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Day One: Wednesday, 12 September 2007
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| FEELING THE PULSE OF ASIAN INSTITUTIONAL MARKETS |
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| 08.00 | Registration, coffee and tea
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| 08.50 | Welcome remarks
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| | Kevin Birkett, Director - Asset Management, Dubai International Financial Centre (DIFC), UAE
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| 09.00 | Chairman's opening remarks
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| 09.05 | Exclusive Interview - Examining the top trends shaping the global funds industry
- Assessing the rates of growth within the industry - a past and
future trends analysis
- Exploring modern product innovations and trends
- The ongoing search for alpha and examining its implications for managers and investors
- So where do we go from here?
- Renaissance - an overview of the most consistently successful hedge fund in the world
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| | Moderator: Kirby Daley, Head of Sales & Capital Introductions, Fimat Alternative Investment Solutions Stefano Russo, Chief Executive Officer, Renaissance Institutional Management (UK)
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| 09.35 | Keynote Address - Asian opportunities: Risks and rewards
- Economic and financial background
- Risk profile and characteristics
- Sources of investor demand
- Growth outlook
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| 10.05 | Keynote Address - The future outlook of managing Asian institutional assets
- How are recent trends in capital markets leading institutional investors to re-think their investment policy?
- Are institutional investors placing more emphasis on underutilized asset classes and skill-based strategies?
- How is ALM changing the investment decision of institutional investors?
- How will the changes in investment policy lead institutional investors to think about broader organizational issues?
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| | Kurt Winkelmann, Managing Director, Global Investment Strategies, Goldman Sachs Asset Management
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| 10.35 | Academic Address - Examining dynamic trading strategies to significantly enhance your portfolio returns
- Assessing the nature of non-synchronous asset prices arising from trading illiquidity
- Implementing suitable theoretical corrections for the problem
- Practical applications to trading financial markets – such as basis arbitrage, hedge ratios, and volatility spreads
- Potential computer based arbitrage trading strategies arising from pricing nonsynchronicity
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| | Jayaram Muthuswamy, Associate Processor of Finance, Singapore Management University, Singapore
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| 11.00 | Morning refreshments
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| PORTABLE ALPHA STRATEGY EXPLAINED |
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| 11.30 | Chairman’s welcome remarks
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| 11.35 | Keynote Case Study - Portable alpha: What it means and how it works for North Dakota State Retirement Scheme
- Redefining alpha and beta
- How does portable alpha work? Distinguishing portable alpha from absolute returns
- How can portable alpha be a viable return enhancement strategy for institutional investors?
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| | Steve Cochrane, Chief Investment Officer, North Dakota State Investment Board (NDSIB), USA
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| 12.00 | Examining the attractive yield and investors’ demand for
mortgage bonds and why it has become the new exciting
source of alpha
- Understanding the dynamics of supply, demand and real yields in Danish mortgage bond market
- Examining how mortgage bonds are a desirable alpha engine for Asian investors
- Analysing the risks involved
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| 12.30 | Evaluating and acquiring beta sources
- Identifying the different beta sources - Indices, ETFs, swaps, futures
- Comparing and contrasting each beta source with important considerations:
- Liquidity and capital requirements
- Payment requirements
- Tracking errors, operational issues and counterpart risk
- Fees and availability
- Ongoing monitoring and rebalancing of the desired beta exposures
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| | Tobias Bland, Chief Executive Officer, Enhanced Investment Products Ltd, Hong Kong
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| 13.00 | Networking lunch
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| LOOKING AT THE MECHANICS |
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| 14.00 | Investor Case Study - Seeking alpha: One investor’s approach to manager selection and balance
- Focusing on returns – vs – style – vs – capacity
- Manager due diligence – the cookbook
- Concentrating on investor athletes, not firm reputation
- How and why to get rid of a manager
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| | Robert Walton, Chief Executive Officer, Claremont University Consortium, USA
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| 14.30 | CEO Panel - Creating optimal portfolios via the separation of alpha and beta
- Why separate alpha and beta? How practical is it? What are the constraints?
- Examining the following scenarios:
- Alpha managers with variable betas
- Alpha managers unable to achieve set hurdle rates or benchmark hugging
- Combining equity beta with non-equity alpha
- Inherent leverage of the strategy |
| | John Trammell, Chief Executive Officer, Investor Select Advisors, USA Mark Konyn, Chief Executive Officer, RCM Asia Pacific Limited, a company of Allianz Global Investors Irene Goh, CFA, CAIA, Senior Asset Allocation & Currency Strategist / Director, Global Investment Solutions, UBS Global Asset Management
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| 15.15 | Panel - Identifying the mistakes in implementing portable alpha and how you can avoid it
- How do you find alpha, acquire beta and port alpha in a portable alpha programme?
