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Pre-conference masterclasses, Monday 25 February 2008
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09.00 | Masterclass A:
Application, benefits and limitations of structured products for institutional investors
 Masterclasss objective: The structured product market is exploding with estimates that structured product assets under management within Australia will reach $18 billion by 2008. Increasingly, Australian investors are turning to structured products as a means of diversifying their portfolios. This masterclass puts theory into practice and will provide attendees with practical knowledge on how to improve portfolio performance through allocations to structured products.
The masterclass will be broken down into the following key sessions:
• Impact of changing economic landscape on asset allocation decisions
• Diversification benefits of using structured products
• Limitations of structured products: liquidity, fees, mark to model risk and performance transparency
• Do structured products represent a tax effective opportunity?
• Issuance vehicles
• Swaps 101: understanding the mechanics of how they work
• Investor case-studies
• Practical application:
1. Where do structured products fit within a portfolio
2. What portfolio percentage should be dedicated to structured investments
3. Hedge fund replication strategies
4. Hedging strategies
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12.30 | End of Masterclass A
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13.30 | Masterclass B:
Asset allocation strategies for alternative investments
 Dr David Lee, Principal, Mercer Investment Consulting, Australia David is responsible for servicing a number of key clients and developing investment solutions involving alternative assets. David brings with him over 25 years experience in a wide range of asset consulting assignments for major Australian, New Zealand and Asian superannuation funds and other financial institutions.
Prior to joining Mercer, David was Managing Director, Global Strategic Services for Citigroup Asset Management, New York and London.
Masterclass objective: To explore the magnitude of issues associated with investing in alternatives, in particular strategic approaches. Take advantage of this unique opportunity to benefit from worldwide growth and knowledge in alternatives, as you learn and network with international experts and leading investors. Evaluate, optimise and profit from best practice strategies to invest in hedge funds, private equity, commodities, infrastructure, emerging markets and other alternative assets and strategies.
The masterclass will be broken down into the following key sessions:
• Evaluating the changing investment environment
• Analysing the hottest asset classes
• Integrating alternative asset classes into an existing portfolio
• Managing alternative investment portfolios
• Accessing top tier managers
• Managing risk
• Benchmarking for alternatives – what’s available?
• Fees and cost structures |
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17.00 | End of Masterclass B
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Summit Day One, Tuesday 26 February 2008
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07.15 | By invitation only – Breakfast session for institutional investors
Fixed income: looking beyond the benchmark
- Bill Bovingdon, Head of Fixed Income, Aberdeen Asset Management, Australia
- Leanne Bradley, Product and Investment Specialist, Aberdeen Asset Management, Australia
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08.15 | Registration and welcome coffee
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08.50 | Opening remarks from the chair
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| STAYING AHEAD ON THE GLOBAL STAGE |
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09.00 | Keynote address:
New challenges in strategic asset allocation
- Performance of major asset classes and asset mix
- Global trends in equity, fixed income and property
- New opportunities for diversification with the alternatives portfolio
- Impact of market dynamics on fund performance
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09.40 | Keynote address:
Innovations and strategies at the Future Fund
• Opportunities and challenges
• Benefits of a longer-term investment horizon
• Building a global centre of investment excellence
• Creating an investment process |
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10.20 | Morning Tea and Coffee
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10.50 | Q&A with keynote speakers |
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11.30 | Executive keynote panel discussion:
Asset diversification strategies of leading funds
- Challenges in building a strong mix
- Balancing risk return in a volatile market environment
- Diversification by assets and geography
- Balanced portfolios versus specialist mandates
- High risk strategies: dangerous or innovative
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| | Moderator: Mr. Roger Urwin, Global Head of Investment Consulting, Watson Wyatt (UK) Mr. Syd Bone, Chief Executive Officer, Victorian Funds Management Corporation Mr Sean Henaghan, Investment Director, International and Future Directions FUnds, AMP Capital Investors
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12.10 | Keynote address:
Trends in US pension markets: emergence of 130/30 and other alternatives
- How are pension funds driving growth of 130/30 strategies?
