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MONDAY 22 October 2007
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Pre-Conference Workshop: (Box Lunch Served)
A Practical Analysis of 130-30, Market Neutral and Long-Short Hedge Fund Strategies
This workshop focuses on how to perform meaningful performance analysis for different investment styles and strategies. Starting with a quick review of the primary effects in Brinson and risk-based attribution analysis, including both their strengths and weaknesses to performance attribution, we will use worked examples to show how they can be combined to form a complete understanding of the sources of performance for different strategies. Finally, we will highlight some unique functionality that allows more complete analysis of such strategies.
Workshop Leader:
Vice President, Portfolio Analytics Group, FACTSET
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Day One Theme: Investor Perspective
All Sessions Are Panel Discussions and Power Point Presentations Are Prohibited
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14:15
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Co-Chairpersons’ Welcoming Remarks
Chief Executive, 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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14:30
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Inter-Continental Institutional Investor Discussion
• Asset Allocation: Applying Non-Traditional Approaches to a Traditional Process
• Budgeting for Risk in the Asset Allocation Equation
• Managing Assets for Total Return: Are the Benchmarks Still Relevant?
• Fund of Funds or Direct: Which Hedge Fund/Private Equity Path Makes More Sense for Institutional Investors?
Moderator:
Vice President of Finance & Administration, LOYOLA UNIVERSITY OF MARYLAND
Panelists:
Director of Finance & Administration, CORAM FAMILY
Chief Investment Officer, M.J. MURDOCK CHARITABLE TRUST
Chief Executive, 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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15:30
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Inter-Continental Private Wealth Discussion
• Global Investment Strategy and Execution – What Works? What Doesn't?
• Capitalizing on Recent Market Trends to Encourage More Balanced Portfolios
• How to Define Financial and Family Objectives, And Use Them to Design a Wealth Management Strategy That Is
• Consistent with Your Values and Delivers on Your Priorities
• How to Select the Firms, and Even the Individual Advisors Who Are Right for You and Your Family
• How to Build Good Reporting and Accountability Into Your Relationships with Your Advisors
Moderator:
Chief Investment Officer, PLENUM FAMILY OFFICE
Panelists:
PRIVATE INVESTOR
PRIVATE INVESTOR
Chief Executive Officer, SPRUCE PRIVATE INVESTORS
Chief Executive Officer, UNITED MANAGEMENT GROUP (FAMILY OFFICE)
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16:30
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Refreshment Break and Speed Networking Activity
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17:15
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Capturing and Sustaining Alpha
• What Are the Alpha and Beta Components Within Successful Alternative Investments?
• Which Strategies Have a Good Probability to Capture Alpha in Certain Market Cycles?
• Which Strategies Are Best to Obtain Sustainable Alpha Independently of Market Cycles?
• Can Funds of Funds Provide Sustainable Alpha?
• How Many Managers Have Provided Sustainable Alpha Since Their Launch According to Your Experience?
• Methods for Investors to Enhance the Probability to Capture Alpha
• Main Requirements and Challenges for Managers to Sustain Alpha in the Future
Moderator:
Managing Director, ABSOLUTE RETURN CONSULTING (ARC)
Panelists:
Managing Director, ABAXS, LTD.
Co-Chair of the Investment and Allocation Team, EFFICIENT CAPITAL MANAGEMENT
Chief Executive Officer, SEVEN CAPITAL MANAGEMENT
President, STUART PORTFOLIO CONSULTANTS, LP
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18:30
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Sessions Conclude
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19:00
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Cocktail Reception
Hosted by: EFG EUROFINANCIAL INVESTMENT COMPANY
(15 Avenue d’Ostende, Monte Carlo, Monaco)
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TUESDAY 23 October 2007
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Day Two Theme: Investment Styles and Strategies
All Sessions Are Panel Discussions and Power Point Presentations Are Prohibited
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8:30
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Continental Breakfast
Sponsored by: FACTSET EUROPE LIMITED
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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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Meet the Managers:
This session will consist of five managers with a total of ten minutes each to speak. There will be no Power Point presentations during this session. The five managers will one by one have an opportunity to discuss their background, strategy, methodology and performance of their funds. There will be a session leader carefully monitoring the ten minute limit. After all five managers have spoken, we will open the floor to questions from the audience.
