Panel 4: What Will Be the Catalyst for the Next Tail Event? Identifying Cheap Hedges in This Current Market Environment



Sep 23 2021


9:00 am - 10:00 am


Founder and Managing Principal/CIO


Ari Bergmann is Penso’s Founder and Managing Principal/CIO. He leads the firm’s investment committee and manages various Penso funds and clients’ mandates.

Dr. Bergmann founded Penso Advisors, LLC in early 2010 to offer systemic risk management and implement hedging strategies for asset managers and institutional investors through managed accounts. Since its founding, Penso has expanded its services to include management of discretionary global macro and risk mitigation strategies through private funds and bespoke funds of one.

Between 1997 and 2010, Dr. Bergmann was CEO of Sentinel Advisors, LLC, manager of the Citadel Master Fund (derivatives arbitrage); Sentinel Symphony, LLC, manager of the Symphony FOHF (multi-manager fund of hedge funds) and Penso Capital Markets, LLC, manager of risk overlays.

Prior to his role in overseeing these firms, Dr. Bergmann was employed at Bankers Trust from 1989 to 1997. In 1989, he joined Bankers Trust’s U.S. Interest Rate Derivatives trading desk and managed this unit during 1992 and 1993. During this period, he was active in the development of structured notes, index-amortizing swaps, time swaps, binary options and other derivative products. From late 1993 until his departure in 1997, he headed the Risk Merchant Bank and the Transaction Development Group at the bank. He founded the latter to integrate Bankers Trust’s finance and derivative capabilities to offer enhanced corporate finance products to corporate clients. In this capacity, he led a team that created a derivatives structure that was widely used in the privatization of many large European companies. He also developed derivatives and trading strategies used by several corporations in the implementation of strategic acquisitions. During his tenure at Bankers Trust, Dr. Bergmann was a Senior Managing Director and a pioneer in the field who helped create and implement the initial swaps on hedge funds.

From 1987 through 1989, Dr. Bergmann was an Assistant Vice President at Drexel Burnham Lambert Trading Corp., working in precious metals and commodity trading. From 1986 through 1987, Dr. Bergmann was a staff accountant at Price Waterhouse in New York.

Dr. Bergmann holds a Master’s in Liberal Studies and a Ph.D. in Comparative Religion, both from Columbia University.




Jerry has 34 years of experience in the financial markets.

Jerry was instrumental in the establishment of the futures and options market in South Africa. He also traded government bonds for a large discount house before being appointed Head of Equity Derivatives for one of South Africa’s largest and most successful merchant banks,
Investec Ltd.

In 1996, Jerry founded Peregrine Holdings Ltd. The company offered a range of services but its main niche was designing derivative strategies for institutional clients. Peregrine enjoyed early success under his management culminating in a stock exchange listing in 1998.

In March 2001, Jerry co-founded 36 South Investment Managers Limited. The firm moved to London, UK, in 2009, and operates as 36 South Capital Advisors LLP.


Derivatives Strategist


Christian Kober is a Derivatives Strategist at Capula Investment Management LLP having joined the firm in July 2019. In this role, Christian works closely with the firm’s investment, strategy and investor relations teams. Christian was previously the Head of European Equity Derivative Strategy in Barclays’ Pan European Equity Research in London from 2010 to 2019 where he was ranked #1 in the 2016 and 2017 Extel survey. Earlier in his career, Christian worked at Morgan Stanley as Lead Analyst for European Equity Derivative Strategy and in Quantitative Equity Prop Trading. Christian began his career at SG Securities in 2001 where he was an equity research analyst, covering the transportation sector.

BBA, University of Saarbrücken, 1998

MBA, Leipzig Graduate School of Management, 2001

Chartered Financial Analyst (CFA)


Portfolio Manager

Crabel Capital Management

Grant Jaffarian is the Portfolio Manager of Crabel Advanced Trend and a member of the firm’s Executive Committee. Grant joined CCM in 2014 as part of its acquisition of AlphaTerra where he was the Founder and Chief Investment Officer. Prior to launching AlphaTerra in April 2013, Grant served as the Chief Investment Officer at Efficient Capital Management. He began his career at Belgium-based Analytic Investment Management, a high turnover futures manager acquired by Robeco Bank. From there, he went on to found Petra Intraday, a short-term systematic investment manager, before joining Efficient. Grant earned a bachelor’s degree from Wheaton College where he majored in English and holds an MBA with a concentration in economics from the University of Chicago. 


Principal and Portfolio Manager


Dan Stone is one of the co-founders of Ionic, where he focuses on managing the interest rates, currencies and credit strategies.  He has over 25 years of experience managing relative value arbitrage and long volatility strategies across multiple asset classes. Mr. Stone was formerly a Managing Director and Portfolio Manager in the U.S. and European Volatility and Credit Arbitrage Group at Highbridge.  He joined Highbridge in 1996 where he managed convertible bonds and equity, interest rate and credit derivatives.  Mr. Stone earned an AB in Economics Magna cum Laude from Harvard College.

Paul Woolman

Executive Director, Head of EMEA Equity and Alternative Index Products


Paul Woolman is an equity product specialist with over 20 years markets experience. Paul joined CME Group in 2016 as Senior Director, Head of EMEA Equity and Alternative Index Products. This involves managing the associated futures and options product suite and working with clients to help educate them and work on product solutions. Before joining CME Group, Paul was at BAML for over 10 years as a Delta 1 equity trader – managing exposure across futures, ETFs, swaps, structured products as well as cash equities and FX. This has provided him with a wealth of experience in the pricing, trading, structuring and risk management of equity index-based derivative products. Paul has an MBA from London Business School with a concentration in Finance and has previous experience of emerging market cash equity trading and asset management.