Commodity Trading Risk Management
Chicago QWAFAFEW and William Blair will host an early evening event featuring two perspectives on commodity trading risk management.
The speakers will be Hilary Till, Co-Founder of Premia Research LLC and Research Associate at the EDHEC-Risk Institute, and Mark Shore, Founder and Chief Research Officer of Shore Capital Research LLC
The event will be held at the new offices of William Blair in the William Blair Building at 150 North Riverside Plaza.
Hilary Till’s talk is titled “Commodity Trading Strategies, Common Mistakes, and Catastrophic Blowups.” She will provide her current perspectives on the always dynamic and frequently opaque commodity markets, including (1) commodity trading strategies, (2) common mistakes, and (3) catastrophic blowups. The specific commodity trading strategies to be discussed are trend-following and calendar spreads. The common mistakes are (1) targeting returns rather than risk metrics, (2) establishing inappropriate trade sizing, and (3) failing to fully appreciate the psychological discipline required for trading. The presentation also includes case studies on the catastrophic derivatives blowups at Amaranth and MF Global.
Mark Shore’s talk is titled “Risk Management of a CTA, Looking Behind the Curtain.” Mark will discuss his experience as the former COO of VK Capital ($300 million AUM) responsible for the risk management and due diligence of the CTA's strategies.
Hilary Till is the Solich Scholar at the J.P. Morgan Center for Commodities (JPMCC), University of Colorado Denver Business School; and the Contributing Editor of the JPMCC’s Global Commodities Applied Research Digest. She is also a principal of Premia Research LLC, which designs custom investment indices that are calculated by S&P Dow Jones Indices. Prior to Premia, Hilary was the Chief of Derivatives Strategies at Putnam Investments, and a Quantitative Analyst at the Harvard Management Company. Her additional academic affiliations include her membership in the North American Advisory Board of the London School of Economics and Political Science and her position as a Research Associate at the EDHEC-Risk Institute in Nice, France. In Chicago, she is a member of the Federal Reserve Bank of Chicago’s Working Group on Financial Markets. Hilary was a founding member of the Chicago QWAFAFEW and served on its Steering Committee.
Mark Shore is an expert on alternative investments with more than 25 years of experience in the capital markets including his stints as COO of VK Capital, ($300 million AUM), a wholly-owned Morgan Stanley commodity trading advisor business unit, and as Head of Risk at Octane Research, ($1.1 billion AUM), a Swiss-based alternative investment firm. Mark is the Founder and Chief Research Officer of Shore Capital Research LLC. His research and market notes can be found here and Seeking Alpha and several other locations.
He publishes research, consults on alternative investments, conducts educational workshops and frequently speaks at investment conferences. He is also an Adjunct Professor at DePaul University where he teaches the only known accredited course on managed futures. Mark received his MBA from the University of Chicago and recently became a doctoral candidate. Mark is a current member of the Chicago QWAFAFEW Steering Committee.
Date: October 4th, 2017
Time: Doors will open at 5:00 pm for conversation, light food and drinks. The event will start at 5:30 pm and officially end at 7:00 pm.
Venue: William Blair in the William Blair Building at 150 North Riverside Plaza, Chicago, IL
For more information and registration click here
QWAFAFEW is an informal organization for discussions of quantitative investment topics. QWAFAFEW has active chapters in Chicago, Boston, Hartford, New York, Denver, Princeton, and San Francisco.