Facilitator:
Chief Executive, SAUL (SUPERANNUATION ARRANGEMENTS OF THE UNIVERSITY OF LONDON) TRUSTEE COMPANY
Panelists:
Senior Hedge Fund Analyst, ERMITAGE GROUP
Portfolio Manager, KNIGHT VINKE ASSET MANAGEMENT LLC
Chief Investment Officer, SEB ASSET MANAGEMENT NORGE AS
Chief Investment Officer, SEVEN CAPITAL MANAGEMENT
Chief Executive Officer, TACTICAL GLOBAL MANAGEMENT LTD.
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Track A |
Track B |
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10:00
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Using Structured Products for Pension Funds
• Conflicts of Culture: Pension Funds & Investment Banks
• Structured Products as an Alternative to the Long Bond
• for Pension Funds and in Liability Driven Investing
• Structured Products Are Sufficiently Sophisticated and
•Sufficiently Scaleable to Justify Resource Commitment
• Setting Target Returns and Creating Infrastructures that
• Will Achieve the Objectives While Taking Into Account
• Increased Longevity
• Pan European Developments May Create Scale to Justify
• Resource Commitments
Moderator:
Senior Consultant, WATSON WYATT
Panelists:
Head of Structured Credit, BABSON CAPITAL
Managing Principal, DURHAM ASSET MANAGEMENT
Vice-President-Institutional Bank Loan Relationships, EATON VANCE MANAGEMENT
Head of Pension Investments, MERSEYSIDE PENSION FUND
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Alpha Producing 130/30 Strategies in the Spotlight
• How Does a 130/30 Product Fit into an Institutional
• Investor’s Portfolio?
• How Are the Long and the Short Portion of the Portfolio
• Developed?
• Is there a Difference Between the “Quant” and
• “Fundamental Approaches?”
• Does This Strategy Potentially Disintermediate
• Long/Short Hedge Funds?
• Is Shorting a Rare Skill? If So, What about All These
• 130/30 Providers – Are They All Skilled at Shorting?
• Are there Liquidity Issues Related to Borrowing Stock,
• Particularly with the Popularity of the Product
• How Are Fees Structured for These Products?
Moderator:
President, IRVINE HEALTH FOUNDATION
Panelists:
Partner, ALPHA EQUITY MANAGEMENT, LLC
Head of Equities, F&C INVESTMENTS
Managing Director, MERRILL LYNCH
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11:00
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Refreshment Break
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11:30
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The Role of Portable Alpha in Liability Driven Investing
• How Do You Know Portable Alpha When You See It and
• Where Does it Come From?
• How Sustainable Are the Sources of Portable Alpha?
• How can Portable Alpha Be Used in Liability Driven
• Investing?
• What Are the Uses for Portable Alpha Other Than in
• Liability Driven Investing?
• Where Would You Not Use It and What Are the
• Disadvantages?
• Have Portable Alpha Strategies Been Affected By the
• Subprime Crisis?
Moderator:
Investment Principal, AON CONSULTING LTD.
Panelists:
Partner, COLLINGHAM CAPTIAL MANAGEMENT, LLP
Managing Director, GOTTEX ASSET MANAGEMENT LTD.
Manager Pension Affairs, LAURUS PENSION FUND
Director of Advisory Services, LIABILITY SOLUTIONS
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Convergence in Alternative Investments - Is It Happening, What Does It Mean?
• What Influence Is Institutional Capital Having on
• Alternative Investments?
• Is the Boundary Blurring Between Traditional and
• Alternative Investment Products?
• Is There an Overlap Between Hedge Funds, Private
• Equity, Real Estate and Infrastructure?
• Is This a Trend or a Structural Change?
• What Does This Mean for Managers?
• What Does This Means for Investors?
• What Will the Alternative Investment Industry Look Like
• in 5 Years' Time?
Moderator:
Senior Manager, KPMG LLP
Panelists:
Managing Director, FISHER LYNCH CAPITAL
Chairman, ALTERNATIVES ADVISORY COUNCIL
Managing Partner, 747 CAPITAL
Managing Partner, TVM CAPITAL GMBH
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12:30
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Generating Alpha with Currency Management
• Has Currency Delivered as an Alpha Generator?