- Implementing a 130/30 strategy: an investor’s perspective
- Challenges and results of 130/30 strategies
- Opportunities created by new alternatives
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12.40 | Networking lunch
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| STRATEGIC ASSET ALLOCATION INSIGHTS |
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14.10 | The global perspective on asset allocation
opportunities that arise from a global view
the considerations for allocating globally
using derivatives to mitigate risks as well as create opportunities
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| | Mr Donald Amstad, Head of Fixed Income Asia Pacific, Aberdeen Asset Management Limited
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14.30 | Best-in-class case study:
Strategic asset allocation in a volatile market place
- Execution of asset allocation policy in a volatile market
- Achieving optimal asset allocation
- New role of bonds and equities in your asset mix
- Identifying dynamic assets that will deliver the greatest returns
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| | Dr. Leo de Bever, Chief Investment Officer, Victoria Funds Management Corporation
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15.00 | Executive panel discussion:
Investment strategies of endowments
- Objective of endowment fund
- Advantages of long term investment horizons
- Focus of asset allocation decisions
- Fund manager selection process
- Challenges in managing an endowment fund
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| | Moderator: Mr Robert Walton, Chief Executive Officer, Claremont University Consortium Mr Sin Tho Wee, Chief Investment Officer, National University of Singapore Investment Office
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15.40 | Afternoon tea and coffee
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| RISING EMPHASIS ON VOLATILITY AND RISK MANAGEMENT |
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16.10 | Presentation:
What happens when high risk alternatives perform badly?
- Adverse publicity: impact on trustee and fund
- Managing risk of alternative investments
- Monitoring, valuation and financial reporting
- Internal controls and best practices
- Role of the trustee in managing risk of sophisticated investments
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16.40 | Executive panel discussion:
Have investment vehicles become overly complex
- Enhanced sophistication in risk management
- Rising popularity of portfolio structures that recognise underlying liabilities
- Value-at-risk risk budgeting frameworks
- Beyond conventional methods of risk assessment
Chair:
Glenn Langton, Principal, GCL Consulting, Australia
Panellists:
Tim Hughes, Chief Investment Officer, Catholic Super, Australia
Tobias Buecheler, Chief Investment Officer, Allianz Australia Insurance, Australia
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17.20 | Executive panel discussion:
Measuring risk of non-traditional asset classes
- Infrastructure, private equity and hedge funds
- Liquidity, tactile and value-at-risk
- Integrating risk characteristics of traditional and non-traditional risks
- Role of tactical asset allocation in risk management
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18.00 | Closing remarks from chair and close of Day One
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18.10 | Networking cocktail party
Sponsored by:
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19.00 | Official Conference Gala Dinner pre-dinner drinks
All pre-registered dinner attendees should proceed to Level 16 – Astral Restaurant - PLEASE NOTE THIS HAS NOW SOLD OUT
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19.30 | Commencement of Official Conference Gala Dinner
Dress code: Business Attire
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22.00 | End of Official Conference Gala Dinner
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Summit Day Two, Wednesday 27 February 2008
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08.15 | Registration and welcome coffee
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09.00 | Opening remarks from the chair
Mike Taylor, Editor, Super Review, Australia
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| NEW APPROACHES TO ASSET ALLOCATION |
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09.10 | Executive keynote debate:
The motion: Some allocators argue that passive investment strategies deliver superior returns and will outperform active management strategies in the long term
Key driver of growth for passive investing: separation of alpha and beta
Consequence of enhancing indexing
Can active managers beat the index in the long term?
Picking the right managers versus picking the right stocks
Identifying the most efficient long horizon approach to outperforming the market
- Transforming beta into alpha through smart asset allocation and regular rebalancing
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| | Moderator: Mr Andrew Lill, Director of Investment Consulting, Russell Investment Group
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10.00 | Keynote address:
The new science of asset allocation
- Relevance of a benchmark in evaluating portfolio performance
- New challenges in today’s investment climate
- Dynamic strategic asset allocation
- Trends, strategy and decision making
- What funds will look like in 5-10 years
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10.30 | Keynote address:
What asset allocation strategies are international pension funds moving towards?
