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WEDNESDAY 2 May 2007
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Pre-Conference Workshop: (Box Lunch Served)
Maximizing Alpha in a Multi-Manager Portfolio
Managing Director, PERTRAC FINANCIAL SOLUTIONS
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Day One Theme: Understanding Alpha
All Sessions Are Panel Discussions and Power Point Presentations Are Prohibited
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14:00
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Co-Chairpersons’ Welcoming Remarks
Chairman, SAUL (SUPERANNUATION ARRANGEMENTS OF THE UNIVERSITY OF LONDON) TRUSTEE COMPANY
Trustee, VIRGINIA RETIREMENT SYSTEM and Professor of Economics, UNIVERSITY OF VIRGINIA
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14:15
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How Do We Determine Alpha in Various Investment Strategies?
• Is Alpha Different in Nature in Different Asset Classes and Investment Strategies - e.g., Insight and Skill vs.
• Financial Technique
• Is There Only a Finite Amount of Alpha Available in Some Investment Strategies - and Does this Erode with
• New Entrants?
• When Does Beta Become Alpha - Right Time Right Place - and Vice Versa - Hedge Fund Indices, Large
• Diversified Fohfs?
• How to Distinguish Between Real Alpha (Genuine Skill), Good Fortune (Luck), and Taking Risks that Are Difficult to
• Quantify / Lie Outside "Normal" Events
• Do Current Performance Related Fee Structures Really Reward Alpha Generation?
• Do Plan Sponsors Really Need Alpha, or Just Downside Risk Protection?
Moderator:
Senior Manager, KPMG LLP
Panelists:
Managing Director, ARCUS INVESTMENT
Director of Research, FORTUNE GROUP
Principal, MUIRFIELD CAPITAL MANAGEMENT
Deputy Chief Investment Officer, PEARL GROUP LIMITED
Professor of Finance, THUNDERBIRD, & Principal, UBK ALTERNATIVE INVESTMENTS
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15:30
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Capturing and Sustaining Alpha
• Identifying Managers and Strategies with the Highest Probability of Obtaining Alpha
• Exploiting Skill Based Opportunities for Alpha Generation
• Are Managers that Generate Alpha Skilled or Lucky?
• How Sophisticated do Investors Need to Be to Capture Alpha?
• Are Emerging Managers Your Best Bet for Alpha?
Moderator:
Chairman, SAUL (SUPERANNUATION ARRANGEMENTS OF THE UNIVERSITY OF LONDON) TRUSTEE COMPANY
Panelists:
Director of AlphaMetrics, FACTSET EUROPE LIMITED
Strategist, KAUPTHING BANK
Chief Investment Officer, PLENUM FAMILY OFFICE
President, STUART PORTFOLIO CONSULTANTS, LP
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16:45
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Refreshment Break
Sponsored by KAUPTHING BANK
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17:15
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Why Institutional Investors Should be Looking at Portable Alpha Strategies as a Viable Investment Option
• Portable Alpha Strategies to Substitute for Passive Investments
• Delivering Uncorrelated Excess Returns with Relatively Low Sensitivity to Market Risk
• What Kind of Return Enhancement Can be Expected from Implementing a Portable Alpha Strategy
• What Is the Acceptable Tracking Error for a Portable Alpha Strategy vs. Passive Investments
• How Does a Portable Alpha Strategy Affect Risk Budgeting
• Implementing a Portable Alpha Program in Institutional Portfolios (Education of Board, Time to Implement,
• Percentage Allocated to Strategy)
Moderator:
Treasurer, PEPPERDINE UNIVERSITY
Panelists:
Managing Director, EFFICIENT CAPITAL MANAGEMENT
Chief Executive & Chief Investment Officer, ERMITAGE GROUP
Senior Vice President & Portable Alpha Product Specialist, FINANCIAL RISK MANAGEMENT
Managing Director, Fund of Hedge Funds and Global Tactical Asset Allocation, MILLENNIUM GLOBAL INVESTMENTS
Chief Executive Officer, SEVEN CAPITAL MANAGEMENT
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18:30
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Sessions Conclude
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18:30
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Cocktail Reception
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THURSDAY 3 May 2007
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Day Two Theme: Alpha Sources
All Sessions Are Panel Discussions and Power Point Presentations Are Prohibited
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8:15
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Continental Breakfast
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8:30
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Co-Chairperson’s Remarks
Chairman, SAUL (SUPERANNUATION ARRANGEMENTS OF THE UNIVERSITY OF LONDON) TRUSTEE COMPANY
Trustee, VIRGINIA RETIREMENT SYSTEM and Professor of Economics, UNIVERSITY OF VIRGINIA
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8:45
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Separating Hedge Fund Alpha and Beta
• Separating Alpha and Beta Risk to Create a More Efficient Portfolio - What Is the Right Mix?
