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Day One: Wednesday 12th December 2007
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08.30 | Registration and refreshments
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| THE FUTURE OF PORTABLE ALPHA: TURNING THEORY INTO REALITY
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09.00 | Chairman’s opening remarks
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09.10 | Beyond the talk: is portable alpha moving from the theoretical to a question of how it can be applied?
· Recent portable alpha developments: are practical ways of turning the theory into products finally emerging?
· What is preventing portable alpha from gaining mainstream status and why isn’t everyone applying it?
· With the number of active management solutions constantly increasing what does the future hold for portable alpha? |
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09.40 | Challenging the concept: does the theory really stand up?
· Can portable alpha actually be applied or is it merely an intangible theory?
· Examining whether portable alpha really does separate alpha and beta
· What information is actually available to prove that portable alpha works? |
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10.10 | Morning refreshments
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10.40 | Panel discussion: why overcomplicate the situation – is portable alpha necessary and worth the effort?
· The argument for portable alpha
· The argument against portable alpha
· Portable alpha in practice: is it necessary and worth the effort? |
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| 130/30s: THE FUTURE OF ACTIVE INVESTING |
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11.20 | 130/30s – what are they and why have they appeared?
· Putting 130/30s into context: examining their origins
· Why is there a need for 130/30 funds and what are they setting out to achieve?
· How will they achieve increased return without increasing risk? |
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11.50 | Extending the alpha universe: 130/30s vs portable alpha
· Comparing 130/30s with portable alpha: what are the similarities and differences?
· How important are the differences: can both approaches co-exist?
· Are 130/30s a stepping stone from traditional investment approaches to portable alpha? |
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13.00 | Lunch
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| STAYING AHEAD OF THE CURVE: ADVANCEMENTS IN LDI APPLICATIONS |
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14.00 | Case-study: how the Laurus Pension Fund has applied a LDI solution to their defined contribution pension scheme
· Detailing the LDI solution: what were its aims and how does it work?
· Determining the risk and outperformance levels prior to implementation
· 2 years since execution: how has the solution faired and hurdles been overcome? |
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14.30 | Challenging the concept: is LDI only as good as the assumptions you make?
· Detailing the necessary assumptions: required returns, longevity and discount rates
· How are the fundamental assumptions derived: what are they based on?
· How much confidence can you take in the basic assumptions? |
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15.00 | Speed Networking
The revolutionary, exciting, quick and non-pressurised way to meet fellow conference delegates and industry peers. These brief meetings are the starting point for conversation and networking throughout the conference. This is where long-lasting and fruitful relationships begin. |
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15.30 | Afternoon refreshments
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16.00 | Recent advancements: blending LDI and portable alpha strategies
· The aims of the strategy: what benefits will blending LDI with portable alpha bring to the portfolio?
· Putting the theory into practice: how does the solution work?
· Evaluating future developments expected in the LDI market |
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16.30 | Commitment driven investing (CDI): an alternative to LDI?
· Defining ‘Commitment’ vs. ‘Liability’: which term is better suited to pension funds?
· Assessing the shortfalls of LDI: is LDI too concerned with short term balance sheet volatility?
· The objectives of CDI: to minimise risk and cost |
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17.00 | Close of day one & networking drinks reception
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Day Two: Thursday 13 December 2007
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09.00 | Chair's Opening Remarks
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| APPLYING ABSOLUTE RETURN INTO YOUR PORTFOLIO |
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09.10 | The role of the absolute return vehicle as part of a portfolio: examining how to use them most effectively
· What are absolute return vehicles and how do they work?
· How should absolute return be viewed in the context of alpha and beta and how will this effect their implementation?
· Pooled vehicles vs specific vehicles: what is right for you?
