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Pre-conference workshop: Shorting and securities lending for investors
This one-day course will introduce plan sponsors and other institutional investors to the basics of short-selling, leverage and the requisite risk management. Also on the agenda is how to get the buy in of your investment board.
The small size of this course is designed to maximize practical, hands-on learning. Be sure to bring questions with you so that you can get the expert feedback of our workshop leader and your peers.
Day One Tuesday, March 18th, 2008
9:00 Chairman’s opening remarks
Charles B. Krusen, Partner, Director of Strategic Planning, Alpha Equity Management
RELAXING THE LONG-ONLY CONSTRAINT
9:15 Special address: The benefits of relaxing the long only constraint
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Understanding the effects of constraints on your portfolio
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What is an information ratio (IR) and how is it made more efficient when constraints are relaxed
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If relaxing the short selling constraint is so beneficial, why not remove it completely?
Ramon Tol, Fund Manager Equities, Blue Sky Group
9:45 Morning tea
10:25 Is “30” the magic number? Determining the most effective level of shorting
Larry Gorman, Associate Professor of Finance, Cal Poly University
Steve Sapra, Portfolio Manager, Analytic Investors
Robert Weigand, Professor of Finance and Brenneman Professor of Business Strategy, Washburn University School of Business
EVALUATING NEW INVESTMENT STRATEGIES
11:10 What do investors want?
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How do investors evaluate new asset classes and strategies?
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Why have short extension strategies taken hold?
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What do plan sponsors hope to achieve with 130/30 funds?
Jerry Davis, Chairman, Board of Trustees, New Orleans Employees’ Retirement System
Tom Heck, CFA, VP/Treasurer, Ball State University Foundation
Milbrey "Casey" Jones, Trustee, Marin County Employees Retirement Association
12:00 Lunch
IMPLEMENTING 130/30 FUNDS
2:00 The prime brokerage relationship
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Separately managed versus commingled accounts
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Why must prime brokers be included in the implementation of short extension strategies?
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Securities lending: understanding shorting and assessing the risks
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Transaction fees
2:30 An investor case-study
Steve Cochrane, Chief Investment Officer, North Dakota State Investment Board
3:00 SPEED NETWORKING SESSION
This is the revolutionary, exciting, quick and non-pressurized way to meet fellow conference delegates and industry peers in one fifty minute session. These brief meetings are the starting point for conversation and networking throughout the conference. This is where long-lasting and profitable business relationships begin.
3:50 Afternoon break
MANAGER SELECTION
4:10 130/30 Indices
• What is the classic definition of an index?
• How have the evolution of the RAFI indexes changed this definition?
• Has the marketplace gone to far in developing / proposing 130/30 indexes?
• What makes a stock a good long versus a potential short? Is a short holding always a
short?
Russell D. Kamp, Chief Executive Officer, Global Structured Products, INVESCO
4:40 The short-selling know-how: who has it?
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Choosing a 130/30 manager
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Measuring short and long investing capabilities
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Deciding between a hedge fund and traditional manager
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Quantitative vs. fundamental approaches
Soonyong Park, Managing Director, Traditional Manager Research, RogersCasey
Thomas M. Richards, CFA, Richards & Tierney, Inc
William Rubin, Vice Chairman Trustee, City of Philadelphia Board of Pensions and Retirement
5:25 End of day one
Day Two Wednesday, March 19th, 2008
9:00 Chairman’s opening remarks
Charles B. Krusen, Partner, Director of Strategic Planning, Alpha Equity Management
ALLOCATING TO 130/30
9:15 Special address: Comparing 130/30 with other strategies
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Portable alpha
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Hedge funds
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Enhanced indexing
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Active long only
Adam L. Berger, Vice President and Head of Client Strategies, AQR Capital Management
9:45 Where do 130/30 funds fit in your portfolio?
Steve Algert, Manager of Hedge Funds, J. Paul Getty Trust
Glenn Ezard, Senior Consultant, Segal Advisors
Robbie Robertson, President Emeritus, Professional Fire Fighters of Georgia
Robert A. Walton, Chief Executive Officer, Claremont University Consortium
10:30 Morning tea
11:15 INTERACTIVE ROUNDTABLES
Interactive roundtable discussions allow delegates to meet and discuss issues relevant to their job functions.
Roundtable 1: Fiduciary responsibility for investors considering 130/30
Adam L. Berger, Vice President and Head of Client Strategies, AQR Capital Management
Roundtable 2: Types of factors used in building a quantitative equity model
Keith H. Black, CFA, CAIA, Associate, Ennis Knupp + Associates
Roundtable 3: Benchmarking manager performance
Robert Weigand, Professor of Finance and Brenneman Professor of Business, Strategy, Washburn University School of Business
ADVANCED LESSONS IN 130/30
12:15 130/30 funds of funds
Florian Weber, Senior Associate, Wilshire Funds Management
12:45 Lunch
2:30 Directional long/short – global possibilities
• Global
• Euro
• Small Cap
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Potential higher excess returns
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Potential higher information ratio
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Potential lower portfolio risk
John P. Middleton, CFA, CAIA, Client Portfolio Manager, INVESCO PLC
3:00 Afternoon break
130/30: FAD OR TIPPING POINT?
3:30 The great debate
How much value do 130/30 funds really add?
Keith H. Black, CFA, CAIA, Associate, Ennis Knupp + Associates
Allen Gillespie, Commissioner, South Carolina Retirement System Investment Commission
Dr. Brett Myers, Associate, Research & Investment Management, Research Affiliates
Kathryn Wilkens, Ph.D., CAIA, Director of Curriculum, Chartered Alternative Investment Analyst Association
4:15 Close of conference
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