CAIA New York Educational Event

VOLATILITY RESEARCH SEMINAR

Co-Hosted by CAIA New York, ABN Amro Clearing, CBOE Futures Exchange, and Sigma Analysis & Management

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

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

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

AGENDA

Registration: 6:00 PM  6:30 PM

Panel Discussion & Q/A: 6:30 PM  7:30 PM

Networking Reception: 7:30 PM  9:00 PM

Refreshments will be served

Speaker Bios

David Villa, CFA, CPA Chief Investment Officer, State of Wisconsin Investment Board 

David Villa is chief investment officer and chairman of theinvestment committee for the State of Wisconsin InvestmentBoard (SWIB), which manages assets in excess of $106 billion, sixty percent of them internally. He is responsible forimplementing the investment policy and developing thearchitecture of the overall investment program. Prior to joining SWIB in 2006, Villa served for two and a half years as chiefinvestment officer with the State Board of Administration ofFlorida and 12 years with UBS Global Asset Management (previously Brinson Partners). He is a board member and the treasurer of the Marguerite Casey Foundation and a member ofthe board of Madison College Foundation and the advisoryboard of the University of Wisconsin Carbone Cancer Center.Villa received a B.A. from Princeton University, an M.A. from Stanford University and an M.B.A. from Northwestern University. He is a chartered financial analyst and a certified public accountant.

Jerry Pascucci Managing Director, UBS Financial Services

Mr. Pascucci is a Managing Director of UBS Financial Services,and serves as Head of Alternative Investments for UBS WealthManagement Americas, where he is responsible for theresearch, development, approval and distribution of allalternative investment products, including hedge fund,managed futures, real estate and private equity offerings. He isthe President and a Director of the firm's commodity pooloperator, as well as other registered investment advisor entities. His responsibilities include oversight of productorigination, manager selection, investment and operational duediligence, portfolio construction, and distribution of allalternative offerings in the region. Prior to joining UBS inSeptember 2010, he served in various capacities at Citigroup Global Market's Inc. and related entities in various capacitiessince 1996. He was President, Chief Investment Officer, andDirector of Ceres Managed Futures LLC, a registered commodity pool operator and commodity trading advisor, andserved for several years as a Managing Director of Citigroup Alternative Investments LLC ("CAI"), a division of Citigroup thatadministered its hedge fund, fund of hedge fund, andcommodity pool businesses, as Chief Investment Officer of theHedge Fund Management Group. Mr. Pascucci was also aManaging Director of Morgan Stanley Smith Barney LLC, wherehe served as Chief Investment Officer of Alternative Investments from August 2009 to June 2010. He began his career at Citigroup Global Markets as a Senior Credit Risk Officer, focused primarily on market and counter party risks associated with hedge fund and commodity pool and clients.

Chris Solarz, CFA, CAIA, CPA Managing Director, Cliffwater LLC

Chris is a Managing Director of Cliffwater LLC in our New Yorkoffice and a member of the hedge fund research team. Prior tojoining Cliffwater in 2011, Chris was a Senior Analyst at SAIL Advisors, where he focused on manager selection and duediligence as Head of Research for tactical trading and relativevalue strategies. Previous experience includes working for INGInvestment 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 ofthe New York Society of Security Analysts. Chris has broken 6 Guinness World Records, and has run marathons on all 7 continents and in all 50 US states.

Kathryn Kaminski, PhD, CAIA Director, Investment Strategies, Campbell & Company

Kathryn Kaminski, PhD, CAIA, currently holds the position ofDirector, Investment Strategies at Campbell & Company. Sherecently coauthored the book "Trend Following with Managed Futures: The Search for Crisis Alpha" published by Wiley Trading in 2014. She has extensive experience in hedge funds,asset management, and academia. She has been a seniorlecturer at MIT Sloan, affiliated faculty at SSE, and visitingprofessor at the Swedish Royal Institute of Technology (KTH).Dr. Kaminski's work has been published in a range of industrypublications as well as academic journals. She holds a BS inElectrical Engineering from MIT (2001) and a PhD in OperationsResearch from MIT Sloan (2007). She also holds the CAIAdesignation as a 100 Women in Hedge Funds PAAMCO CAIA Scholar and she serves on the CAIA Curriculum Committee focusing on Hedge Funds and Managed Futures. In 2015, the Hedge Fund Journal featured Kathryn as one of the top 50 leading women in hedge funds.

