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Day One Wednesday, November 7th, 2007
8:50 Chairman’s opening remarks
James Dunn, Managing Director, Wilshire Associates
PORTABLE ALPHA AND YOUR PORTFOLIO
9:00 Keynote Address: The mechanics of portable alpha
• Distinguishing alpha from beta
• How is alpha ported?
• Managing overlays
• When is portable alpha viable?
• Understanding the benefits and risks of this strategy
Yoshiki Ohmura, Managing Director, Head of Portable Alpha Strategies, GAM
9:30 Keynote debate: Has portable alpha lived up to the hype?
• What has precipitated the move to alpha-beta separation and portable alpha?
• The evolution of portable alpha in the US and around the world
• What has been the effect for investors?
• What does “portable alpha” mean today? Is alpha really being ported or is it all about alpha?
Sabrina C. Callin, Executive Vice President, PIMCO
Angelo Calvello, Executive Vice President, Man Investments
10:15 Morning Break
CHOOSING OPTIMAL ALPHA ENGINES
10:55 Special address: Is alpha a zero sum proposition?
• Is there enough alpha to go around
• Can alpha be sustained?
• When does alpha become beta?
• What does this mean for plan sponsors?
Randy B. Cohen, Associate Professor, Harvard Business School
11:25 Panel session: Finding alpha in fixed income and FX
• Diversifying your alpha portfolio outside of equities
• Expanding the universe of fixed income – distressed debt, local currency denominated debt
• Currency strategies
Peter Cordrey, Managing Director and Product Manager, Pru Alpha Strategy
Virginia R. Parker, Founder and Managing Member, Parker Global Strategies
12:10 Lunch
1:50 Panel session: Hedge fund alpha engines
• Why use hedge funds as an alpha source
• Using an investable hedge index as an alpha engine
• How to identify alpha and steer clear of embedded betas
• Funds of hedge funds: do fees overwhelm alpha returns?
Jeb Doggett, Founding Partner, Casey, Quirk & Associates
Robert E. Kiernan III, Principal and Chief Executive Officer, Advanced Portfolio Management
Edward Kung, Managing Director, Alternative Investment Manager, Babson Capital Management
Theresa R. Patti, Director of Business Development and Investor Relations, Quantitative Financial Strategies
Marcus Storr, Deputy Head of Hedge Funds, Feri Institutional Advisors GmbH
BETA SOURCES
2:35 Panel Session: Managing Beta
• In the quest for alpha it is easy to lose sight of beta
• Beta sources – choosing benchmarks
• Getting comfortable with derivatives – financing costs, leverage and liability
• Rebalancing
• Liquidity
Donna Howe, Head of Hedge Fund Risk Management for Fixed Income, UBS
Jason Hsu, Principal, Director of Research and Investment Management, Research Affiliates
Kay P. Torshen, President, Torshen Capital Management
3:20 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.
4:10 Afternoon break
MANAGING RISK
4:30 Risk budgeting
• Where should risk be spent
• Differentiating between alpha and beta risk
Adam Kobor, Senior Investment Officer, The World Bank
PORTABLE ALPHA IN PRACTICE
4:50 Panel session: Effective structuring of a portable alpha program – unbundled versus turnkey solutions
• Building versus buying beta
• Choosing and monitoring alpha and beta managers
• Turn-key solutions
• Structured products
• Fee and risk implications for each of these strategies
Christopher Meyer, Managing Principal/Chief Investment Officer, Fund Evaluation Group
Charnel Benner, Retirement Administrator, Marin County Employee Retirement Association
Kevin Hanney, Director, Portfolio Investments, United Technologies Investment Management Co
Jack Hansen, Chief Investment Officer, Clifton Group
5:30 Close of day one
Day Two Thursday, November 8th, 2007
8:50 Chairman’s opening remarks
James Dunn, Managing Director, Wilshire Associates
COMPARING 130/30 STRATEGIES AND PORTABLE ALPHA
9:00 Panel session: A side-by-side look at portable alpha and short-extension strategies
• What are the similarities and differences between portable alpha and 130/30?
