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Day One, Wednesday 22 October 2008
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| INVESTING IN INDEX FUNDS |
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08.30 | Registration and welcome coffee
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08.50 | Opening remarks and welcome address from the Chair
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| GLOBAL MARKETS AND INNOVATION THROUGH INDEXING |
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09.00 | Keynote address:
International institutional investor indexing case study
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| | Mr Robert Walton, Chief Executive Officer, Claremont University Consortium, United States
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09.40 | Achieving hedge fund returns at index fee prices
• Emulating the average performance of a universe of hedge funds using modern indexing techniques
• Bringing manager fees down to less than 1%
• Eliminating manager specific risk
• Improving transparency
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| STRATEGIES AND TOOLS FOR IMPROVED INDEXING PERFORMANCE |
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10.20 | Morning tea
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10.50 | Using index funds even when you believe the markets are not efficient
• Assessing index options within a portfolio
• Looking at portfolio modelling and its benefits
• Understanding the benefits of using overlays on index tracking funds
• Reviewing the role of virtual funds
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11.30 | Deciphering the hype of fundamental weighted indexing and how does fundamental indexing excite investors
• Comparing the new fundamental way of indexing to the traditional market-weighted indexing: which is better?
• Assessing the popularity of fundamental indexing in USA and the effects in Australia
• Examining the benefits of adopting fundamental indexing and evaluating the potential risks
• Ascertaining the benchmarks to measure a fundamental index
• Fundamental indexing vs. active management and will fundamental indexes be the gateways to active ETFs?
• Will enhanced indexing become the new indexing paradigm?
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| | Mr Jason C. Hsu, Principal and Director, Research and Investment Management, Research Affiliates LLC, United States
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12.10 | Speed Networking
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12.40 | Networking Lunch
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13.40 |
Panel discussion:
Market cap vs. fundamentals weighted indexing
• A brief overview of fundamental weighting
• Academic arguments vs. practical considerations
• Benchmark considerations and attribution
• Cost comparisons and fee implications
• Most quant enhanced index strategy (based on value and small cap tilt) performed poorly in 2007. How did Fundamental Indexes® perform in 2007?
• Does Fundamental Index® methodology work in other asset classes? |
| | Confirmed: Mr Jason C. Hsu, Principal and Director, Research and Investment Management, Research Affiliates LLC, United States Confirmed: Mr Jonathan Shead, Product Engineer, State Street Global Advisors, Australia
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14.20 | Case Study:
A tale of two asset classes - an institutional investor's perspective on indexing
• On what basis does the Anglican Church choose between active and indexed solutions?
• The process of investing in REITs - how we chose an indexed solution
• Realigning our Australian equities portfolio using a customised ethical and tax aware overlay
• Ideas for future indexing solutions
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| | Mr Andrew Frankling, Deputy Chief Investment Officer, Anglican Church, Diocese of Sydney, Australia
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15.00 | Panel discussion:
Using index fund managers over active managers
• Is the difference in cost of an index fund compared to an actively managed fund as great as people think?
• Are index funds more tax effective through triggering fewer capital gain events?
• Striking the right balance between the level of activity and cost of an active manager to achieve optimal after tax outcomes
• Do index funds actually deliver index like returns after fees and taxes? |
| | Confirmed: Mr Andrew Frankling, Deputy Chief Investment Officer, Anglican Church, Diocese of Sydney, Australia Confirmed: Mr Robert Walton, Chief Executive Officer, Claremont University Consortium, United States Confirmed: Dr Thomas Henker, Director of Undergraduate Studies, School of Banking and Finance, University of New South Wales , Australia
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15.40 | Afternoon Tea
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16.10 | Examining price discovery and liquidity in basket securities
• Understanding in which market price discovery takes place
• What is the effect on the liquidity of the underlying securities when a new basket is introduced?
• Which instrument is optimal for trading?
• Minimizing adverse selection costs by trading basket securities rather than the underlying stocks |
| | Dr Thomas Henker, Director of Undergraduate Studies, School of Banking and Finance, University of New South Wales , Australia
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16.40 | Panel discussion:
The role of indexing for sophisticated investors
• Ensuring wealth preservation in a volatile market
• Are index funds too simple for sophisticated investors?
