Agenda

CONFERENCE DAY ONE
Monday 15th March 2010

DAY ONE | DAY TWO

8.30 Registration and Coffee

9.00 Speed Networking Session
Get to know your peers right from the start in this relaxed and informal speed networking session. Bring your business cards!

9.15 Chair's Opening Address

9.20 Volatility Before, During and After the Global Financial Crisis

• Volatility as an analytical tool
• Which asset classes surprised during the crisis?
• Is volatility going back to "normal" levels after the GFC?
• Going beyond volatility: correlations and betas

Simon Elimelakh, Head of Strategy, Intech

10.00 The Challenges of Measuring the Performance of Alternative and Diverse Asset Classes

• The performance measurement issues for Alternative Investments (Private Equity, Hedge Funds, Infrastructure and Real Assets)
• Increasing performance measurement accuracy in Alternative Investment portfolios
• Real risks and returns in Alternative Investments

John Peterson, Principal, Sovereign Investment Research

10.40 Morning Tea

11.10 How to Best Manage the Client for a Long Term Beneficial Relationship with the Fund Manager

• What information does the client want to know?
• Presenting performance results
• Skills needed in handling clients
• Different models to present the results
• What happens after the performance attribution is presented?

Kyle Ringrose, General Manager Investment Operations, QSuper

11.50 The Multi-period Attribution Problem: Solved!

• As is well known, there is no universally accepted method for computing multi-period attribution from single-period results. There are two underlying problems that prevent multi-period attribution from working as well as we would like
• Multi-period attribution is intended as a decomposition of multi-period outperformance. Unfortunately and somewhat surprisingly, the standard and obvious fund return minus benchmark return is a poor measure of outperformance. A better formula for outperformance will be presented, which is already well known to the investment community by another name
• Attribution factors should not be compounded, since they are not returns. A better approach than compounding will be presented, resulting in a neat and intuitive decomposition of the multi-period outperformance
• Our clients insist on the standard measure of outperformance, despite its inadequacy. A simple method for meeting this commercial reality will be presented, that the author believes to be optimal

Tim Svenson, Senior Performance and Reporting Analyst, Funds SA

12.30 Lunch

1.30 Servicing Benchmarks for Risk & Performance Analytics - How much of the ice-berg is under the water?

• Implementing mid-office solutions – particularly performance & compliance – is consumptive of benchmark data
• What initially presents as a problem most effectively solved by accessing those benchmarks directly, becomes extremely costly and complicated
• Particularly as scale increases in business drive requirements for more benchmarks into production
• In the final analysis, benchmark servicing is only really cost effective when executed by an external service provider:
  - Initial implementation can be much cheaper, faster, offer an elevated level of service with a reduced overall level of risk
  - Migration away from benchmark servicing in-house in favour of a service provider presents an unrivalled opportunity to reduce costs, increase service levels and data quality, clarify mid-office SLA breaches and reduce the impact of IT infrastructure on mid-office profitability
• And the final kicker is to use cloud-based analytics for Risk and Performance Attribution

Andy Borrow, Head of Asia Pacific, Rimes Technologies

2.10 Benchmarking

• The myths of benchmarking
• The power of the benchmark
• The difficulties in choosing the appropriate benchmark
• How benchmarking can lead to suboptimal performance

Lindsay Skardoon, Director, Spectrum Asset Management

2.50 Afternoon Tea

3.20 Risk Modelling - Lessons from the GFC

• Liquidity matters - particularly when its gone
• The risks of complexity and opacity
• Model assumptions are just that - assumptions
• Changes in the source of market risk
• Coping with black swan events

Geoffrey Brianton, Director, BlackRock Investment Management

4.00 Closing Remarks from the Chair

4.10 Networking Drinks

CONFERENCE DAY TWO
Tuesday 16th March 2010

DAY ONE | DAY TWO

8.30 Networking and Coffee

9.15 Opening Remarks from the Chair

9.30 Implementing and Complying with the GIPS Standards

• Implementing GIPS and the first time verification
• GIPS compliance
• Changes to GIPS 2010
• Valuation issues with unlisted asset classes
• Applying GIPS standards to hedge funds and alternative asset strategies

Stephen Campbell, Senior Manager, Financial Risk Management, Advisory, KPMG

10.10 Performance and Risk Reporting Strategies

• Tailoring reporting to the needs of the target audience
• Driving efficiency in performance analytics and reporting
• Integrating risk into performance reports
• Producing high level reporting and tackling data integrity
• Enhancing client communication

10.50 Morning Tea

11.20 Back to the Future: Valuation as a Primary Risk Management Metric in Institutional Portfolio Management

• Lessons from the recent past
• Modern portfolio theory in context
• Maintaining objectivity in valuation based risk metrics
• Portfolio integration and client communication

Jonathan Ramsay, Director, Glennon Capital

12.00 Lunch

1.00 Risk Management 2.0

• In light of the Global Financial Crisis, institutions are radically redefining risk management to take a broader and more integrated view of risk. We will highlight areas of growing focus, including systemic risk, crash forecasting and early warning signals. We will also provide a framework for holistic risk management, taking into account short and long term risk factors, and give an overview of organisational risk management best practices

Alan Laubsch, Head, RiskMetrics Labs Asia

1.40 Risk Management Models and Practices

• Scrutinising risk models: risk control vs risk management
• Examining implications on investment performance - performance risk attribution
• Reducing risk using qualitative analysis
• Risk-return considerations in a volatile market

2.20 Stress Testing: Black Swans or Shades of Grey?

• Extreme events and their impact on risk management
• Methodology and incorporation into the risk process
• Supplement to risk measures – tracking error, VaR, expected shortfall

Sean Carr, Vice President, FactSet

3.00 Closing Remarks from the Chair

3.10 Afternoon Tea and Close of Conference

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