Dear Q Group members,

You are invited to attend a lunchtime seminar “Beyond Volatility: Detecting Risk-On/Risk-off Sentiment through the lens of a Multi-factor Risk Model” given by Olivier d’Assier, Managing Director of Applied Research for APAC at Axioma, at 12pm Thursday 27 June 2019, at Data61 Demonstration Lab (710 Collins Street, Docklands) in Melbourne.

Registration:

Please use the following link for RSVP

mailto:qrsvp@qgroup.org.au?subject=[Melbourne]_I_would_like_to_attend_seminar_27_June_2019

Agenda: Thursday 27 June 2019

11:45am Arrival

12:00pm Seminar starts

12:45pm Networking

Speaker: Olivier d’Assier, Managing Director of Applied Research for APAC at Axioma

Abstract:
In this talk, Olivier will discuss market sentiment-based score that quantifies the current balance between risk-tolerant and risk-averse investors in the equity markets. ROOF (Risk-on/Risk-off) scores - In other words, bullish or bearish are calculated from the factor returns from Axioma’s fundamental factor risk models and indicators of changing market volatility. Olivier will also define a buy or sell signal based on this measure and use it in a series of back-tests to validate its potential as a market-timing indicator for investors.

Bio:
Olivier d’Assier is Head of Applied Research, APAC for Axioma, responsible for generating unique regional insights into risk trends by leveraging and analyzing Axioma’s vast data on market and portfolio risk. His research helps clients and prospects to better understand and adapt to the evolving risk environment in Asia Pacific. The author of periodic special reports, d’Assier produces regional and global research on market and portfolio risk.

Previously Managing Director of APAC, Olivier was responsible for the performance, strategy, and commercial success of Axioma’s operations in Asia Pacific. Upon joining in 2006, d’Assier brought Axioma’s key innovations to the Asia Pacific marketplace via the development of Asian-centric products.

Prior to joining Axioma, d'Assier spent seven years at Barra Inc. as VP for Asia Pacific and President of Barra Japan before servings as Executive Director for Asia Pacific for MSCI-Barra.

In addition to his experience managing quantitative solutions, d’Assier spent nine years in investment banking as a sales trader in Europe and Asia for Nikko Securities and SMI Securities. He is a sought-out public speaker and regular guest on business and financial news programs with CNBC and Bloomberg TV, providing expert commentary on investment performance, risk management, and industry challenges.

Regards,

The Q Group Committee

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