• How Has the Alpha Set Opportunity Changed in the Last
• Couple of Years?
• Given the Increase in Investments by Institutional
• Investors, Has the Alpha Opportunity Set Diminished?
• What Are the Key Drivers in Profitability for Currency
• Managers?
• Currency Styles: Overlay vs. Absolute Return
• Diversification Across Manager Styles
• What Are the Areas of Research and Development?
Moderator:
Global Director of Consulting, MERCER INVESTMENT CONSULTING
Panelists:
Director-Global Product Specialist, ABN AMRO ASSET MANAGEMENT
Chief Executive Officer, DYNEXCORP
Managing Director, OVERLAY ASSET MANAGEMENT
Managing Director, RHICON CURRENCY MANAGEMENT
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Where are the Opportunities for Investors in Today’s Global Real Estate Market?
• Does Real Estate Still Justify Its Place in a Portfolio as
• a Diversifier?
• What Levels of Allocation Are Institutional Investors
• Making to Real Estate and How Do Their Approaches
• Vary?
• Will the Risk Adjusted Returns Be Worthwhile Going
• Forward?
• In the New Environment of Global Real Estate, What
• Investment Opportunities Are Open to Institutional
• Investors to Access Non-Domestic Markets?
• Where Does Listed Real Estate Fit Into This Investment
• Strategy Related to Direct and Indirect Alternatives?
• What Is the Investors Appetite for Risk in Balancing
• Diversification and Return Requirements?
• Delivering These Strategies Is Fundamentally Driven By
• the Quality of the Manager. How Should Investors
• Approach Manager Selection?
• What Areas of the Global Real Estate Market Do the
• Panelists Believe Will Outperform/Underperform from
• This Point in the Cycle?
Moderator:
Partner, INVENSURE
Panelists:
International Director, ABERDEEN PROPERTY INVESTORS
Director and Chairman of the Nominating Committee, CLEVELAND STATE UNIVERSITY FOUNDATION BOARD
Investment Director, STANDARD LIFE INVESTMENTS LTD.
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13:30
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14:45
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Where is Private Equity Going?
• Private Equity as an LDI Alternative to Maximize Returns Over the Long Term
• The “Myth" of Illiquidity with the Rise of Secondary Markets
• Listed Vehicles - Are They Comparable with Mutual Funds?
• How Inefficient Markets Engender High Returns for Top Quartile Funds
• Why Movement in Public Markets is Not Necessarily Correlated to Private Equity
• Why Smaller Can Be Better for Sustainability
• Adding Social Responsibility as a Criteria in Growing Companies
• How Managers' Alpha Meets Growing Allocations to Alternatives from Institutional & High Net Worth Investors
Moderator:
President, RANCHO CAPITAL MANAGEMENT, INC. (FAMILY OFFICE) and Member of the Investment Committee, SAN DIEGO FOUNDATION
Panelists:
Managing Partner and Co-Founder, ACCESS CAPITAL PARTNERS
Director, CLONTARF CAPITAL
Investment Funds Director and President, L CAPITAL- LOUIS VUITTON MOET HENNESSY and Director, GROUPE ARNAULT INVESTMENT OFFICE
Partner, THE ROHATYN GROUP
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15:45
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Refreshment Break
Sponsored by LYXOR ASSET MANAGEMENT
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16:15
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Hedge Fund Replication Clones, Investable Indices and Alternative Beta Strategies
• Pros and Cons of Indirect Hedge Fund Exposure: What Types of Fund of Hedge Funds Will Disappear/Survive?
• What Is Being Indexed or Replicated? Transparency and Evaluation of Hedge Fund Data Universe and Indices
• Benchmarking of Investable Indices and Clones
• Relaxing Hedge Fund Investment Constraints: Liquidity, Capacity and Costs
• Structure and Cost of Alpha and Beta In New Environment
Moderator:
Centre For Hedge Funds, LONDON BUSINESS SCHOOL
Panelists:
Chief Investment Officer, AMAS BANK
Deputy Head of Hedge Funds, FERI INSTITUTIONAL ADVISORS
Trustee, VIRGINIA RETIREMENT SYSTEM and Professor of Economics, UNIVERSITY OF VIRGINIA
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17:15
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Strategy Allocation and Manager Selection in Fund of Funds: What is More Important and What Are the Factors for Success?