- Understanding and managing the installation complexities including:
- Evaluating off-the-shelf portable alpha packages and turnkey solutions
- Documentation, accounts and reporting
- Rebalancing policy
- Liquidity
- Client service
- How do you minimising the risk in a portable alpha programme?
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| | Erik Valtonen, Chief Investment Officer, Tredje AP-fonden (AP3) / Third Swedish National Pension Fund, Sweden Jeff Shen, Head of Asia ex Japan Equity, Barclays Global Investors, USA Steve Cochrane, Chief Investment Officer, North Dakota State Investment Board (NDSIB), USA
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| 15.55 | Speed networking for all delegates, speakers and sponsors
 Popular with senior executives across the world, you can now meet the key players in your industry in a time-efficient, structured meeting environment. This is a great opportunity to meet the senior executives in the market and to exchange business cards with real industry drivers. |
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| 16.15 | Afternoon refreshments
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| IS THIS ALL RISKY BUSINESS? |
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| 16.45 | Investor Case Study - Turning concept into reality
- Assessing the portable alpha proposition
- Examining the implication of portable alpha on our investment objectives
- Identifying and selecting the source of alpha, acquiring beta and porting alpha
- Evaluating the costs and benefits, risk and returns
- Is alpha sustainable?
- What have we achieved by implementing a portable alpha strategy?
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| | Erik Valtonen, Chief Investment Officer, Tredje AP-fonden (AP3) / Third Swedish National Pension Fund, Sweden
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| 17.25 | What does the future hold for the alpha-centric world?
- What is the future of managing institutional assets: Risk management or return management?
- Where do asset managers and institutional investors search for more alpha?
- The search for talent and battle for brainpower in alpha’s zerosum game
- How will pension accounting and standards come into play?
- How will portfolios be managed?
- What are the new investment tools?
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| 18.00 | Chairman’s closing remarks and end of conference
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| 18.10 | Networking cocktail reception
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Pre-conference Masterclass: Tuesday, 11 September 2007
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| Alpha/beta separation in the context of liability-driven institutional investing |
Led by
Dr Miroslav Mitev
Managing Director
Securities Research & Portfolio Management
Siemens AG Austria
Masterclass objective:
Investment managers aiming to implement liability driven investment (LDI) strategies using techniques that differentiate between alpha and beta strategies can provide clients with more efficient risk and return frameworks. Separating investor assets into two portfolios, one focused on liability protection and one focused on asset growth can provide the manager with a wider range of investment options and less constraints than traditional institutional investment frameworks.
This type of LDI structure is similar to portable alpha strategies and allows the separation of liability driven alpha and beta strategies. The results are new and exciting investment structures and strategies for investors to use. This workshop will highlight the LDI framework and how it works and some of the investment options available.
Participants will gain
- An improved understanding of the investment opportunities provided by LDI
- A better understanding of liabilities and matching investment strategies
- An overview of the flexibility afforded to investment managers by separating alpha and beta in the context of liability driven investing A more efficient investment portfolio
Masterclass agenda
1) The client objective
- Identifying and understanding the risk and return framework of liabilities
- Determining those assets required in the beta portfolio (liability matching) and those for the alpha portfolio (growth assets)
- Identifying liability based objectives and benchmarks
- The interaction between the alpha and beta portfolios – managing the liability risk by rebalancing the portfolios
- A key question- when to take liability risk off the table or go for more growth
- The limitations of traditional methodologies
2) The beta portfolio
- Constructing liability matching portfolios
- Passive or active management
- Gearing assets to free up additional alpha assets
- Case study
3) The alpha portfolio
- Must outgrow Liabilities to earn Alpha – not generic indices
- Structuring pools of assets to meet objectives
- Multi asset class structures
- Constrained versus unconstrained investing
- Must understand risk/reward behavior of liabilities
- Case studies
Who should attend?
- Financial professionals wishing to gain a solid, fundamental understanding of liability driven nvestment strategies
- Institutional and private investors who are re-thinking the liability matching proposition and wanting to know how to separate and structure alpha and beta based strategies in the context of liability driven investment
- Investment managers who wish to structure LDI strategies and who wish to provide investment tools for use by liability driven investors
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