• What Benchmarks Are Required to Identify and Measure the Quality of Alpha?
• How Do You Identify Hidden Beta and Avoid Paying High Fees for it?
• Can You Accurately Separate Alpha and Beta; Is it an Art or a Science?
• Portfolio Risk in Alternative Investments - Changes in Alpha Strategies Correlation to Beta Investments
• How Sustainable is Alpha Versus Beta?
Moderator:
Trustee, VIRGINIA RETIREMENT SYSTEM and Professor of Economics, UNIVERSITY OF VIRGINIA
Panelists:
Chief Executive Officer, ABBEY CAPITAL
FRICK CAPITAL
Head of Alternative Investments Institutional Sales, PIONEER INVESTMENTS
Partner, TAPESTRY ASSET MANAGEMENT
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9:45
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Does Everyone Have a Role to Play in Adding Alpha in Private Equity?
• Is the Alpha By Investors in Private Equity Funds Mainly in Macro Allocation or Manager Selection?
• Is There Really as Big a Differential Between Median and Top Quartile Mangers as the Statistics Suggest?
• Where Do Private Equity Fund Managers Add the Most Alpha? At Purchase, During Ownership or On Exit?
• Do Consultants Add Alpha to Private Equity Programs?
• Is There an Alpha from Placement Agents, Or Are Placement Agents Just an Expensive Dating Agency?
Moderator:
Investment Director, STANDARD LIFE INVESTMENTS LTD.
Panelists:
Chairman and Managing Partner, ACCESS CAPITAL PARTNERS
Partner, ATP PRIVATE EQUITY PARTNERS
Investment Funds Director and President, L CAPITAL - LOUIS VUITTON MOËT HENNESSY
Executive Director, MINNESOTA STATE BOARD OF INVESTMENT
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10:45
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Refreshment Break and Speed Networking Activity
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11:30
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Effective and Some New Methods of Extracting Alpha from Equity
• Value Added from Enhanced Indexing
• Why Favor Quantitative Managers Over Qualitative Managers
• The Value Added from Long-Only Extension Strategies
• Using Total Return Equity Swaps to Generate Alpha
Moderator:
Fund Manager Equities, BLUE SKY GROUP (KLM AIRLINES PENSION FUND)
Panelists:
Head of Investment Manager Programme, NATIONAL PENSIONS RESERVE FUND OF IRELAND
Chief Executive Officer, PARADIGM ASSET MANAGEMENT COMPANY
Senior Investment Manager, Enhanced Equities, STATE STREET GLOBAL ADVISORS LTD
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12:30
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Luncheon
Keynote: CALPERS’ Perspectives on Alpha Generation
Chairman, Investment Committee, CALIFORNIA PUBLIC EMPLOYEES' RETIREMENT SYSTEM
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13:45
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Where to Find Alpha in Real Estate
• Recently, has Alpha Mattered, because Beta has Been so Good?
• Is Beta Going to Fall, so Do We Now Need to Look for Alpha to Sustain Returns?
• Will Investors be Happy with the Increased Risk of Alpha in the Real Estate Space?
• Which Types of Vehicles Should We Look for-? REITS, Private Equity, Etc.?
• Which Market Sectors Should We Look for?
• Which Countries Should We Be Looking at?
• Could We Get Alpha by Persuading Surveyors to Value Realistically?
Moderator:
Investment Principal, AON CONSULTING LTD.
Panelists:
Company Secretary, EUROPEAN PARLIAMENT PENSION FUND
Portfolio Analyst, ING CLARION REAL ESTATE SECURITIES, LP
Director of Finance, LONDON BOROUGH OF HOUNSLOW PENSION FUND
Fund Manager, ROCK CAPITAL GROUP
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14:45
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Uncovering Alpha Opportunities in Emerging Markets and Infrastructure Investing
• What Exactly is Infrastructure Investing and Why Should Institutional Investors Consider Allocating?
• What Are the Risks Involved?
• What Is the Upside Potential to Adding an Infrastructure Allocation Relative to Just Investing in a Good Emerging
• Markets Portfolio?
• Where Are the Best Opportunities Today in Emerging Markets?
• Are Some Countries/Regions Better than Others?
• How Should Investors Handle Government Risk in Unstable Countries/Regions?
