based and "beta+" offerings. 

 

https://mlsvc01-prod.s3.amazonaws.com/f793f11e401/04f5e395-6f8c-4e31-9af8-41bdb4923fcd.jpghttps://imgssl.constantcontact.com/letters/images/1101116784221/T.pngJim Strugger

Managing Director/Equity Derivative Strategist, MKM Partners

Jim Strugger joined MKM Partners in August 2009. Jim was the Equity Derivatives Strategist at Societe Generale and a derivative salesperson at Susquehanna International Group prior to joining MKM. He also spent eight years at Morgan Stanley in economics, international equities and domestic equity sales. Jim's derivatives strategy work has been featured in Barron's - where he has been a guest columnist and highlighted as "an increasingly influential volatility strategist" - Bloomberg, The Wall Street Journal and Derivatives Week. He has a weekly derivatives segment on Bloomberg TV and has appeared on CNBC, BNN, Yahoo! Finance and TheStreet. Jim received his B.S. in mechanical engineering from Rutgers University and an MBA from Columbia Business School. 

 

 Moderated by 

 

https://mlsvc01-prod.s3.amazonaws.com/f793f11e401/920f16d3-e3f8-4a91-be8c-f0efc9a66b5b.jpghttps://imgssl.constantcontact.com/letters/images/1101116784221/T.pngJames Lubin

Vice President, Chicago Board Options Exchange (CBOE)

Jim serves as Vice President of the CBOE and Managing Director of the CBOE Futures Exchange (CFE) where he is involved with leading the exchange and setting the strategic direction for the CFE.  Previously, Jim served as COO, Head of Business Development and a Principal of Hyman Beck & Co., an alternative investment management firm.  In this capacity Jim was responsible for product development, strategic planning, and investment strategy as well as business development.  Prior to joining Hyman Beck, Jim was a Senior Vice President within the Fixed Income Division of Lehman Brothers, where he was responsible for establishing the foreign exchange business with Alternative Investment Managers.  Jim began his career at Merrill Lynch, positions of increasing responsibility. During his tenure with Merrill Lynch, he was employed in the Futures, Foreign Exchange and Alternative Investment divisions. At the time of his departure, Jim was managing the Foreign Exchange business with Alternative Investment Managers and was a member of the Investment Committee of MLFIP, the sponsor of Merrill Lynch's Alternative Investment funds. Jim holds degrees of M.B.A. - Finance and B.A. - Economics from Adelphi University. 

 

 

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Disclosure Statement

Sigma Analysis & Management Ltd, ("SIGMA") is hosting this seminar for research, education, and discussion purposes only. No product is being sold at this seminar. In general, alternative investment products, including hedge funds and managed futures, involve a high degree of risk. Alternative investment products can be volatile. An investor or manager could lose all or a substantial amount of his or her investment. One should always conduct rigorous due diligence, and confer closely with their legal experts, and clearly understand the risks carefully before making an investment. Past Performance is not indicative of future results.

 

ABN AMRO Clearing Chicago LLC is a member of FINRA, NFA and SIPC.

 

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