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Wednesday 7 May 2008
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Pre-Conference Workshop: (Box Lunch Served)
Capital Raising and Investor Relations for Hedge Funds and Fund of Funds
• Getting the Word Out About Your Fund Through Databases, Conferences and Industry Publications
• Choosing Between Internal and Third Party Marketers
• Showcasing Competitive Advantages and Putting Performance in Perspective
• Creating Strong Performance Reports
• Surviving the Due Diligence Process
• Proactive Client Communications in Good Times and Bad
• Holding Successful Client Meetings
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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13:00
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Co-Chairpersons’ Welcoming Remarks
Company Secretary, EUROPEAN PARLIAMENT PENSION FUND
Trustee, VIRGINIA RETIREMENT SYSTEM and Professor of Economics, UNIVERSITY OF VIRGINIA
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13:15
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Is Alpha Different in Nature in Different Asset Classes and Investment Strategies
• Which Assets Classes/Strategies Provide the Greatest Opportunity for Alpha Creation?
• Does the Degree to Which Opportunity for Alpha Exist Vary in Market Conditions?
• When Is Perceived Alpha Potentially Beta in Reality?
• How Should the Alpha Manager be Rewarded?
• Is Alpha Merely a Way for Managers to Demand Higher Fees?
Moderator:
Chief Executive, ROYAL MAIL PENSIONS TRUSTEES LIMITED
Panelists:
President & Partner, ALEXANDRA INVESTMENT MANAGEMENT
Principal, DORCHESTER CAPITAL ADVISORS, LLC
Executive Director, MINNESOTA STATE BOARD OF INVESTMENT
Principal, MUIRFIELD CAPITAL MANAGEMENT
President, STUART PORTFOLIO CONSULTANTS, LP
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14:30
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Striking the Right Balance between Alpha and Beta in the Institutional Investor Portfolio
• What do Institutional Managers Mean by Alpha and Beta in the Context of Asset Allocation?
• Would High Quality Alpha Always be Preferable to Beta? How Scarce is True Alpha?
• What Level of Allocation Should Institutional Investors Make to Hedge Funds/Private Equity?
• Is All Alpha Created Equally? Is Some Alpha Just Leveraged Beta with Significant Tail Risk?
• What Role Should Portable Alpha Play in a Modern Institutional Portfolio?
• Does "Alternative Beta" - Hedge Fund Replication - Do what it Says on the Tin?
Moderator:
Senior Manager, KPMG LLP
Panelists:
Director of Finance & Administration, CORAM FAMILY FOUNDATION
Chief Investment Officer, ERMITAGE GROUP
Head of Global Derivatives Strategies & Trading, TIAA-CREF
Chief Investment Officer, WEST MIDLANDS PENSION FUND
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15:30
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Refreshment Break
Sponsored by PACIFIC ALTERNATIVE ASSET MANAGEMENT COMPANY
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16:00
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Capturing and Sustaining Alpha
• How do You Identify the Strategies that Have a High Probability of Capturing Alpha?
• Are These Strategies Dependent or Independent of Market Cycles?
• Should You Pick the Best Manager and Then the Strategy or the Best Strategy and Then the Manager?
• Do You Think That Manager Skill in Capturing Alpha is Sustainable or Cyclical…...If it Is Cyclical How Should
• Investors Allow for This?
• If it Is Sustainable, How Many Managers Have Demonstrated This in Your Experience?
• How Could the Whole Process of Capturing Sustainable Alpha Be Simplified from the Investor Viewpoint?
Moderator:
Investment Director, LONDON PENSIONS FUND AUTHORITY
Panelists:
President, FRICK CAPITAL
Associate Director, PACIFIC ALTERNATIVE ASSET MANAGEMENT COMPANY
Partner, TAPESTRY ASSET MANAGEMENT
Trustee, VIRGINIA RETIREMENT SYSTEM and Professor of Economics, UNIVERSITY OF VIRGINIA
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17:00
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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:
Executive Director, CHICAGO PARK EMPLOYEES' ANNUITY & BENEFIT FUND
Panelists:
Managing Partner, BELSTAR GROUP
Principal,
DORCHESTER
CAPITAL ADVISORS, LLC
Principal, MUIRFIELD CAPITAL MANAGEMENT
Managing Director, NAISSANCE CAPITAL LTD.