- Looking beyond traditional models
- Is the strategic asset allocation model still relevant?
- How ambitious should one be with dynamic asset allocation?
- Challenges in active management in a volatile market
- How does it fit within the overall risk model?
- Evaluation of adopting a global tactical asset allocation model
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11.00 | Speed Networking - bring 200+ business cards followed by morning tea and coffee
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11.45 | Best-in-class case study:
Asset allocation to alternatives
- Defensive alternatives versus growth alternatives
- Understanding the special characteristics of alternative assets
- Strong performance of alternative assets
- Concept of reverse asset allocation: putting alternatives at the core
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12.15 | Keynote address:
No more alpha and beta...where are the attractive risk premia?"
There are no shortage of buzzwords in our industry and these two Greek letters have dominated trade publications over the last 24 months. This discussion will identify pockets of the capital markets that are currently offering compelling opportunities but do not fall into traditional asset allocation "buckets". The discussion will include a new framework for thinking about market risk premia and organizational structures that support researching, identifying and investing in the next “alternative”.
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| FORWARD STRATEGIES IN MAXIMISING PORTFOLIO RETURNS |
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12.45 | Round Table Discussions
Round table 1: Tax adjusted indices as a performance measure: applying Australian tax rules to construction methodology
Jamie Perrett, Head of Index Design, FTSE Group, United Kingdom
Round table 2: Identifying growth alternatives for long-horizon investors: what are the latest trends?
Michael Coop, Head of Alternative Investments, Intech Investment Consultants, Australia
Round table 3: How does asset liability management fit within your risk management framework?
Mark ten Hove, Group General Manager, Investments, QBE Insurance, Australia
Round table 4: What are the roles and responsibilities of international credit rating agencies?
John Evans, Associate Professor of Actuarial Studies, University of New South Wales, Australia
Round table 5: Is the industry overly focused on rankings and peer group comparisons?
Jeffrey Bresnahan, Managing Director, SuperRatings, Australia
Round table 6: Is residential real estate the next major alternative asset?
Dr David Lee, Principal, Mercer Investment Consulting, Australia
Round table 7: Beyond Alpha and Beta
- the search for the next “alternative” - Specific “alternative, alternatives”, the governance framework for successfully investment in this area and other considerations and benefits
Paul Robson, President, Northwater Capital Management Inc, USA
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13.20 | Networking lunch
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14.00 | Executive presentation:
New market frontiers: investing in European real estate
- Overview of European real estate markets
- What type of returns can be expected?
- Impact of off-shore investments on overall portfolio
- Risk management strategies for off-shore investors
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14.30 | Executive panel discussion:
How are investors integrating ESG issues into their investment decisions?
- Importance of understanding ESG principles and risks in obtaining better returns
- Relevance of ESG for Australia’s superannuation funds
- How are super fund signatories implementing ESG?
- What do investors need to focus on when analyzing ESG risks?
- Should systematic ESG risk assessment be made compulsory when analyzing new investments?
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| | Moderator: Ms Helga Birgden, Head of Responsible Investing, Mercer Investment Consulting (Asia Pacific) Mr. Tim Hughes, Chief Investment Officer, Catholic Superannuation Fund
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| INNOVATIONS IN TACTICAL ASSET ALLOCATION STRATEGIES |
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15.10 | Executive presentation:
Relevance of policy betas and smart betas in asset allocation
• Relevance of policy betas in asset allocation using Asset only and A-L or LDI framework
• Case for optimizing alphas and betas separately to synthesize efficient investment returns
• The Alpha soup
• Strategies for sourcing cheap and efficient betas including alternative betas
• Enhanced indexed or smart beta strategies including next generation products
Jayesh Bhansali, Head of Derivatives Strategies and Trading, TIAA-CREF, USA
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15.40 | Afternoon tea and coffee
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16.10 | Keynote address:
Planes, Trains and Ships - A new direct alternative asset class
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16.30 | Best-in-class case study:
Alpha beta separation and portable alpha
- Managing AP3’s beta exposure in a more dynamic fashion
- Benefits of alpha beta separation for pension funds
- Strategies in GTAA
- Impact of governance budget
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| STRATEGIES FOR ALTERNATIVE ALLOCATIONS |
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17.00 | Executive panel discussion:
Evolution of alternative allocations
Impact of US Subprime crisis
How to efficiently allocate to alternatives?