• How Do We Compare Fund of Funds that Are Inherently Different?
• Is Strategy Allocation Dynamic or Static and What do We Expect from the Manager?
• Is the Fund of Fund Adjusting the Risk Level with Choice of Strategies?
• In Manager Selection the Fund of Fund Claims to Be Accessing and Choosing the Best
• Does the Fund of Fund Manager Have Many Fund of Fund Programs to Allocate Between and How Fair Is the Split
• Between Programs?
• Are there Other Factors for Success Such as Rick Management and Incentive Fees?
Moderator:
Chief Investment Officer, OP BANK GROUP LIFE & PENSION INVESTMENT
Panelists:
Managing Director, ALSTRA CAPITAL MANAGEMENT
Global Head - Alternative Investment Strategies, COMMERZBANK
Head of Research, FIM ADVISERS LLP
Head of Asset Allocation & Investors Relations, LYXOR ASSET MANAGEMENT
Managing Director, PERTRAC FINANCIAL SOLUTIONS
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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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WEDNESDAY 24 October 2007
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Day Three Theme: Liability & Ethics
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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Risk Management & Best Practices for Manager Selection and Evaluation
• What Are the Minimum Requirements for Best Practice in Manager Selection?
• How Do the Requirements Change for Manager Evaluation?
• How Do You Effectively Merge Qualitative and Quantitative Evaluation?
• What Risk Management Lessons Can Be Learned From Financial Crises Like the Sub-Prime Mortgage Bubble?
• What Are the Special Risk Management Considerations for Structured Products, Hedge Funds, and Private Equity?
Moderator:
Chairman, SAUL (SUPERANNUATION ARRANGEMENTS OF THE UNIVERSITY OF LONDON) TRUSTEE COMPANY
Panelists:
Chief Investment Officer, SWISS SOCIAL SECURITY FUND
Managing Director, WILSHIRE ASSOCIATES
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10:00
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The Role of Socially Responsible Investing in the Institutional Investors’ Portfolio
• A Forest of Acronyms: SRI, PRI, ESG, What Are We Talking About?
• Is There a Common and Agreed Upon Definition of SRI?
• Where Do the UN "Principles for Responsible Investment" (PRI) Fit In?
• What Is the Impact of “Environmental Social and Corporate Governance” (ESG) Principles on SRI?
• Is a Board of Trustees Definition of SRI Anything More Than the Sum of Their Prejudices?
• The President of a Swedish Fund Was Quoted Saying, "We Screen All Our Portfolios from an Ethical View and Exclude
• Companies Violating Human Rights, Labour Standards, Pollution and Corruption". So What Has He Left to Invest In?
Moderator:
Chairman, EUROPEAN PARLIAMENT PENSION FUND
Panelists:
Senior Client Relationship Manager, EIRIS
Director, GES INVESTMENT SERVICES
Managing Director, PRAGMA CONSULTING
Senior Investment Manager, VBV GROUP
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11:00
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Shareholder Activism and the Pursuit of Corporate Governance Reform
• Defining Approaches Towards Active Ownership and Extra-Financial Issues and the Rationale Behind Such Approaches
• Integrating the Corporate Governance Function Into the Main Investment Function
• When Addressing Extra Financial Issues as Active Owners, Which Tools Do Institutional Investors Use in Which
• Circumstances and What Do They Think Works Best?
• Should We Be Striving Towards Convergence and the Development of A Global Standard of Governance Best
• Practice - Or Could This Have Negative Repercussions?
• How Do We Become Active Owners of Companies in Our Global Portfolios?
• Should Investors View Corporate Governance, Social, Ethical And Environmental Concerns Holistically or
• Independently?
• What’s Next Both Domestically and Globally on the Radar Screen for the Fast Moving Area of Corporate Governance?
Moderator:
Head of Corporate Governance, RAILPEN INVESTMENTS
Panelists:
Trustee, ALFRED MCALPINE PENSION SCHEME
Trustee, DETROIT GENERAL RETIREMENT SYSTEM
Manager, HERMES EQUITY OWNERSHIP SERVICES LTD.
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12:00
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Conference Concludes
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