• What is the role of index funds in portfolio construction for high net worth individuals and trustees?
• What role does the size of a portfolio play in the use of index funds?
• Should the core\satellite model be reversed for sophisticated investors ie use alternatives as an alpha base with a satellite of index fund?
• Looking for cost saving vs. outperformance
• Understanding the adviser’s role in promoting index funds |
| | Moderator: Dr Thomas Henker, Director of Undergraduate Studies, School of Banking and Finance, University of New South Wales , Australia Confirmed: Mr Robert Walton, Chief Executive Officer, Claremont University Consortium, United States Confirmed: Mr George Boubouras, Head of Investment Strategy, UBS Wealth Management, United Kingdom
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17.20 | Chairman’s closing remarks and the end of day one
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17.30 | Networking drinks
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Day Two, Thursday 23 October 2008
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| INVESTING IN EXCHANGE TRADED FUNDS |
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08.30 | Welcome coffee
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08.50 | Opening remarks and welcome address from chair
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| | Mr Richard Kang, Independent Investment & Risk Consultant and Contributing Writer, TheBetaBrief.com, Canada
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| GLOBAL ETF MARKET TRENDS |
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09.00 | Keynote address:
The evolution of ETFs – yesterday, today, tomorrow
• Reviewing progress from the first index fund to today
• ETFs – the newest phenomenon to hit the index fund industry
• Assessing the similarities and differences between ETFs and traditional index funds
• Looking at current trends and global growth of ETFs
• The future for ETFs
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| | Ms Susan Darroch, Head of Global Structured Products , State Street Global Advisors, Australia
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09.40 | Keynote address:
Incorporating ETFs into your portfolio through effective modelling
• The benefits of all-ETF portfolios
• Modern Portfolio Theory: Wrong tool for the job
• A different approach to ETF analysis
• Putting it altogether in custom ETF portfolios
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10.20 | Morning tea
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10.50 | Keynote address:
Observations on Alpha/Beta separation … Or is it convergence?
• What’s happening in the investment industry giving signs of the alpha-beta separation story?
• What are the problems in both the ETF and hedge fund industries?
• Why it’s just as much about alpha-beta convergence as it is about separation?
• What can we expect from the ETF space?
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| | Mr Richard Kang, Independent Investment & Risk Consultant and Contributing Writer, TheBetaBrief.com, Canada
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| DEVELOPING THE AUSTRALIAN ETF MARKET |
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11.00 | Case study:
Assessing the role of ETFs in a Separately Managed Account
• Managed Accounts – retailisation of institutional strategies
• Examining why ETF’s are suitable in Managed Accounts
• Highlighting practical examples where ETF’s are being used in Managed Accounts
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| | Mr David Heather, Head of Distribution, Investment Administration Services, Australia
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11.30 | Panel discussion:
Understanding Australian investors growing demand for ETFs
• Recognising how platforms like wraps and master trusts dominate flows and how ETFs are competing
• Looking at changes to investor behaviour since ETFs have become more widely available in Australia
• Is there a growing appetite for ETFs in the institutional space?
• How are ETF providers responding to market demand? |
| | Confirmed: Mr David Heather, Head of Distribution, Investment Administration Services, Australia Confirmed: Mr Graham Smith, Business Development Manager, State Street Global Advisors, Australia Confirmed: Mr George Boubouras, Head of Investment Strategy, UBS Wealth Management, United Kingdom
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12.10 | Networking lunch
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| PORTFOLIO CONSTRUCTION USING ETFS |
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13.10 | Dynamic asset allocation through ETFs
• Forecasting returns
• Timing asset allocation moves
• Fine tuning strategy |
| | Mr Tim Farrelly, Visiting Fellow, School of Finance and Economics, University of Technology, Sydney, Australia
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13.40 | Building model portfolios and the growth of thematic ETFs
• Predicting the growth of thematic ETFs
• Looking at the rise of thematic ETFs globally
• The outlook for growth in thematic ETFs in Australia
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14.10 | Interactive Roundtable Discussions
Roundtable 1
What are the benefits of full after tax portfolio management and reporting?
