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When

Thursday September 22, 2016 from 6:00 PM to 9:00 PM EDT
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Where

The Princeton Club of New York 
15 West 43rd Street
New York, NY 10036
 

 

Contact

CAIA New York 
CAIA Association 
413-253-7373 
events@caia.org 


VOLATILITY RESEARCH SEMINAR

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

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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.

Agenda:

6:00 - 6:30 - Registration

6:30 - 7:30 Panel Discussion & Q/A

7:30 - 9:30 - Networking Reception, Refreshments will be served

 

Moderator:

James Lubin 
Vice President,
Chicago Board Options Exchange (CBOE)

Speakers:

Kalina Berova, CFA
Principal, Hedge Fund Management, 
Ontario Municipal Employees Retirement 
System 

Patrick Egan
Executive Director, 
Morgan Stanley Investment Management I Managed Futures

Jim Meisner
Managing Director, Head of Fixed Income, 
Commonfund

Jerry Pascucci
Managing Director,
UBS Financial Services

Nancy Davis
Managing Partner and Chief Investment Officer,
Quadratic Capital Management

JIm Strugger
Managing Director/Equity Derivative Strategist,
MKM Partners

 

 

 

Speaker Bios:

 


Kalina Berova, CFA
Principal, Hedge Fund Management, 
Ontario Municipal Employees Retirement 
System 

Kalina joined OMERS in August of 2009. Currently, Kalina is part of the team that manages the hedge fund portfolio of OMERS Capital Markets. Kalina is responsible for sourcing and managing allocations in a number of strategies, including CTA, Global Macro, Statistical Arbitrage, Volatility Arbitrage, etc. Prior to joining OMERS, Kalina worked for the Ontario Teachers' Pension Plan from 2004 to 2009. Kalina is a CFA Charter Holder and has an MBA from the Simon School of Business, University of Rochester and a BA from the University of National and World Economy, Sofia, Bulgaria.

Patrick Egan
Executive Director, 
Morgan Stanley Investment Management I Managed Futures

Patrick T. Egan is a Senior Portfolio Manager for Morgan Stanley Investment Management, focusing on Managed Futures. Patrick is also Chief Operating Officer of Morgan Stanley's Managed Futures business, as well as Chairman and President of Ceres Managed Futures LLC (the general partner and commodity pool operator to Morgan Stanley's Managed Futures funds). He began his career at Morgan Stanley (and its affiliates) in 1991 and has more than 25 years of industry experience, having held several senior roles focused on the portfolio management, risk management, and product development of managed futures funds. Patrick received a B.B.A. with a concentration in finance and business economics from the University of Notre Dame. Patrick is a former Director to the Managed Funds Association's Board of Directors, a position he was elected to by industry peers for two consecutive two-year terms and during his career has had the privilege to write for the Journal of Alternative Investments. Patrick holds FINRA Series 3, 7, and 63 licenses.

Jim Meisner
Managing Director, Head of Fixed Income, 
Commonfund

James Meisner is Managing Director and Head of Fixed Income at Commonfund. Jim shares responsibility for asset allocation, manager sourcing, due diligence, and investment monitoring for fixed income and hedge fund portfolios at Commonfund, a $24bn investment manager for nonprofit institutions. Prior to joining Commonfund in 2004, he spent twelve years at RBS Greenwich Capital, where he was Managing Director and head of research for the Portfolio Strategies Group. Prior to that he was head of futures and options research at Yamaichi America and at Merrill Lynch Capital Markets. Jim began his business career at the Chicago Board of Trade, where he was involved in the introduction of options on bond futures. Earlier, he was an Instructor in Statistics at the University of Chicago Graduate School of Business (now the Booth School of Business). He received an AB in mathematics and an MBA in finance from the University of Chicago, and he completed coursework and examinations for a Ph.D in econometrics as well.

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 Wealth Management Americas, where he is responsible for the research, development, approval and distribution of all alternative investment products, including hedge fund, managed futures, real estate and private equity offerings. He is the President and a Director of the firm's commodity pool operator, as well as other registered investment advisor entities. His responsibilities include oversight of product origination, manager selection, investment and operational due diligence, portfolio construction, and distribution of all alternative offerings in the region. Prior to joining UBS in September 2010, he served in various capacities at Citigroup Global Market's Inc. and related entities in various capacities since 1996. He was President, Chief Investment Officer, and Director of Ceres Managed Futures LLC, a registered commodity pool operator and commodity trading advisor, and served for several years as a Managing Director of Citigroup Alternative Investments LLC ("CAI"), a division of Citigroup that administered its hedge fund, fund of hedge fund, and commodity pool businesses, as Chief Investment Officer of the Hedge Fund Management Group. Mr. Pascucci was also a Managing Director of Morgan Stanley Smith Barney LLC, where he 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 counterparty risks associated with hedge fund and commodity pool and clients.

Nancy Davis
Managing Partner and Chief Investment Officer,
Quadratic Capital Management

Ms. Davis founded Quadratic Capital Management in 2013. She began her career at Goldman Sachs where she spent ten years, the last seven at the proprietary trading group where she became Head of Credit, Derivatives and OTC Trading.. Prior to starting Quadratic, she served as a portfolio manager at Highbridge where she managed $500 million of capital in a derivatives-only portfolio. She later served in a senior executive role at AllianceBernstein. Ms. Davis writes and speaks frequently about financial topics and world markets. She has been published in Financial News, Absolute Return and Institutional Investor and has contributed papers to two books. She has been interviewed by The Economist, The Financial Times, New York Magazine and Le Figaro. Ms. Davis is a board member of the International Partners Committee and was a keynote speaker in China at the Asset Management Association's annual conference. Ms. Davis has appeared on CNBC, Reuters, Sina, Bloomberg and MSNBC. In 2014, Nancy was selected by Institutional Investor as a Rising Star of Hedge Funds and recognized by The Hedge Fund Journal as one of "Tomorrow's Titans." Ms.. Davis holds a B.A. magna cum laude in Economics from George Washington University where she was a recipient of the Presidential Academic Scholarship.

Jim 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.

 

James 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 with Merrill Lynch where he held 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.