· Do the costs outweigh the benefits: evaluating the fees |
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| MASTERING THE FUNDAMENTALS: DETERMING THE RISK BUDGET & CHOOSING THE MANAGER |
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09.40 | Designing a multi-strategy portfolio to achieve absolute return
· What to consider when designing your multi-strategy portfolio
· Examining the importance of choosing the correct strategies for your portfolio
· How to design the best portfolio that is going to meet your needs |
| | Andrew McCaffrey, Head of Absolute Return Strategies, Aberdeen Asset Managers Ltd
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10.00 | Setting the risk budget: successfully exploiting the risk within your portfolio
· Examining the stages involved in developing a risk budget
· How to measure risk: what translation factor should be used to convert risk into returns? how much risk should be tolerated?
· Assessing the validity of the assumptions made
· Best practice strategies to most efficiently implement a risk budget |
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10.10 | Morning refreshments
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10.40 | Panel discussion: the key to success - assessing and monitoring manager performance
· An examination of the different methodologies available to identify alpha-generating managers: what data and indices are there?
· Alpha generated through chance: should manager fees be calculated and considered as a fixed cost? |
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| GTAA AND HOW TO IMPLEMENT IT |
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11.10 | The attraction of global tactical asset allocation (GTAA): why invest in GTAA?
· What is GTAA and why is it an attractive alpha source?
· Comparing GTAA with global macro hedge funds and tactical asset allocation activity within multi-asset funds
· What are the strategies available to investors for incorporating GTAA into their investment structures? |
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11.40 | Assessing whether hedge funds are the most appropriate source of alpha
· Despite their convenience are hedge funds the most effective source of alpha?
· Putting the theory to the test: do hedge funds really offer pure alpha?
· Is LIBOR an appropriate benchmark given the different risk profiles of the asset classes managed? |
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12.10 | Lunch
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| PUTTING ALPHA-BETA SEPARATION INTO PRACTICE |
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13.30 | Case study: examining how AP2 has separated their alpha from their beta - what has worked for them?
· Which strategies have AP2 implemented and why?
· How do they analyse and monitor their performance?
· Experiences to date and lessons to be learnt |
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14.00 | Best practice strategies for managing beta exposure
· The importance of rebalancing and overlay management: how portfolio management should be performed in practice
· The importance of avoiding over paying for beta
· The importance of diversifying sources of beta |
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14.30 | A comparison of methods available to gain beta exposure: ETFs vs index funds
· Examining the defining characteristics of ETFs and index funds
· Comparing their advantages: which offers the best benefits?
· A critical examination of the costs entailed |
| | Ms Deborah Fuhr, Managing Director & Head of ETF Investments, Morgan Stanley
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15.00 | Afternoon refreshments
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15.30 | Assessing which strategies are most effective at porting alpha into the portfolio and applying them
· What are the available tools and structures for porting alpha?
· What factors should be taken into consideration when making your selection: what restrictions and regulations should you be aware of?
· Assessing whether total return swaps are the most effective tool |
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16.00 | Case study: exploring portable alpha from a pension fund’s perspective
· Why Clwyd Pension Fund decided to adopt a portable alpha strategy?
· Defining the procedures and processes that Clwyd Pension Fund went through in order to implement portable alpha
· Any words of warning to potential investors |
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16.30 | Chairman’s closing remarks
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16.40 | End of conference
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Pre-conference workshop: Tuesday 11th December 2007
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| 130/30 funds: overview, insights and alpha enhancement |
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09.00 | Overview of 130/30s
· What is a 130/30 product?
· Why consider a 130/30 product?
· What ‘drives’ the benefits of these products? |
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09.40 | Are 130/30 products appropriate for everyone?
· Where do 130/30s fit in within a plan’s asset allocation framework?
· What skills are necessary to manage these products?
· How do regulations and prime broker relationships affect implementation, fees and net performance?
· What additional costs offset the benefits of implementing a 130/30 strategy?
· To what extend does shorting capacity constrain performance? |
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10.20 | Refreshments
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10.45 | Should 130/30s be applied to any benchmark?
· Is a formal benchmark even required?
· Why the focus on 130/30? Why not 150/50 and beyond? |
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11.20 | What should investors be looking for when selecting a 130/30 manager?
· How does a 130/30 strategy relate to portable alpha strategies?
· Where does this asset category go from here? |
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12.00 | End of workshop
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