Challenges in long term absolute investing
Chasing yield: fixed income and absolute returns
Implications of lower returns in a bear market
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| | Moderator: Mr Tony Cole, Investment Consulting Leader Asia Pacific, Mercer Investment Consulting Mr David Cannings, General Manager, Investment Services, Anglican Church, Diocese of Sydney
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| FUTURE TRENDS IN PORTFOLIO MANAGMENT |
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17.40 | Executive panel discussion -
Does alpha still matter?
- Is too much time and money being spent in the pursuit of alpha
- Opportunity costs of the alpha hunt
- Alpha generating opportunities in active currency management
- Benefits of limited shorting
- Is portable alpha a long term strategy or a short term tactic
- Emerging market alpha
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18.20 | Closing remarks from chair and close of conference
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Post-conference masterclasses, Thursday 28 February 2008
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09.00 | Masterclass C:
Investing in 130/30 strategies
Masterclasss objective: 130/30 funds have sparked a tidal wave of interest from institutional investors. The number of searches for this strategy has increased over 1000% in the first half of 2007 compared to 2006 and the list of traditional and hedge fund managers offering 130/30 funds grows longer each week. Australian superannuation funds have started a love affair with 130/30 funds and the trend is set to boom in 2008. Capital normally allocated to long only managers and hedge funds is finding it’s way into new 130/30 fund vehicles. Masterclass attendees will find out the latest intelligence on this rapidly evolving field, assess new fund strategies and walk away with practical tips on implementation.
The masterclass will be broken down into the following key sessions:
- What is 130/30 investing
- Merits and demerits of 130/30 funds
- Relaxing the long-only constraint
- 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
 Dr Susan Mangiero, President and CEO, Pension Governance, USA <
Dr Mangiero provides investment risk and valuation consulting for pension trustees, regulators, audit and compliance firms, hedge fund professionals, and attorneys. She is Managing Member of BVA, LLC and founder of Pension Governance, LLC. She is the leading contributor to the pension blog, Pension Risk MattersSM has twenty years of experience in capital markets, global treasury, asset-liability management, portfolio management, economic and investment analysis, derivatives, financial risk control and valuation at global organizations.
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12.30 | Masterclass Ends
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13.30 | Masterclass D: Global best practices in hedge fund valuation and risk management
Dr Susan Mangiero, President and CEO, Pension Governance, USA
Dr Mangiero provides investment risk and valuation consulting for pension trustees, regulators, audit and compliance firms, hedge fund professionals, and attorneys. She is Managing Member of BVA, LLC and founder of Pension Governance, LLC. She is the leading contributor to the pension blog, Pension Risk MattersSM has twenty years of experience in capital markets, global treasury, asset-liability management, portfolio management, economic and investment analysis, derivatives, financial risk control and valuation at global organizations.
Masterclass objective: Valuation numbers drive nearly every financial decision. Valuation is a subset of risk management, and it is impossible to have good risk management without a good valuation process in place. Hedge fund managers need to know how to rebalance their portfolios, adjust risk management positions and report numbers to investors upon which they earn their fees. As an institutional investor, you also have a responsibility to thoroughly vet the manager’s evaluation process and to ensure that numbers are provided by an independent third party.
The masterclass will be broken down into the following key sessions: • Significance of valuation for hedge fund managers and institutional investors
• What is the biggest risk for hedge funds in valuation?
• What does a hedge fund valuation process entail?
• What should institutional investors be asking about hedge fund valuations?
• Difficulties in valuing private equity holdings and complex derivatives
• How can hedge fund managers improve the valuation process
• Global best practices in hedge fund valuation |
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17.00 | Masterclass Ends
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