Assembled once more at the Cambridge Club, about 50 CAIA members, candidates and guests were rapt by the presentations of four AI practitioners with experience in managing "tail risk". Dr. Nicolas Papageorgiou, Director of Quantitative Research at Brockhouse Cooper and Associate Professor at HEC Montréal defined "fat tails" and explained and how they can be tamed with futures positions. Santosh Nabar, MD at Barclays Capital in New York described how new "Constant Volatility" instruments, collars, and OTM index put options could be used to mitigate tail risk. Dr Jean-François Bacmann, Head of Overlay Strategies at Man Investments flew in from Pfäffikon, Switzerland added that managed futures funds could be good diversifiers in falling markets—and could also deliver returns in positive markets (unlike insurance-like solutions). David Hay, MD at Toronto's Diversified Global Asset Management had another approach. He argued that the various risks inherent in a hedge fund portfolio expose it to certain extreme events and outlined how his company had hedged these possibilities with great results in the recent turmoil. From all speakers, it was a fascinating look into one of the most topical and complex subjects.

Stay tuned for our Holiday Prognostications event at the National Club on December 8th: the speaker line-up is being finalized right now. And, for those in the job market or just like to know what's out there, we'll have our annual Career Night in January or February; 8 recruiters from 4 firms have committed to get on a soapbox and talk about their firm's specialties, job openings and market trends. Sign up to be on the CAIA mailing list and you will receive invitations to these events and many more.

James Burron
CAIA Canada Chapter Executive