|
Day One: Monday, September 22, 2008
|
8.30am | Breakfast and registration
|
9am | Chairman’s opening remarks
|
| |
|
| SETTING THE STAGE |
|
9.10am | Special address: redefining alpha and beta
- How can investors best use an alpha-beta framework to manage their portfolios?
- Discussing the "conventional" definitions and usage of alpha and beta.
- Thinking about alpha and beta non-conventionally and the role hedge funds play
- What is "hedge fund beta" and how does it fit into the mix?
- How have alpha and beta evolved and what the future might bring?
|
| | Tobias J. Moskowitz, Professor of Finance and Neubauer Family Faculty Fellow, Consultant, University of Chicago, Graduate School of Business; AQR
|
9.40am | Keynote panel session: alpha and beta in institutional portfolios
- How are institutional investors thinking about alpha and beta in their portfolios?
- What do institutional investors want from hedge funds and how has that changed?
- Is 2&20 at risk?
- What are the potential benefits of passive investment?
|
| |
|
10.25am | Morning break
|
| ALTERNATIVE BETA THEORY |
|
10.55am | How can a greater understanding of alternative beta impact your asset allocation model?
- The core-satellite approach to investing
- Will this facilitate integration of alternatives into traditional asset allocation models?
- What needs to happen to gain greater acceptance?
|
| | Thomas Schneeweis, Professor of Finance and Director/CISDM, University of Massachusetts
|
| ALTERNATIVE BETA IN PRACTICE |
|
11.25am | Building an 'alternative' replication model
- Using replicators in the current market environment
- Selecting a relevant target to replicate
- The "alternative" approach in practice
|
| |
|
11.55am | Networking lunch
|
| COMPARING REPLICATION MODELS |
|
1.25pm | Factor-based alternative beta: overview and update
- The academic theory behind the approach
- Which index to choose?
- Replicating the hedge fund universe vs. a particular strategy
- Results
|
| |
|
1.55pm | Trade based replication
- A systematic trading approach to hedge fund replication
- For which hedge fund strategies does it work best?
- How does this differ from what a traditional hedge fund manager does?
|
| |
|
2.25pm | Speed Networking
This is the revolutionary, exciting, quick and non-pressurized way to meet fellow conference delegates and industry peers in one forty 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.
|
3.05pm | Afternoon break
|
3.35pm | Distributional replication
- The Kat-Palaro approach to replication
- How does this differ from mechanical trading strategies?
- Risk vs. investment applications
- Assessing the benefits and risks
|
| |
|
4.05pm | A buyer’s guide to the replication marketplace
- Comparing and explaining returns of the leading products
- Now that many of these products have a live track record of a year or more, what can we learn about putting theory into practice?
- These products have raised a great deal of publicity, but are the assets following too?
- Comparing the simplicity of the concept with the complexity of the products on the market
|
| |
|
4.35pm | End of day one
|
|
Day Two: Tuesday, September 23, 2008
|
| PASSIVE INVESTING IN OTHER ALTERNATIVE ASSET CLASSES |
|
7.45am | Private breakfast
|
| |
|
8.30am | Breakfast and registration
|
9am | Chairman’s opening remarks
|
| |
|
| INVESTING IN REPLICATION |
|
9.10am | Case study: replicating hedge fund risk factors in-house
- Why did APG decide to replicate alternative betas in house?
- What was the implementation process and resources needed?
- Assessing the results to-date
|
| |
|
9.40am | Replicating active commodity hedge funds
- Replicating active versus passive strategies
- Comparing commodities to other asset classes
- Different models of replication
|
| |
|
10.10am | Morning break
|
| THE PRIVATE WEALTH MARKET |
|
10.40am | The appeal of replication for private investors
- Tax implications of replication vehicles
- Structured products versus funds
- Distribution channels
|
| | Wesley Karger, Co-Founder and Managing Partner, Twin Focus Capital Partners
|
11.25am | INTERACTIVE ROUNDTABLES
Roundtable 1: How can multi-strategy funds use replication technology?
Roundtable 2: Hedge fund ETFs – will it happen?
Roundtable 3: Alternative alphas and hedge fund replication
Roundtable 4: The role of exotic beta in investor portfolios
Roundtable 5: Improving portfolio efficiency through alternative beta
|
| | Neil Simons, Vice President, Northwater Capital Management
|
12.15pm | Ready for retail?
