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DAY ONE
Monday, October 29, 2007
8:50 Chairman’s opening remarks
AN ALTERNATIVE BETA PRIMER
9:00 Alternative beta: enlarging the vocabulary of hedge fund returns
• Defining alternative beta
• How much hedge fund returns are attributable to alternative beta?
• What single strategies can be replicated via alternative beta strategies
• Identifying alternative beta risk premia
• What are the implications for a fund of hedge funds, in terms of portfolio construction and manager selection
Speaker:
David A. Hsieh, Bank of America Professor of Finance, Fuqua School of Business, Duke University
9:30 Keynote address: Alternative Beta Strategies: A new paradigm to the hedge fund industry - experiences from three years of investing in alternative risk premia
• Exploring the difference between alpha and beta
• Replicating alternative beta through factor models and the limitations thereof
• From replicating factor strategies to alternative beta strategies
• Examining beta strategies in real trading
• Choosing beta over alpha? A core satellite approach to hedge funds
Speaker:
Dr. Lars Jaeger, Partner and Head of Alternative Beta Strategies, Partners Group
10:00 Morning tea
ALLOCATING TO ALTERNATIVE BETA
10:40 Allocating to alternative beta
• Creating strategy-specific alternative betas
• Which alternative betas do we consider?
• What are the properties of alternative betas?
• What role can alternative betas play within an overall portfolio?
Speaker:
Christopher J. Acito, Managing Director and Global Chief Operating Officer, Hedge Funds, N.A. Investcorp LLC
11:10 Critical features required to identify alternative betas in hedge funds
• How important are non linearity and time lag effects in analyzing hedge fund risk?
• How can we properly integrate non-linear behaviour, correlation breaks under a market crisis and lagged impact within a structured framework?
• How can these concepts be used in portfolio construction and risk mitigation?
Speaker:
Dr. Raphael Douady, Founder & Head of Research, Riskdata S.A.
FROM INDEXING TO REPLICATION
11:40 From Indexation to Replication: Implications for the hedge fund industry
• Should alpha be measured against a hedge fund index?
• Clarifying common alpha, beta and benchmarking misnomers
• Indexation strategies pave the way for hedge fund replication models
• Hedge fund replication models -- tapping into alternative beta
Speaker:
Oliver Schupp, Managing Director and President, Credit Suisse Tremont Index LLC
12:10 Lunch
1:50 Replicating hedge fund returns synthetically: theory and practice
• Can one access similar risk premiums hedge funds enjoy systematically?
• Can these exposures be packaged into liquid, low cost and transparent vehicles for broad distribution?
• The importance of having more than one approach to replication
• Why synthetic replication will change the way investors think about and invest in hedge funds
• Merrill Lynch Synthetic Hedge Fund Replication Strategies - liquid, low cost, transparent alternatives to fund of funds, and a range of single manager hedge fund styles
Speakers:
Benjamin Bowler, Managing Director, Co-Head of Global Equity Linked Research, Merrill Lynch
Heiko Ebens, Managing Director, Head of Americas Equity Derivatives Research, Merrill Lynch
2:20 Five checkpoints of hedge fund replication investing
• Pitfalls to avoid when specifying risk premium
• Human intervention versus fully automatic replication. Adding alpha to the beta replication process?
• Minimizing model risk - Is the discussion of Non-Linear behavior appropriate for the current replication products on offer.
• Why adding volatility to these products isn’t the best approach to replication
• Fee structures: what exactly are you replicating?
Speaker:
Toby Chapple, Director, Head of Hedge Fund Replication, Deutsche Bank AG
2:50 Modeling and replicating hedge fund returns
• True returns vs. reported returns—when is there a difference and why does it matter?
• So many assets, so little data—choosing the right replicating instruments
• Instability in hedge fund strategies vs. estimation error
• HedgeIQ—an ETF-based approach to hedge fund replication
Speaker:
Robert Whitelaw, Edward C. Johnson 3D Professor of Entrepreneurial Finance and Co-Chair of the Finance Department, Leonard N. Stern School of Business, New York University; and Chief
Investment Strategist, IndexIQ
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
ALTERNATIVE BETA AND PORTFOLIO CONSTRUCTION
4:30 Panel session: Using alternative beta to benchmark and reward manager performance
• Alternative beta as a benchmark
• Institutional investors, family offices and funds of hedge funds discuss how a greater understanding of alternative beta affects their manager selection
Moderator:
Richard C. Kang, Independent Investment and Risk Consultant, Editor, The Beta Brief
Panellists:
Christopher J. Acito, Chief Operating Officer, Hedge Funds, Investcorp
Daniela Klingebiel, Principal Investment Officer, The World Bank Pension Fund
Cynthia Nicoll, Chief Investment Officer, Tremont
Laurence Siegel, Director of Research, Ford Foundation
5:15 Alternative Betas and Hedge Fund Replication within Optimal Portfolio Construction
Speaker:
Neil Simons, Vice President, Northwater Capital Management
5:35 Networking drinks reception
DAY TWO
Tuesday, October 30, 2007
7:30 Private investor breakfast (by invitation)
An introduction to Goldman Sachs' alternative "beta" index, "GS-ART"
• Goldman Sachs' approach to modeling and identifying alternative beta
• An evaluation of ART vs. the hedge fund universe (i.e. "how well does it work?")