Moderator:
Executive Director, TEXAS ASSOCIATION OF PUBLIC EMPLOYEES RETIREMENT SYSTEMS
Panelists:
Principal, EMERGING MARKET STRATEGIES COMPANY
Managing Director, LCF EDMOND DE ROTHSCHILD
PRIVATE INVESTOR
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15:45
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Refreshment Break
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16:15
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Generating Alpha with Currency Management
• Can Currency be Regarded as a Separate Asset Class
• Uncorrelated Return with Equities
• What Are the Key Drivers in Profitability for Currency Managers
• Overlay Managers Offering Pure Alpha Products
• Diversification Across Manager Styles
• 24-Hour Trading - Currency Managers New Suppliers of FX Liquidity
Moderator:
Portfolio Manager, Currency and International Fixed Income,
CALIFORNIA
PUBLIC EMPLOYEES' RETIREMENT SYSTEM
Panelists:
Director, Investment Management Services, INSTITUTE OF ELECTRICAL AND ELECTRONICS ENGINEERS
Managing Director of Global Macro Analysis and Trading, MILLENNIUM GLOBAL INVESTMENTS
Director, QUANTITATIVE FINANCIAL STRATEGIES
Managing Director, TACTICAL GLOBAL MANAGEMENT LTD.
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17:15
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Searching for Alpha with Fund of Funds
• Are Funds of Hedge Funds Still Providing Any Alpha at All? If So, What Will Be the Main Sources of Alpha in the Next
• 12-18 Months
• Strategy Allocation and Manager Selection – What is More Important and What Are the Factors for Success
• What Are the Preferred Hedge Fund Styles and Strategies at This Point
• Active Management Versus Investable Indices – Comparison of Cost Structures and Influence of Performance
• Summarizing Main Benefits for Investors and New Trends of Funds of Hedge Funds
Moderator:
Managing Director, ABSOLUTE RETURN CONSULTING (ARC)
Panelists:
Chief Investment Officer, ALTERNATIVE INVESTMENT SERVICES (AIS), LTD
Global Head - Alternative Investment Strategies, COMMERZBANK
Chief Executive Officer, FINLES CAPITAL MANAGEMENT
Partner & Vice President, Investments, KEEL CAPITAL (NSAHO PENSION PLAN)
Head of Alternative Strategies, RMB ASSET MANAGEMENT
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18:30
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Sessions Conclude
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18:30
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Cocktail Reception
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FRIDAY 4 May 2007
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Day Three Theme: Maximizing Alpha in Institutional Portfolios: From Theory to Practice
All Sessions Are Panel Discussions and Power Point Presentations Are Prohibited
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8:30
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Continental Breakfast
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8:45
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Co-Chairperson's Remarks
Chairman, SAUL (SUPERANNUATION ARRANGEMENTS OF THE UNIVERSITY OF LONDON) TRUSTEE COMPANY
Trustee, VIRGINIA RETIREMENT SYSTEM and Professor of Economics, UNIVERSITY OF VIRGINIA
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9:00
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The Active Risk of Active Management: Employing Effective Risk Management Techniques
• Demystifying the Risk Budgeting Process
• Quantitative Risk Management Tools for Maximizing Alpha
• Risk Management Techniques for Evaluating Alpha
• Holistic Risk Measurement and Evaluation Versus Rules-Based Risk Control
Moderator:
Vice President of Finance & Administration, LOYOLA UNIVERSITY OF MARYLAND
Panelists:
Attorney, BERNSTEIN LITOWITZ BERGER & GROSSMANN LLP
Director, Business Development, SCIENS HEDGE FUND MANAGEMENT
Managing Director, WILSHIRE ASSOCIATES
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10:00
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Developing a Diversified Portfolio of Managers and Asset Classes
• The In-house Management Versus Outsourcing Decision: Considerations
• Adding Alternatives to the Traditional Asset Classes: Challenges and Rewards
• New Asset Classes: Timber, Commodities, Infrastructure Funds, Currencies, Emerging Markets, Real Estate
• & Private Equity
• Implementing the Alpha/Beta Decision in a Diversified Portfolio
• Do Socially Responsible Investments (SRI) Add or Detract from Alpha Generation?
• Choosing between Active, Passive, and Enhanced Index Managers
• Investment Styles (Value/Growth) and Market Segments (Small/Mid/Large Cap)
• Quality of Publicly Available Information on Managers
• Importance of Quantitative Versus Qualitative Criteria in Manager Selection
• Structuring Manager Fees
Moderator:
Head, Pension Advisory Management, THE WORLD BANK TREASURY
Panelists:
Manager Pension Affairs, LAURUS PENSION FUND
Managing Director, PRAGMA CONSULTING
Senior Investment Manager, VBV GROUP
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11:00
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Conference Concluding Investor Perspective Discussion
Discussion Facilitators:
Vice Chairman, BALTIMORE RETIREMENT SYSTEMS
Director,
CHICAGO
PARK EMPLOYEES' ANNUITY & BENEFIT FUND
Vice Chairman & Trustee, TEXAS PERMANENT SCHOOL FUND
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12:00
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Conference Concludes
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