- What is the retail appeal of replication vehicles?
- What regulatory hurdles must be cleared?
|
| |
|
12.45pm | Networking lunch
|
| THE IMPACT OF ALTERNATIVE BETA ON THE INDUSTRY |
|
1.55pm | Understanding the risk dynamics of investing in alternatives
- Hedge fund market risk
- Why is the risk for blow-ups greater for traditional hedge funds than replicators?
- The risk in most hedge funds is found in alpha
- What risks lie in beta?
|
| |
|
2.25pm | How has a greater understanding of hedge fund beta impacted the industry?
- Regulation
- Fee pressure
- Liquidity
- Transparency
- Growth of institutional assets
|
| | Tristram S. Lett, Managing Director, Alpha Beta Strategies, Integra Capital Management Ken Akoundi, Head of Portfolio Risk Management, Optima Fund Management
|
3.10pm | Afternoon break
|
3.40pm | Alpha bets and beta bets
- Alpha and beta should be decided on separately
- What are the rewards for alpha risk? For beta risk?
- What are the criteria for deciding whether to take alpha and beta risks?
- What is exotic beta?
- Do investors have to pay alpha fees for beta performance?
|
| |
|
4.10pm | Private equity and strategic asset allocation
- Private equity funds vs. the private equity asset class
- Securitization is changing alpha into beta
- Private equity allocations
|
| | Thomas Idzorek, VP and Director of Research and Product Development, Ibbotson Associates
|
4.40pm | End of conference
|
|
Post-conference workshop: Wednesday, September 24, 2008
|
9am | Registration & breakfast
|
9.30am | Introducing the Barclays Capital approach to replication
- Building upon the earlier linear-factor model and distributional approaches
- Replicating a portfolio of hedge funds vs. a single strategy
Kris Kumar, Associate Director, FX Structuring, Barclays Capital
|
9.45am | Commodities replication
- Research views on market fundamentals
- Overview on product evolution
- CORALs – a long / short quantitative strategy based on fundamental and technical factors
- Everest Alpha – structures products leveraging the expertise of a manager
Philippe J.J. Comer, Director, Head of Commodity Investor Solutions, Barclays Capital
|
10.30am | Equity replication
Overview of quantitative/systematic equity strategies
Examples of Barclays' suite of quant equity strategies:
- Fundamental Strategies
- Volatility Strategies
- Technical Strategies
Karan Sood, Manager, Equity Derivatives Group, Barclays Capital
|
11.15am | Coffee break
|
11.30am | FX replication - dynamic currency strategies to extract "alpha"
- Indexation - four broad approaches to extract value in the currency markets
- Payoff replication vs performance replication
- Distribution matching with structured FX products
- Factor based approach to FX alpha
Kris Kumar, Associate Director, FX Structuring, Barclays Capital
|
12.15pm | Rates replication
- Overview of quantitative strategies market
- Barclays' suite of interest rate quant strategies
- Optimal investment portfolio
Paul Jacoby, Associate Director, Fixed Income Structuring – Americas, Barclays Capital
|
1pm | Networking lunch
|
| The MPI Approach to Hedge Fund Analysis and Replication
|
Michael Markov, CEO of Markov Processes International (MPI), will present a powerful new quantitative methodology for reverse-engineering individual strategies, assessing skill, detecting leverage and replicating performance.
|
2pm | Hedge Fund analysis and replication framework
- Existing factor-based approaches and their limitations
- Separating dynamic beta from alpha
- Intro to Dynamic Style Analysis (DSA)
- Measuring predictive power of the analysis
- In-Sample vs. Out-of-Sample
- Software implementation overview
Michael Markov, Co-Founder, Chief Executive Officer, Director of Research, Markov Processes International (MPI)
|
3pm | Case studies and Demonstrations
- Replicating individual funds vs. indices
- Identifying funds you don’t want to replicate
- Case studies including the following hedge funds: Soros’ Quantum, Renaissance RIEF, GLG Partners European L/S, LTCM, and others
- Summary
Michael Markov, Co-Founder, Chief Executive Officer, Director of Research, Markov Processes International (MPI)
|