• How do investors view these strategies? Will they allocate capital from the same areas?
• What are the strengths and weaknesses of each strategy?
• Who is better able to deliver each strategy – traditional long-only managers or hedge fund managers?
• If “30” is an optimal number, does this have implications for certain portable alpha strategies?
Christopher Holt, Editor, AllAboutAlpha.com
Panelists:
Tristram S. Lett, Managing Director, Alpha Beta Strategies, Integra Capital Management
James E. Francis, CEO, Paradigm Asset Management
Soonyong Park, Managing Director, Traditional Manager Research, RogersCasey
UNDERTANDING SHORT-EXTENSION STRATEGIES
9:45 The Need for the First Time… Why 130/30 Managers Require a Prime Broker?
• Why the demand from institutional managers to launch 130/30 products?
• Relaxing the long-only constraint: The introduction of a prime broker
• Securities lending: Understanding shorting and assessing the risks
• Enhanced leverage: Using short proceeds to achieve the “130” side of the long equation
• Global Tri Party (40 Act/UCITS III): Partnering with your global custodian
• UBTI Reporting: Solutions for tax sensitive investors
• Risk monitoring: Tools to manage portfolio construction and maintain the 130/30 balance
• Tailored capital introduction: Connecting 130/30 managers with the active equity investment community
Barry Bausano, Managing Director, Co-Head of Global Prime Finance, Deutsche Bank
10:30 Morning break
11:10 130/30 101
• How will they increase return without increasing risk?
• Quantitative versus fundamental approaches
• What to consider when choosing a 130/30 manager
• 130/30 funds: fad or tipping point
Charles B. Krusen, Partner, Director of Strategic Planning, Copernicus International/ Alpha Equity
Florian Weber, Senior Associate, Wilshire Funds Management
Robert Weigand, Professor of Finance and Brenneman Professor of Business Strategy, Washburn University School of Business
11:55 Narrowing the gap between traditional and alternative – how alternative are 130/30 strategies
• The great debate – can short-extension strategies be considered hedge funds
o Yes
o No
• What implications does this have for asset allocation?
Steve Galbraith, Limited Partner, Maverick Capital
Rick Roberts, Partner, First Quadrant
12:40 Lunch
IMPLEMENTING 130/30
2:25 Getting comfortable with 130/30 investing
• The current state of the 130/30 market
• Benefits of 130/30 Strategies
• 130/30 players -- Managers & Investors
• Risks associated with shorting
• Financing Solutions for Quantitative Strategies
Michael Lawsky, Managing Director, Capital Markets Prime Services, Lehman Brothers
2:50 130/30 and hedge funds: the fight for fees and alpha
• The entrance of 130/30 managers has the potential to create competition for hedge funds on the cost of securities lending and margin financing
• How will competition in this industry affect capacity and alpha generation
Josh Galper, Managing Principal, Vodia Group
3:10 Case study: Implementing a 130/30 strategy, an investor perspective
• The attraction of 130/30 funds
• What have been the challenges
• What have been the results thus far
TJ George, Principal Investment Officer, The World Bank
3:30 Afternoon break
4:00 Establishing whether there is an optimum level of shorting: 120/20, 130/30, 140/40…?
• Understanding the factors which determine the long-short ratio and their relative importance
• Determining the “right” amount of leverage
Steven Sapra, Portfolio Manager, Analytic Investors
4:25 The next generation of 130/30 funds
• What will the next generation of 130/30 funds look like?
Joseph Leung, Board Member and Head of Global & International Equities, Fuller & Thaler Asset Management
5:00 Close of conference
Post-conference workshop: The definitive primer on implementing 130/30 strategies
Friday November 9, 2007
09:00-12:00
The definitive primer on implementing 130/30 strategies
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 explore in-depth and step-by-step what needs to be done to implement these funds. We will walk through short selling, securities lending, leveraging and risk management.
The smaller nature of this course will allow for plenty of interaction and the opportunity to address specific questions and concerns. If you are an investor looking to introduce 130/30 funds to your portfolio or an asset manager seeking to launch a fund, this is a MUST ATTEND course.
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