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Title

Volatility: The Market Price of Uncertainty

Location

CalPERS

Start Time

9/25/2014 12:00 PM

End Time

9/25/2014 1:30 PM

Event Description

Please join the author of the CFA Institute Quarterly Proceedings article titled, "Volatility: The Market Price of Uncertainty" (Q1 2014) for a focused detail on the current market environment and the current pricing of risk:

 

"Today's securities markets are pricing in yesterday's crash, the known unknown, rather than tomorrow's unknown unknown. To understand volatility as an asset class is to value the forward expectation of uncertainty, which is as much a function of human psychology as it is an expression of mathematics. Since the financial crisis, the pricing of volatility derivatives has undergone wide-scale changes that reflect classic behavioral biases. Not only is volatility an asset class, but in fact, it may end up being the most important asset class for institutional portfolios over the next decade. A strategy of "crisis alpha," defined as the strategic acquisition of mispriced volatility, is a powerful way to navigate future uncertainty."

 

Speaker - Christopher Cole, CFA
Christopher Cole founded Artemis Capital Management in 2008 after working five years in capital markets and investment banking at Merrill Lynch. Working in both Los Angeles and New York he provided structuring and quantitative modeling for the execution of
bonds, credit derivatives, pension strategy, and product development in the public sector.

 

At Merrill Lynch he structured over $6 billion in transactions for clients such as the L.A. Department of Water and Power, L.A. Unified School District, the Commonwealth of Puerto Rico and the State of California.

Prior to Merrill Lynch, Mr. Cole worked at the pension consulting firm Wilshire Associates in Santa Monica where he analyzed public portfolios with over $10 billion in assets.

An active investor since college, Mr. Cole took an interest in quantitative and systematic trading and, as an experiment, began trading using his computer models and personal capital. His decision to form a fund came after growing his initial investment of $100k to approximately $1 million in under two years.

 

Mr. Cole graduated Magna Cum Laude with a B.A. from the University of Southern California and is a Chartered Financial Analyst. He is also NASD licensed with the Series 7 and Series 63.     

 

Event Type

Society

Education Topic

Equity Investments; Portfolio Management

City

Sacramento

State/Province

CA

Event Country

United States

Event Region

Americas

Location Info

CalPERS
400 Q Street
Lincoln Plaza East, Room 2823
Sacramento, CA 95814

Speaker

Christopher Cole

CE Credits

 

SER Credit

1.0

Currency

10.00

Member Price

0.00

Non-Member Price

10.00

Candidate Price

10.00

Registration

Recurrence

 

All Day Event

 

Attachments

Content Type: MyCFA Calendar
Created at 9/15/2014 11:38 AM by HOLLY@CFASS.ORG
Last modified at 9/15/2014 11:38 AM by HOLLY@CFASS.ORG