Portfolio management and the volatility of volatility indices will be the theme under discussion at the 43rd meeting of the Chicago Quantitative Work Alliance for Applied Finance, Education & Wisdom, to be held on Thursday, September 27 from 5 p.m. to 7 p.m. at the Chicago Board Options Exchange, 400 South LaSalle Street in Chicago.

At the meeting, to be held jointly with the Professional Risk Managers' International Association and moderated by Matthew Moran of the CBOE, five expert panellists will discuss questions such as how investors and traders can benefit from big movements in volatility indices, which already have experienced daily moves greater than 10 percent on more than 30 days so far this year.

The meeting will also discuss how futures and options on the volatility indices are priced, whether the volatility indices have seen explosive upside moves when stock prices declined recently, whether volatility is a unique new asset class, whether a high volatility index level is bullish and a low level bearish for stocks, and whether volatility index products can be used as tools for diversification, asset allocation, and/or market forecasting.

The five panellists will include David E. Kuenzi, head of risk management and quantitative research at Glenwood Capital Investments in Chicago. The author of a recent 18-page working paper entitled Shedding Light on Alternative Beta: A Volatility and Fixed Income Asset Class Comparison, Kuenzi is also a research associate at France's Edhec Risk and Asset Management Research Centre.

Keith H. Black, a CFA at Chicago consulting firm Ennis Knupp + Associates, is the author of Improving Hedge Fund Risk Exposures by Hedging Equity Market Volatility, or How the VIX Ate My Kurtosis in the 2006 Journal of Trading. Kelly Haughton is strategic director at Russell Indices in Tacoma, Washington; options on the CBOE Russell 2000 Volatility Index are scheduled to begin trading on September 27.

Dominic Salvino comes from Chicago-based Group One Trading, which is a designated primary market-maker for options on volatility indices, while Paul Kepes is managing director of Chicago Trading Company, a designated primary market-maker for futures contracts based on variance and volatility indices.


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