Mee Warren, CFA, CAIA Senior Vice President, Two Sigma Investments, LLC

Ms. Mee Warren, CFA, CAIA, is a Portfolio Strategist with TwoSigma Investments, LLC, an investment manager with over $25billion in AUM. Her primary responsibilities include makinginvestment decisions, driving strategic business initiatives, andhelping to improve overall performance. Since joining TwoSigma in 2003, Ms. Warren has held several roles in the firm,but most recently she was the Head Trader of US & PanAmEquities. In addition to her primary regions, she tradedequities, futures/commodities, bonds, currencies, andderivatives for Europe and Asia. In this role, she leveraged herexpertise in markets & microstructure to help improveexecution and develop new strategies.Ms. Warren is a trustee on the board of directors forNarcolepsy Network Inc., a national nonprofit organization.She is also Financial Women's Association International AffairsCommittee CoChair, an Angel supporter of the 100 Women inHedge Funds, Women of ETF's Event Content CoChair. Shewas recently presented with the "Women in FinanceOutstanding Contribution" award from Markets Media for herleadership and contribution across the financial community.She enjoys playing pool, poker, and riding motorcycles with her husband in New York City.

Kazuhiro Shimbo, Ph.D.Chief Investment Officer, Mizuho Alternative Investments, LLC

Mr. Kazuhiro Shimbo serves as the Chief Investment Officer ofMizuho Alternative Investments, LLC ("MAI"), an investmentadvisory company focusing on developing and managingquantitative investment strategies. MAI is a subsidiary of theMizuho Financial Group, one of the largest full service financial institutions in the world with a global footprint. MAI managesapproximately $2.4bn primarily for institutional clientsincluding Japanese financial institutions and pensions. Productsinclude CTA, quantitative global macro and risk premiastrategies.At MAI, Mr. Shimbo manages the firm's quantitativeinvestment team and is responsible for overseeing all aspectsof MAI's quantitative investment programs including theresearch process, portfolio management, execution and riskmanagement. Prior to joining MAI, Mr. Shimbo was employedat the Industrial Bank of Japan (IBJ, which later became part ofthe Mizuho Group) where he served as a QuantitativeResearcher and a Portfolio Manager at the bank's derivativesmarket making desk.Mr. Shimbo earned his Ph.D. in Applied Probability from theSchool of Operations Research and Information Engineering atCornell University. He also holds a M.Sc in Financial Economicsfrom the University of London and a B.S. in Physics from KyotoUniversity in Japan.

James Lubin Senior Managing Director, CBOE Futures Exchange

Jim serves as Senior Managing Director of the CBOE FuturesExchange (CFE) where he is responsible for leading theexchange and setting the strategic direction for the CFE.Previously, Jim served as COO, Head of Business Developmentand a Principal of Hyman Beck & Co., an alternative investmentmanagement firm. In this capacity Jim was responsible forproduct development, strategic planning, and investmentstrategy as well as business development. Prior to joiningHyman Beck, Jim was a Senior Vice President within the Fixed Income Division of Lehman Brothers, where he was responsiblefor establishing the foreign exchange business with AlternativeInvestment Managers. Jim began his career with Merrill Lynchwhere he held positions of increasing responsibility in the Futures, Foreign Exchange and Alternative Investmentdivisions. At the time of his departure, Jim was managing theForeign Exchange business with Alternative InvestmentManagers and was a member of the Investment Committee ofMerrill Lynch's Alternative Investment funds. Jim holds degreesof M.B.A.  Finance and B.A.  Economics from Adelphi University.