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Pre-conference workshop: Hedge Fund Replication and Alternative Beta
Tuesday, October 9, 2007
This workshop is an introduction to the science of hedge fund replication and the concept of alternative beta. We survey the replication techniques proposed by leading academics including Harry Kat, Andrew Lo, William Fung, David Hsieh, Francis Longstaff and others. Case studies and exercises are central to the program.
The course explores various techniques using academic papers as guidelines. This is the workshop for financial professionals who need to achieve an understanding of the state of the art in hedge fund research.
Participants will gain:
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A deep understanding of hedge fund replication techniques:
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Distribution replication
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Regression approaches
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Emulation approaches
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PTS approaches
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Contemporary issues such as:
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What is alpha, what is beta?
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What is alternative beta and how is it measured?
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What can and cannot be replicated?
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What is the value of a clone?
Day One: Wednesday, October 10th, 2007
Your fast track to the Canadian hedge funds industry
8.30 Registration and refreshments
BIG PICTURE LOOK AT CANADIAN HEDGE FUNDS
9.00 Opening Address: Creating a competitive hedge fund market in Canada
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Attracting quality talent, building a solid infrastructure to support growth and capitalizing on Canada’s natural resources
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The important of attracting international investors
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The quest for alpha: giving asset managers an incentive to look towards Canada for opportunity
Phil Schmitt, President, Summerwood Group
THE REGULATORY ENVIRONMENT
9.30 New regulatory framework in North America and its effect on the hedge fund market
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Registration and oversight of fund managers, disclosure issues and the role of service providers
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Comparing market regulation in Canada & the United States
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Negotiating cross border deals
Tim Chamberlain, Vice President, EurekaHedge
Gary Ostoich, President & COO, Salida Capital
Matthew Eisenberg, Partner, Finn Dixon & Herling
10.15 Morning refreshment break
STRATEGIES AND OPPORTUNITIES
10.45 Panel session: Styles and strategies that are delivering returns
Frederic Bettan, Managing Partner & CEO, Swing Capital Inc
Michael Finkelstein, President & CEO, Whalehaven Capital
Colin Stewart, Portfolio Manager, JC Clark
Andrew Tsai, Managing Principal, Chalkstream Capital Group
11.45 Case study: Canadian high yield hedge
Barry Allan, President, Marret Asset Management
12.15 Lunch
1.45 Active management in commodities
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Active commodity use in an energy focused L/S equity strategy
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Is it possible to achieve alpha?
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Fully integrating commodities into overall portfolio and risk management
Henry Cohen, President & CEO, Full Cycle Energy Investment Management
2:15 Implementation of equity trading strategies
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Pre-trade scenario analysis – alpha vs expected cost, risks of implementation
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monitoring the risk/costs – real-time measurement
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use of algos vs dma vs other
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pairs trading
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multi-currency trading
Chris Sparrow, Director, Research, ITG Canada Corp
ALPHA BETA PORTFOLIO CONSTRUCTION
2.45 Panel session: How does beta relate to alpha?
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Beta sources – identifying the sources and choosing benchmarks
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The availability of exotic beta
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Getting comfortable with derivatives – financing costs, leverage and liability
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Rebalancing
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Liquidity
Richard Kang, Editor, TheBetaBrief.com
Ranjan Bhaduri, PhD, Vice President, Morgan Stanley - Graystone Research
Enrique Cuyegkeng, General Manager, Quantitative Investments, Canada Post Corporation Pension Plan
3.30 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.
4.15 Panel session: Identifying alpha
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How to identify alpha in a hedge fund
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What is true alpha vs alternative beta?
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Hedge fund replication
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The combination of alpha & beta; implementing a 130/30 strategy
Christopher Holt, Editor, AllAboutAlpha.com
Jim McGovern, Managing Director & CEO, Arrow Hedge Partners Inc
Andrew McCreath, President & CEO, Waterfall Investments
Arun Kaul, COO, Hillsdale Investment Management
5.00 New opportunities from new strategies: Hedge fund replication and alternative beta
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Alpha and beta: an ever more blurry line
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What aspects of hedge fund should actually be replicated?
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A review of four different replication approaches
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The prospects of hedge fund clones
Tammer Kamel, President, iluka Hedge Fund Consulting
5:30 End of day one
Day Two: Thursday, October 11th, 2007
Your fast track to the Canadian hedge funds industry
8.30 Registration and refreshments
THE GLOBAL PERSPECTIVE
9.00 Panel session: Attracting international investors
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What is the profile of international investors that consider Canada?
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What should an international investor expect when investing in Canada?
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How should single managers operate efficiently to attract international capital?
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Capitalizing on local manager’s intimate knowledge of the energy and mining sectors
Eric Kirzner, Professor of Finance, Rotman School of Management, University of Toronto
Peter Fletcher, Managing Director, Parly Company
Mark Tredgett, Managing Director, Jemekk Capital Management
John Dunn, Principal, UBK Alternative Investments
10.00 Case study: Speculation on the Canadian gold market
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Geopolitical safety
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Geological potential
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Center of mining finance
John Hathaway, Managing Director, Tocqueville Asset Management
10.30 Morning refreshment break
11.00 Case study: The credit opportunities fund
Larry Pokora, Senior Vice President, Paulson & Co
RISK MANAGEMENT AND DUE DILIGENCE
11.30 Hedge fund risk – the need for transparency and innovative risk management (market risk/strategy risk)
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Managing volatility rather then promising return
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The equity risk matrix concept
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Strategy - competitive edge
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Position risk - cost/benefit
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Qualitative due diligence: fund formation & structure, manager profile
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Quantitative due diligence: monthly volatility, repetition, strategy specific risk
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Risk allocation
Tom Steen, Managing Principal, Natural Selection Investors
12.00 Lunch
THE BUY SIDE APPROACH TO INVESTING IN HEDGE FUNDS
1.30 Perspective from the buy-side on alternative investments
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Why invest in alternative assets and hedge funds in particular?
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The role of alternative investments in public pension plans
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Selling the board on the idea of a hedge fund allocation
Al Samper, Former Chairman, Virginia State Retirement System
FUND OF HEDGE FUNDS
2.00 Activist Fund of Funds
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Activism as an alpha generator
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Dispelling the myths and misconceptions about activist hedge funds
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Case study review: stories & lessons learned
Paul Carter, Senior Research Analyst, Russell Investment Group
2:30 Afternoon break
3.00 Panel session: Investing in funds of hedge funds
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What research has to be done of global funds coming to the region?
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Local investor appetite for international fund of fund
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The convergence of hedge fund & private equity
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The key role of the manager/advisor and how to select it
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Their suitability for institutional investors
Mark Tredgett, Managing Director, Jemekk Capital Management
Neil Paragiri, Managing Director, Head of North America, Harcourt Alternative Investments US
Patricia Muzyk, Vice President, Investments, Keel Capital Management
Ann Glazier, Co-Founder, Alpha Scout Fund
4:00 Close of conference
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