Rashmi Mehrotra, Investment Consultant and Principal, Mercer
Roundtable 2 Do active management returns justify the extra fees?
Tim Farrelly, Principal, farrelly’s
Roundtable 3 Understanding price transparency with ETFs
Anthony Serhan, Head of Investment Consulting, Morningstar Research
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14.50 | Afternoon tea
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| STRATEGIES AND TOOLS FOR ENHANCED ETF PERFORMANCE |
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15.20 | Panel discussion:
Comparing active vs. indexed ETF strategies
• Reviewing passive ETF strategies
• Looking at passive ETFs that track bond indexes
• Understanding the benefits of moving frequently into and out of an entire market or a particular market niche
• Actively managing a longer term portfolio – the pros and cons |
| | Moderator: Mr Richard Kang, Independent Investment & Risk Consultant and Contributing Writer, TheBetaBrief.com, Canada Confirmed: Mr Rick Dicristoforo, Executive Director, Marketing and Development, Matrix Planning Solutions, Australia
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16.00 | ‘Core and Satellite’ portfolio construction - separating alpha from beta
• Keeping the cost and administrative requirements of beta returns as low as possible
• Ensuring greater alpha production from active managers by removing constraints that inhibit alpha generation
• Gaining complete market exposure at the lowest possible cost through better and more cost effective beta production
• Compensating alpha and beta managers in a manner consistent with their roles |
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16.30 | Panel discussion:
The future of ETFs in the Australian market
• Accessing the hottest asset classes and international markets through ETFs
• Looking at emerging market ETFs
• Looking over the horizon for the next wave of ETF products |
| | Moderator: Mr Richard Kang, Independent Investment & Risk Consultant and Contributing Writer, TheBetaBrief.com, Canada Confirmed: Mr Graham Smith, Business Development Manager, State Street Global Advisors, Australia Confirmed: Mr Brian O'Donnell, Business Development Officer, Barclays Global Investors, Australia
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17.10 | Chairman’s closing remarks
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17.20 | Close of conference
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Post-Conference Workshops, Friday 24th October 2008
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| Workshop A |
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09.00 | Fundamentals of Index and ETF Investing
Objectives
The soaring number of index and exchange traded funds available provides investors with incredible choice and flexibility. But, with so many new options comes added complexity: how can an investor decide which funds are right for their portfolio? This workshop will explain the mechanics of index and exchange traded funds, their benefits and uses, and explore why investing with index and exchange traded funds is different from investing with actively managed funds.
Agenda
- Basics of indexes, index funds and ETFs: structure, benefits, and drawbacks
- Brief history and overview of the index fund and ETF marketplace
- Methods and resources for evaluating these funds
- Building portfolios with ETFs and index funds
- Challenges and opportunities for Financial Advisors
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12.30 | Close of masterclass A
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| Workshop B |
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13.30 | Best practice portfolio construction
This is a broad discussion on portfolio construction assuming that the advisor focuses equally on the roles of “portfolio management” as well as “risk management”.
With the increased breadth of the ETF universe one must ask why this evolution of the ETF industry is so significant towards the evolution of the role of the portfolio manager. The problems are clear: high correlations, low yields and limited opportunities when so many things have gone up so far at the same time. The focus on alternative investments has been one growing trend to help deal with the need for ever improving diversification. But can ETFs, the quick and easy diversification tool, be the answer for even alternatives … thus leading to potentially an all-ETF model.
The workshop will consider the ever popular “Yale model” and will also discuss the pitfalls in the use of ETFs to give a better understanding on how the focus should be on risk, not returns … something not often considered even in the ETF space. This is not a workshop just on the benefits of ETF investing. It is meant to discuss ideas on how improvements can be made to an investment process both with and without the use of indexing/ETFs.
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| | Mr Richard Kang, Independent Investment & Risk Consultant and Contributing Writer, TheBetaBrief.com, Canada
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17.00 | Close of masterclass B
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