Chief Executive Officer of Hedge Fund, TROIKA DIALOG (
UK
) LIMITED
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18:15
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Sessions Conclude
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18:30
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Cocktail Reception
Sponsored by BOLSAS Y MERCADOS ESPAÑOLES and MADRID CENTRO FINANCIERO
Hosted by BOLSA DE MADRID (MADRID STOCK EXCHANGE)
(Plaza de la Lealtad, 1, Madrid)
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Thursday 8 May 2008
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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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8:45
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Co-Chairperson’s Remarks
Company Secretary, EUROPEAN PARLIAMENT PENSION FUND
Trustee, VIRGINIA RETIREMENT SYSTEM and Professor of Economics, UNIVERSITY OF VIRGINIA
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9:00
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Seeking Alpha through Fixed Income Investing
• Using High Income Funds to Deliver Alpha
• Exploiting Changes in the Yield Curve to Seek Out Alpha
• Corporate Versus Sovereign Bond Opportunities
• Exploiting Currency Changes: A High Risk Strategy for Alpha Pursuit
• Fixed Income Versus Index Linked Bonds as a Source of Alpha
• Emerging Economies Debt as a High Alpha Opportunity
• Pension Fund Demand for Interest Rate Swaps to Lengthen the Term and Match Liabilities .... Who Will
• Provide and at What Cost?
Moderator:
Senior Consultant, WATSON WYATT
Panelists:
Chief Investment Officer, AMAS BANK
Company Secretary, EUROPEAN PARLIAMENT PENSION FUND
Trustee Director, MOTOR INDUSTRY PENSION PLAN
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9:45
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Obtaining Alpha from the Private Equity Markets
• Is Private Equity Offering Alpha to Investment Portfolios?
• What Is the Optimal Level of Diversification in a Private Equity Portfolio?
• Is Now a Good Time to Expand Allocations to Private Equity?
• Is Now a Good Time to Adjust the Composition of the Private Equity Portfolio?
• To What Extent has the Leveraged Buyout Model Been Affected by the Credit Crunch?
• Does Venture Capital Offer More Alpha to Investment Portfolios than Buyout Capital?
• Will The Private Equity Funds Focusing on Distressed Opportunities Play an Increasing Role in the Coming Year
• or Two?
• What Is the Biggest Challenge to the Private Equity Industry in the Coming 5 Years?
Moderator:
Partner, ATP PRIVATE EQUITY PARTNERS
Panelists:
Managing Partner, HEDGES CAPITAL, INC.
Head of European Private Equity Research, MERCER INVESTMENT CONSULTING
Vice President & Director, TD PRIVATE EQUITY CAPITAL
Managing Director, WILSHIRE PRIVATE MARKETS GROUP
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10:45
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Refreshment Break
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11:15
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Uncovering Alpha Opportunities in Commodity Investing
• Is There More Intrinsic “Alpha” in Commodity Investing Than in Any Other Asset Class?
• What Should Investors Expect From this “Alpha” Component in Terms of Return, Volatility and Correlation?
• What Percentage of a Commodities Allocation Should be “Alpha v. Beta”?
• Which Sub Sectors of Commodities Offer the Most Alpha?
• Is a Fund of Fund or a Direct Fund Approach Appropriate?
• What Are the Specific Risk Factors with Alpha Investing in the Commodities Arena?
Moderator:
Director, CLONTARF CAPITAL
Panelists:
Executive Vice President, BANK//PENSION
Head of Commodity and Energy Risk Consulting, D-FINE
Head of Global Marketing and Distribution, FOURWINDS CAPITAL MANAGEMENT
Managing Director, HARCOURT INVESTMENTS
PRIVATE INVESTOR
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12:30
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13:45
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Where to Find Alpha in Real Estate
• Less Efficient Markets Are Better Suited to Find Alpha (Which Are Those Markets?)
• Infrastructure, Forestry, Agriculture, Etc to Generate Alpha?
• "New" Techniques (Private Equity Type) to Generate Alpha
• Use of Real Estate Hedge Funds to Generate Alpha
• Fee Reduction to Generate More Net Alpha?
Moderator:
Managing Director, FERI INSTITUTIONAL ADVISORS GMBH
Panelists:
International Director, ABERDEEN PROPERTY INVESTORS
Director, DA VINCI INVEST LTD. (MULTI-FAMILY OFFICE OF FAMILY MÜLLI & ALBRECHT)
Portfolio Analyst, ING CLARION REAL ESTATE SECURITIES, LP
Director Research & Market Information, INREV (EUROPEAN ASSOCIATION FOR INVESTORS IN NON-LISTED REAL ESTATE VEHICLES)
Investment Director, STANDARD LIFE INVESTMENTS
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15:00
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Fresh Perspectives on Extracting Alpha from Equity
• Nature of Skill
• Does it Exist and How Can it Be Nurtured and Developed
• Firms Are Leveraging Skill by Offering a Wider Range of Products Such as 130/30, Is There the Client Appetite?
• What Will the New Quant Products that Emerge from the Ashes Look Like?
Moderator:
Chief Executive, INALYTICS
Panelists:
Professor of Finance, IMDEA and IE BUSINESS SCHOOL
Founding Principal, OAK POINT INVESTMENTS
Trustee, VIRGINIA RETIREMENT SYSTEM and Professor of Economics, UNIVERSITY OF VIRGINIA
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16:00
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Refreshment Break
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16:30
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Generating Alpha with Currency Management
• What Are the Advantages of the Use of Currencies as a Non-Correlated Asset Class?
