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20 May 2008, Pre Conference Masterclass
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| Short selling and derivatives for implementing a 130/30 strategy |
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09.00 | Masterclass Objective:
This workshop is designed for investors and fund managers seeking a deeper understanding of 130/30 investing. After reviewing the basic mechanics of 130/30 funds, we will examine what needs to be done to implement these funds.
The masterclass will be broken down into the following key sessions:
- Short selling, securities selling, securities lending
- Leveraging
- Implementing 130/30 funds: the prime broker relationship
- Manager selection: who has the short-selling know how
- Allocating to 130/30: where do they fit in your portfolio
- Managing risk and getting comfortable with short selling
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| | Don Hamson, Managing Director, Plato Investment Management
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12.30 | Close of Masterclass
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21 May 2008, Conference Day 1
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08.20 | Registration and Welcome coffee
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08.50 | Opening remarks by chair and introductions to 130/30
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| GENERATING SUPERIOR RETURNS FROM GLOBAL EQUITIES |
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09.00 | Keynote address:
The next generation of equity investing
- Overview of equity market developments
- Equity investing in a volatile market place: lower forecast returns
- Demand for non-conventional high performing strategies
- Active extension strategies and role of 130/30
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09.30 | Keynote address:
The pursuit of investment returns that beat global equity benchmarks
- An alternative strategy to generating alpha
- The appeal of 130/30 short extension strategies
- Equity allocations versus alternative allocations
- Manager selection criteria
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10.00 | Executive Presentation:
The hunt for alpha returns in a volatile market environment
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Fund attitudes towards shorting strategies in a bear environment
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Identifying efficient alpha opportunities for the fund
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The role of 130/30 within an institutional investor portfolio
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Managing the risks involved with shorting strategies
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10.30 | Morning tea and coffee
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11.00 | Keynote panel discussion
What are the return advantages of equity strategies that relax the long-only constraint?
- Differences between 130/30, portable alpha and traditional long-short
- Investing in global equities
- Quantitative versus fundamental approaches
- Is there higher alpha efficiency
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11.40 | Executive presentation: Potential implications of a bear market on trustee attitudes
- Is the bull market over for Australia?
- Are trustees headed towards more defensive strategies?
- Opportunities emerging post-sub prime crisis
- New challenges facing trustees in 2008
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| | Mr Greg Smith, Lead Consultant, Superannuation and Asset Consulting, Hewitt Associates
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12.10 | Executive presentation:
Accelerating the traditional long-only managers move into 130/30
- Determining suitability and skills of portfolio managers
- Identifying risk management requirements and new additions
- Role of the prime broker in facilitating implementation
- Selection and evaluation of prime broker
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| | Mr John Campbell, Executive Director and Portfolio Manager, UBS Global Asset Management
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12.40 | Networking Lunch
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| WHAT DO ACTIVE EXTENSION STRATEGIES MEAN TO INVESTORS? |
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14.00 | Executive panel discussion
The story thus far: shifts in investor attitudes towards long/short strategies
- Evolution of hedge funds and where 130/30 strategies fit into
- Do enhanced active equity strategies deliver alpha?
- Performance overview and board expectations
- Appeal of the 130/30 structure
- Capital efficiency and execution of risk
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| | Mr Kent Sutherland, Investment Director, Australian Equities and Property, Victorian Funds Management Corporation Mr Greg Smith, Lead Consultant, Superannuation and Asset Consulting, Hewitt Associates Mr John Campbell, Executive Director and Portfolio Manager, UBS Global Asset Management
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14.40 | Executive presentation
Institutional investor interpretation of 130/30 strategies
- Is it hedge fund light?
- Where is the primary market risk from?
- Leverage in the context of 130/30
- Equity exposure versus alternatives exposure
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| | Mr Kent Sutherland, Investment Director, Australian Equities and Property, Victorian Funds Management Corporation
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15.10 | Afternoon tea and coffee
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15.40 | Executive presentation:
Quantitative approaches to 130/30
- Identifying alpha in both overweight and underweight stocks
- Advantages of using quantitative approaches
- Potential fallacies of fundamental and quant approaches
- Merging of fundamental and quantitative styles
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| | Don Hamson, Managing Director, Plato Investment Management
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| VITAL DIFFERENCES BETWEEN SHORTING LEVELS |
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16.10 | Executive panel discussion
Is 130/30 the most optimal shorting level?
