NYC / QWAFAFEW

Tuesday, February 26th, 2008
Speakers: Stuart J. Rosenthal, Credit Suisse Volaris, Adam Burczyk, Actuarials Holdings, LLC
Venue and Time: Tuesday, February 26th, 2008, 5:45 - 8:45 pm
Patrick Conway's Pub & Restaurant
40 E 43rd St (between Madison & Vanderbilt), NY, NY
Admission: (Please note that rising costs have necessitated the raising of admission fees, as follows:) $30 for Paid-Up Members of QWAFAFEW-NYC in 2008 (must have already paid dues for 2008 or pay with admission for this meeting) $40 for Members of the following investing-related organization (any CFA society, CAIA, CQA, FAMMS, PRMIA, or any other QWAFAFEW chapter; members of the financial press and full-time business students also may pay this reduced rate).
$50 for non-members of QWAFAFEW or any of the above affiliates.

Dress code and everything else about QWAFAFEW is casual.

To RSVP: Please e-mail nyc@qwafafew.org and put date of event in Subject Line. Please include the names, phone numbers, Organization Names for name tags, e-mails, and zips for all attending.

ONLY cash or check (to QWAFAFEW) can be accepted. NO PLASTIC.
Paper receipts are available upon request. Remember, 2008 Membership dues are now $90. Bring a check with you to the meeting, or follow the instructions at the end of this missive.

AGENDA
5:45 - 6:25 pm Registration and Networking
6:25 - 6:35 pm Chapter Business, C. Michael Carty, Chapter President
6:35 - 7.15 pm   Presentation 1:
Stuart J. Rosenthal, Credit Suisse Volaris, "Volatility as an Investible Asset Class”

*Volatility-based products, instruments and volumes have experienced tremendous growth in recent years
*Volatility strategies can be used to reduce risk and improve return
*Investors interested in volatility strategies can hire an experienced volatility manager
*Volaris is a specialized active volatility management group within the Alt. Investments division at Credit Suisse

7:15 - 7.30 Break
7:30 - 8.15 pm   
Presentation 2:  Adam Burczyk, CEO and Chairman, Actuarials Holdings, LLC

*Value-at-Risk and other stat forecast metrics no longer provide reliable protections for capital-at-risk
*Post 2007-8, to improve RaRoC amid adverse whiplash tail risk, quant shops need to eliminate tails altogether from speculative positions – eliminating underlyings, futures, and options and moving to non-tailed instruments
*Non-tailed instruments provide enhanced RaRoC with existing valid quant methods
*Non-tailed instruments are almost always in the long run superior to tailed instruments when pursuing improved RaRoC

8.30 pm Go Home
About our Speakers: Stuart Rosenthal is a Director at Credit Suisse Volaris. As a senior member of the portfolio management and trading team, Stu is responsible for portfolio management and research of investment volatility strategies. Prior to joining Volaris, Stu was an Assistant Portfolio Manager at Rampart Investment Management, a Boston-based boutique specializing in option-related strategies. Stu was also an Analyst at GMO in Boston and served as a Captain at the U.S. Air Force's Electronic Systems Center, Hanscom AFB, MA. Stu earned his MS in Operations Research from Northeastern University and his BS in Applied Statistics from Rochester Institute of Technology. He is a CFA charterholder.

Adam Burczyk is presently the CEO and Founder of Actuarials Holdings, LLC, which is the parent of an institutional exchange, OTC electronic trading facility, and clearinghouse for equity derivatives and/or other types of derivatives. The AE Clearinghouse is a self-regulatory organization that is the first new company to gain and maintain its approval by regulators to clear OTC and exchange-traded derivatives for institutional investors since the Options Clearing Corporation was so designated circa 1980. Mr. Burczyk is also the Managing Partner of Spica Fund, LLC, which is a market maker routinely providing over 300 million lots of liquidity daily to institutional traders of Clippers and Folios, which are two new-to-the-world “crash-proof” financial instruments guaranteed to preserve trader opportunities for targeted return while simultaneously insuring against excess losses and excess volatility on every trade.

Mr. Burczyk started his derivatives career in 1993 as the Chief Technical Writer for derivatives trading systems at two major derivatives dealer banks in Chicago , continuing as a strategic planner and consultant to various hedge funds and insurance companies with respect to instituting and documenting best practices in derivatives risk management. Mr. Burczyk obtained his Bachelor’s in 1989 from the University of Pennsylvania , and has pending or has been awarded US patents on 5 different risk management and pricing methods and/or financial instruments since 2000.