• Currencies Are Very Liquid and Do Not Suffer from the Current Problems of Other Asset Classes Including
• Hedge Funds and Private Equity. Do You Agree?
• It Is a Gigantic Market of US $ 3 To 4 Trillion Per Day; I.E. Massive Volumes and No Market Impact. Do You Agree?
• On the Condition of a Well Researched Methodology a Robust Portfolio of Currencies Can Be Built, With a
• Good Relationship Between Return and Risk
Moderator:
Managing Director, PRAGMA CONSULTING
Panelists:
Chief Executive Officer, AIM TRADING
Director of Product Development and Client Service, HATHERSAGE CAPITAL
Deputy Head of Portfolio Management, SWEDISH NATIONAL DEBT
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17:30
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Searching for Alpha with Fund of Funds
• How do You Think the Fohf Industry Should Measure Alpha?
• In a Market Where Beta is Negative; What Does This Mean for Generating Alpha (and Measuring it)?
• Is the Distinction Between Alpha & Beta a Luxury We (Clients) Can’t Afford as We Experience Negative
• Returns, Liquidity Issues And Redemptions?
• Do You distinguish Between Alpha, Beta and Alternative Beta?
• What Is Your View on the Many New Hedge Fund Replication Products?
• o Would You Use HF Replication, E.G. for Shorting Reasons?
• o Will These Products’ Fees Put Pressure on Fohfs to Lower Fees?
• Do You Agree that Alpha Will be More Difficult to Generate in the Future?
• Can You Convince Your Clients that They Are Still Receiving Value for the Fees that They Pay?
Moderator:
Advisory Services, LIABILITY SOLUTIONS
Panelists:
Global Head - Alternative Investment Strategies, COMMERZBANK
Managing Director, EFFICIENT CAPITAL MANAGEMENT
Partner, MERIDIAN CAPITAL PARTNERS
Portfolio Manager, RIVERVIEW ALTERNATIVE INVESTMENT ADVISORS
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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 9 May 2008
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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
Company Secretary, EUROPEAN PARLIAMENT PENSION FUND
Trustee, VIRGINIA RETIREMENT SYSTEM and Professor of Economics, UNIVERSITY OF VIRGINIA
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9:00
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The Role of Portable Alpha in Institutional Portfolios
• The Technique of Portable Alpha Relies Heavily on Derivatives Which Are Complicated and Risky
• Are Boards of Institutional Investors Able to Understand The Concept?
• From the Isolation Point of View
• o Is it Possible to Identify a Manager that Consistently Outperforms?
• o How To Avoid Unwanted Beta-Risk Exposure and to Neutralise Beta Exposure
• o Do We Get Other (Unwanted) Exposures in Return?
• o Is Portable Alpha Merely a Tactical Instrument Only Suited for Large Institutional Investors?
• From The LDI Point Of View
• o Will Portable Alpha Enable Investors to Increase Risk in Other Areas in the Portfolio as it May Reduce Risk, for
• o Instance Interest Risk?
• o Is it Possible Over Long Periods of Time to Consistently Outperform Libor?
• o What Happens with the Volatility of the Coverage Ratio?
• o What Other Downsides are There to Explore?
Moderator:
Manager Pension Affairs, SDB PENSION FUND
Panelists:
Managing Director, DANISH PENSION FUND FOR ENGINEERS (DIP)
President, FORTUNE GROUP USA
Managing Director, GOTTEX FUND MANAGEMENT
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10:00
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Understanding and Implementing an Alpha Generating Global Tactical Asset Allocation Strategy
• What is the Role of GTAA in an Institutional Portfolio?
• GTAA as a Source of Alpha: Where and How Exactly is the Value Generated?
• Investment Styles: Quantitative vs. Qualitative?
• GTAA vs. Macro Hedge Funds
• What Should be Noted from Past Results and What Does This Suggest About Future Sustainability?
• Analysis of Implementation Issues and Differing Approaches
• How Does GTAA Interact with Strategic and Dynamic Asset Allocation?
• GTAA and the Investment Committee: How to Integrate GTAA in Pension Fund Governance?
Moderator:
INDEPENDENT ADVISER
Panelists:
Head of Tactical Asset Allocation and Quantitative Analysis, AP FONDEN 1
Head of European Business Development, MORLEY FUND MANAGEMENT
Trustee, VIRGINIA RETIREMENT SYSTEM and Professor of Economics, UNIVERSITY OF VIRGINIA
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11:00
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Conference Concluding Investor Perspective Discussion
Discussion Facilitators:
Executive Director, CHICAGO PARK EMPLOYEES' ANNUITY & BENEFIT FUND
Company Secretary, EUROPEAN PARLIAMENT PENSION FUND
Trustee, VIRGINIA RETIREMENT SYSTEM and Professor of Economics, UNIVERSITY OF VIRGINIA
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12:00
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Conference Concludes
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