- Insight to the 130/30 short extension strategy
- Why is it the most efficient?
- How will 130/30 enhance the performance of your equity portfolio?
- Are they designed purely for quant managers?
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| | Don Hamson, Managing Director, Plato Investment Management
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16.50 | Close of conference day one and networking drinks
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17.00 | Closing remarks from the Chair
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22 May 2008, Conference Day 2
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08.20 | Registration and welcome coffee
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09.00 | Opening remarks and special address
Emerging markets as a source of alphas - The Asian Region |
| | Dr Akbar Ali, School of Commerce, International Centre for Financial Services, University of Adelaide
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| COMPARING 130/30 WITH OTHER ACTIVE EXTENSION STRATEGIES |
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09.30 | Keynote address:
Strategy options when lifting the long only constraints
- The case for broad strategies and mandates
- Migrating from long-only to long-short to multi-strategy
- 130/30 as an alternative to hedge funds
- Is 130/30 the most optimised solution?
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10.00 | Keynote address:
Adopting an opportunistic approach in an active equity portfolio
- Structural differences in alpha generation strategies
- Advantages of 130/30
- The link between 130/30 and portable alpha
- Investor preferences towards respective fee structures
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| | Rudi Minbatiwala, Senior Portfolio Manager, Structured Equities, Colonial First State Asset Management (Australia) Limited
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10.30 | Speed Networking
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11.00 | Morning tea and coffee
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| OPPORTUNITIES AND CHALLENGES IN IMPLEMENTING 130/30 STRATEGIES |
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11.30 | Keynote panel discussion:
Battle of the shorts: hedge fund managers versus long only managers
- Is shorting a hedge fund manager domain or can asset managers short as efficiently?
- Does the nature of the prime brokerage business provide prime brokers with a natural edge?
- What skills are required to effectively short?
- Experience of asset managers with index trackers and enhanced transfer values?
- Can traditional asset managers make sufficiently sized active bets to capitalise on their extra freedom?
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| | Mr Jon Addison, Fund Manager, Meat Industry Employees' Superannuation Fund Moderator: Professor Ralf Zurbrugg, Professor, Chair in Finance, International Centre for Financial Services, University of Adelaide
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12.10 | Executive presentation:
Understanding manager strategies, implementation methods and how to integrate 130/30
- Performing due diligence on 130/30 managers
- How to construct a 130/30 portfolio
- Trading costs in 130/30 versus long only
- Turnover considerations and shortability
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12.40 | Networking Lunch
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| IMPLICATIONS OF RELAXING THE LONG-ONLY CONSTRAINTS ON RISK |
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14.10 | Executive presentation
Where do the magic numbers “130” and “30” come from?
- How does it differ from other leveraged positions?
- Determining the ‘right’ amount of leverage
- What are the factors that determine the long-short ratio and their rlative importance?
- How will competition in this industry affect capacity and alpha generation?
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| | Dr Akbar Ali, School of Commerce, International Centre for Financial Services, University of Adelaide
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14.40 | Executive panel discussion:
Potential risks/rewards associated with investing in 130/30 funds
- What are the downside risks of shorting the wrong stocks?
- Are 130/30 strategies a legitimate risk management constraint?
- Are risk and performance metrixs taken from the traditional world or hedge fund world?
- Do the advantages outweigh the risks?
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| | Moderator: Dr Akbar Ali, School of Commerce, International Centre for Financial Services, University of Adelaide Professor Ralf Zurbrugg, Professor, Chair in Finance, International Centre for Financial Services, University of Adelaide Mr Aaron Minney, Head of Alpha Strategies, Colonial First State Global Asset Management
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| MANAGER SELECTION FOR YOUR ACTIVE EQUITIES PORTFOLIO |
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15.20 | Executive panel discussion:
Factors for identifying a skilled manager to implement 130/30 strategies
- Processes, philosophy and portfolio
- Manager track record
- What skills are required for managers to effectively short?
- On-going considerations
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| | Moderator: Dr Akbar Ali, School of Commerce, International Centre for Financial Services, University of Adelaide
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16.00 | Closing remarks by chair
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16.10 | Afternoon tea and coffee
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16.30 | Close of Conference
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