Greg Kuppenheimer, Managing Director, Goldman Sachs
8:50 Chairman’s opening remarks – a review of day one
SYNTHETIC HEDGE FUNDS
9:00 Why Replicate if You Can Create?
• The FundCreator approach to synthetic fund creation.
• Optimal diversification and the (sub-)zero correlation fund.
• Hedge fund and hedge fund index returns without investing in hedge funds.
• Out-of-sample performance and robustness of the FundCreator procedure.
Speaker:
Harry M. Kat, PhD, Professor of Risk Management and Director,
Alternative Investment Research Centre, Cass Business School, London
ATTACK OF THE CLONES
10:00 The next generation of hedge fund replication strategies
• Implementing hedge fund strategies via rule based trading
• The transparency advantage
Speaker:
Patrick McAllister, Executive Director, Morgan Stanley
10:30 Morning break
11:00 Expert panel: synthetic hedge funds – a serious alternative?
• What has been the track record thus far for synthetic hedge funds? Have they lived up to their promises?
• Will alternative betas alone produce attractive risk-adjusted returns?
• Can alternative betas really be consistently isolated and captured?
• Which is the best approach to creating synthetic hedge funds?
• In-sample vs out-of-sample results
• What are the pitfalls of these products?
• Looking ahead to new trends in hedge fund cloning
Moderator:
Dr. Jonathan Kinlay, Adjunct Professor, NYU Stern School of Business
Panellists:
Clifford S. Asness, Managing and Founding Principal, AQR Capital Management
Dr. Lars Jaeger, Partner and Head of Alternative Beta Strategies, Partners Group
Harry M. Kat, PhD, Professor of Risk Management and Director Alternative Investment Research Centre, Cass Business School, London
12:00 Lunch
1:40 Efficient replication of hedge funds
• Overview of dynamic replication of hedge fund trading strategies
• Benefits of replication strategies
• Potential problems in implementing a replication strategy
• Implementation of dynamic replication
• New areas of hedge fund replication
Speakers:
Tom Schneeweis, Professor of Finance and Director/CISDM, University of Massachusetts
Hossein Kazemi, Professor of Finance and Assoc Director/CISDM, University of Massachusetts
2:40 Afternoon refreshments
3:10 Investor appetite for cloned products
• Which type of investors are interested and why?
• Is increased transparency, liquidity and lower fees sufficient compensation for reduced alpha expectation?
• Tax implications for private investors
• Can replicas be used to build better portfolios?
• What are the retail implications for these products?
Panellists:
Daniel Celeghin, Associate Director, Casey, Quirk & Associates
David Gordon, Partner, Veritable LP
Tammer Kamel, President, Iluka Hedge Fund Consulting
THE FUTURE OF PASSIVE ALTERNATIVE INVESTMENT
4:00 Special address: Where do we go from here? The future of the active hedge fund industry
• What has been the response of hedge fund managers to the latest developments in replication technology and research?
• Where do we go from here?
Speaker:
Clifford S. Asness, Managing and Founding Principal, AQR Capital Management
5:00 Chairman’s closing remarks
Post-conference Workshop
Wednesday, October 31, 2007
RISK TRANSPARENCY FOR HEDGE FUND INVESTORS
Introduction:
The operation of robust risk budgeting and risk management procedures is fundamental to the investment process of all institutional investors. Within this, risk transparency is becoming an ever more important and topical issue.
This “Risk Workshop” is tailored to the needs of institutional investors in hedge funds, including; funds of hedge funds, pension plan sponsors, large family offices, endowments and institutions, traditional multi-manager providers expanding into alternative investments, investment advisors and consultants.
Workshop participants will learn, from one of the industry’s most respected practitioners, sophisticated techniques for incorporating risk and liquidity issues into the investment process, with particular emphasis on the crucial issue of risk transparency.
Workshop agenda
08:30 Registration and refreshments
09:00 Welcome and introduction
RISK BUDGETING
09:10 Risk Budgeting & Reverse Optimization
- How to integrate uncertainty on expected future performance and liquidity problems within the portfolio construction process
- How to enhance the investment process using a risk budgeting framework
10:15 Morning refreshments
RISK TRANSPARENCY
10:40 How to use Risk Transparency
- For operational risk monitoring
- To feed an Asset Liability Management process
11:20 Which types of indicators comply with institutional risk transparency requirements?
- How can we assess an indicator’s reliability?
- Out of sample back testing
11:50 Conclusions - where to go from here?
12:00 End of workshop
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