• Separating conventional from alternative beta – but what
  about alpha?
• How much hedge fund returns are attributable to alternative
  beta?
• The challenges of hedge fund beta measurement, and how to
  overcome them
• What single strategies can be replicated via alternative beta
  strategies?
• Identifying alternative beta risk premia and the advantages of
  diversified streams of premia

• Identifying the issues that trustees have with hedge fund
  investment
• The solution: transparent, scalable exposure to hedge funds
• Forecasting the risk and return for the different alternative
  beta’s we consider
• Assessing scenarios – which return strategies will succeed?
• Assessing “decorrelation” in an equity market crash

• Distinguishing alpha from beta
• The desirable and undesirable characteristics of alpha
• Why use hedge funds as an alpha source?
• What does portable alpha mean today?
• How is alpha ported and the tools and structures available
• Understanding the benefits and risks of this strategy?

• The global evolution of portable alpha. How have the
  products developed?
• What are the effects on investors?
• Portable alpha in the global market vs. portable alpha in South
  Africa
• Challenges and solutions for implementing these products

• Selecting a manager, assessing and monitoring their
  performance
• What procedures and processes will a pension fund go
  through in order to implement portable alpha?
• Trustee perceptions and how to change them

An in depth study into how the London Pensions Fund Authority
has sought to generate alpha (and beta) from alternative
sources to reduce risk and volatility from the global equity alpha
strategy within their return seeking fund.

Speed networking and afternoon
refreshments – bring your business cards

• Distinguishing alternative beta and alternative alpha
• Exotic beta – the grey area between alpha and beta
• What is the true source of excess returns?
• Implications for managers and investors

• Current developments and implications of 130/30 in the
  market
• Why is there a need for 130/30 funds and what are they
  setting out to achieve?
• Are portfolio constraints destroying the alpha creation in your
  portfolio?
• How will they achieve increased return without increasing
  risk?
• What are the risks associated with shorting?
• Reaping the benefits of 130/30 strategies?

• Factors which determine the long-short ratio and their relative
  importance
• Determining the optimum leverage for your scheme
• Alpha functions – their importance of setting optimal
  extension ratios
• Offset correlation – impact on risk – adjusted return

• Why should an institutional investor consider implementing
  130/30 strategies?
• What to consider when choosing 130/30 funds?
• Implementation issues should an investor anticipate
• The legal restraints/implications on 130/30 investing in South
  Africa?

• Can one access similar risk premiums hedge funds enjoy
  systematically?
• Can these exposures be packaged into liquid, low cost
  transparent vehicles for broad distribution?
• Dynamic replication of HF trading strategies and
  implementing them
• Should alpha be measured against a hedge fund index?
• Indexation strategies pave the way for hedge fund replication
  models
• Hedge fund replication models, tapping into alternative beta
• Implications for HF managers, FOF managers & multimanagers

• Can index returns really be replicated consistently?
• Can replication models really outperform good hedge funds?
• What happens when hedge funds fail to deliver returns, or
  change their strategy?
• Replication South African hedge fund industry – opportunity
  or impossibility?

• Betas vs. Risk Factors vs. Risk Premia
• Defining the ‘normal portfolio’
• Fama-French long/short model
• Portable Alpha vs. Portable Beta vs. Core – Satellite
• Risk Budgets (Leverage, Correlation, Volatility, CVAR)
• Time-period specific vs. simulation benchmarking
• Absolute return vs. single – vs. multi-factor benchmarking vs.
  payoff-profile

• Is your manager and Alpha or Beta manager? How to identify
  the true source of the returns they deliver?
• Does the source of these returns matter and why?
• Key quantitative tools for understanding the source of your
  returns.
• What manager characteristics are most highly prized?
• How to effectively structure incentive fee contracts to reward
  skill-based returns?

ObjectivesThrough implementing liability driven investment strategies using
techniques that differentiate between alpha and beta strategies,
investment managers can provide their clients with far more efficient
risk and return frameworks.
By separating investor assets into two portfolios, one focused on
liability protection and one focused on asset growth, managers have
wider range of investment options and fewer constraints than exist in
traditional institutional investment frameworks.
You will learn how to implement an LDI structure that allows the
separation of liability driven alpha and beta strategies. Our skilled
workshop leaders will highlight how it works and some of the
investment options available.
If you are an investment manager or investor looking for new and exciting
investment structures and strategies; this is the workshop for you!

Agenda

• Identifying and understanding the risk and return framework of
liabilities
• Determining those assets required in the beta portfolio and those in
the alpha portfolio
• Identifying liability based objectives and benchmarks
• Interaction between the alpha and beta portfolios
• The limitations of traditional methodologies

• Constructing liability matching portfolios
• Passive or active management
• Gearing assets to free up additional alpha assets
• Case study

• Must outgrow liabilities to earn alpha – not generic indices
• Structuring pools of assets to meet objectives
• Multi asset class structures
• Constrained vs. unconstrained investing
• Must understand risk/reward behavior of liabilities
• Case study

Financial professionals
Institutional and private investors
Investment managers

Alan Glatt is a Partner with Alpha Equity Management. One of the
pioneers in the 130/30 marketplace, Alpha Equity is currently managing
products in multiple asset classes with six year track records. Mr. Glatt,
who has over 20 years experience in financial services, began his
career with Smith Barney Harris, Upham, in the institutional sales area.
He subsequently worked as a vice president in the Institutional and
Individual Service Group at DLJ. In 1990, he began at Morgan Stanley
& Co, where ultimately he had oversight for $ 6 billion in client assets
as a principal of the firm. In late 2002, he joined Mariner Investment
Group, as the President of Mariner Wealth Management Group,
conceived to introduce alternative investment products to high net
worth individuals, family offices, foundations, endowments and other
institutions interested in investing in both hedge fund and fund of
funds. Mr. Glatt is on the Board of Trustees of the Southampton
Hospital Foundation and is a past treasurer for New York's Henry Street
Settlement as well as a long time member of the steering committee
of Henry Street Armory Art show.