Hedge Fund Summit Tuesday 9 December, 2008

Transcription

1 s Partners About EDHEC Alternative Investment Conference (Wednesday 10 December, 2008) Hedge Fund Summit Tuesday 9 December, 2008 Plenary Sessions: 08:30 Introduction s Lionel Martellini, Professor of Finance, and Scientific Director, EDHEC Risk and Asset Management Research Centre Theo Jeurissen, CIO, Pensioenfonds Metaal en Techniek, and Chairman of the International Advisory Board, EDHEC Risk and Asset Management Research Centre "Introduction" 08:45 Hedge Funds: Learning from the Crisis What are the limits and pitfalls of regulation for investors and financial stability? What would encourage or discourage investment in hedge funds after the crisis? Facts and fiction

2 s Noël Amenc, Director, EDHEC Risk and Asset Management Research Centre, and Professor of Finance, EDHEC Business School Jean-René Giraud, Director of Development, EDHEC Risk and Asset Management Research Centre "Hedge Funds: Learning from the Crisis" "Three Early Lessons from the Subprime Lending Crisis: A French Answer to President Sarkozy"; Noël Amenc; August 2007 events CFA Institute/EDHEC Alternative Asset Allocation Seminar March 17-19, 2009 London The EDHEC - International Herald Tribune - CNBC Hedge Fund Roundtable: 09:45 Is shareholder activism an incentive or a threat to better governance and value creation? An in-depth discussion by leading figures from the alternative investment industry, highlevel representatives from the world s major institutional investors and senior regulators on shareholder activism in relation to corporate governance and value creation. Moderator Martin Baccardax, Economics Editor, CNBC Niall Bohan, Head of Unit, Asset Management, European Commission Antonio Borges, Chairman, Hedge Fund Standards Board Paul Frentrop, Head of Corporate Governance, APG Investments

3 David Harding, Founder and Managing Director, Winton Capital Management Stephan Howaldt, Chief Executive, Hermes Focus Asset Management Europe Morning Workshops: 12:00 Macro Environment and Hedge Fund Investing Organised by: NewFinance Capital Linking hedge fund performance and risk aversion indices An application to Macro hedge fund portfolio construction Benjamin Mouté, Head of Research, NewFinance Capital To receive a copy of the presentation, please contact info@newfinancecapital.com. 12:00 Hedge Funds in the ETF World Organised by: NYSE Euronext The benefits of investing in alternatives through ETFs An overview of the most innovative ETFs on NYSE Euronext New ETFs on hedge fund strategies Pedro Fernandes, Head of ETFs, European Cash Market, NYSE Euronext s François Millet, Director Index-Linked Products, Société Générale Asset Management John Keogh, Director of Compliance, Susquehanna International Securities Ltd

4 s "SGAM ETF", François Millet To receive a copy of the presentation by Pedro Fernandes, NYSE Euronext, please contact etf@euronext.com. To receive a copy of the presentation by John Keogh, Susquehanna International Securities Ltd, please contact john.keogh@sig.com. 12:00 How to Use Implied Assets (Volatility, Correlation, Dividends) to Generate Decorrelated Returns Organised by: Lyxor Asset Management Implied assets: a world of investment opportunities Strategies that generate uncorrelated returns Combining implied asset strategies to build absolute return portfolios Olivier Cornuot, Deputy Head of the Fund Management Team, Lyxor Asset Management not available. Information Session: 12:00 The EDHEC PhD in Finance, Executive Track Programme rationale: the foremost academic and professional qualification Programme structure: a rigorous and stimulating curriculum Programme faculty: a cadre of leading experts in finance and economics Focus on the executive track: a platform for professional development and industry innovation s Frédéric Ducoulombier, Director, EDHEC Asset Management Education René Garcia, Professor of Finance, and Academic Director of the PhD in

5 Finance Programme, EDHEC Business School "The EDHEC PhD in Finance" information Further information on the EDHEC PhD in Finance is available at Afternoon Workshops: 14:15 Extreme Risk Budgeting: Maximising Return, Minimising Drawdown Risk Organised by: Riskdata To select "storm-proof managers" vs. lucky ones To control extreme risks To build portfolio targeting both normal and extreme risks pattern To communicate full risk profile to clients Fire experience: How did these techniques pass recent market crises? s Olivier Le Marois, CEO, Risdata Raphaël Douady, Head of Research, Riskdata not available. 14:15 Distribution of Alternative/non-UCITS Funds Organised by: PricewaterhouseCoopers Growing interest from HNWI, mass affluent and retail investors Tax & Regulatory barriers to direct distribution to such investor segments Opportunities to target those investors

6 Mark Evans, Partner, PricewaterhouseCoopers "Distribution of Alternative/non-UCITS Funds" 14:15 How to Achieve Low Correlation in Volatile Equity Markets Organised by: CASAM CASAM s experience with the hedge low correlation process Looking ahead: enhancing the portfolio with a VIX overlay Jeff Lopez, Deputy Chief Executive Officer, CASAM Americas not available. Hedge Fund Strategy Forum: 14:15 Investcorp, with Washington Corner Capital and Stoneworks Asset Management LLP Organised by: Investcorp Moderator Andrew Crane, Principal, Investcorp London

7 s Gary Link, Managing Partner and CEO, Stoneworks Asset Management LLP Craig Marderstein, Risk Manager & Partner, Stoneworks Asset Management LLP "Identifying Hedge Fund Talent" Stream Sessions: 16:00 The Pros and Cons of Managed Account Platforms The risk management benefits of managed account platforms The limits of managed account hedge funds Do managed account platforms suffer from selection bias? Can managed account platforms be used to replicate the performance of the main hedge fund strategies? Chairperson Alain Dubois, Chairman, Lyxor Asset Management, and Member, International Advisory Board, EDHEC Risk and Asset Management Research Centre Jean-René Giraud, Director of Development, EDHEC Risk and Asset Management Research Centre Martin Gagnon, Co-CEO, Innocap Investment Management Inc Nigel Labram, Head of Pension Fund Management, Hermes Jeff Lopez, Deputy Chief Executive Officer, CASAM Americas Chris Woods, CIO, Man Global Strategies, and Member, International Advisory Board, EDHEC Risk and Asset Management Research Centre "The Pros and Cons of Managed Account Platforms"

8 "Mitigating Hedge Funds Operational Risks: Benefits and Limitations of Managed Account Platforms"; Jean-René Giraud; June 2005 "Quantification of Hedge Fund Default Risk"; Corentin Christory, Stéphane Daul, Jean-René Giraud; January 2007 "EDHEC European Alternative Diversification Practices Survey"; Noël Amenc, Walter Géhin, Jean-René Giraud, Lionel Martellini, Mathieu Vaissié; December :00 Passive Hedge Fund Replication Benefits and limits of the various replication approaches and techniques Investors perceptions and experiences an exclusive EDHEC survey Hedge fund replication offerings and their performance and risks to date How robust is the performance of hedge fund clones? Chairperson Olivier Cazottes, Head of Fund Derivatives Structuring - London, BNP Paribas Lionel Martellini, Scientific Director, EDHEC Risk and Asset Management Research Centre Dima Blumin, Investment Analyst - Hedge Fund Team, The World Bank Pierre Laroche, Managing Director, Innocap Michael Markov, CEO, Markov Processes International Terry Raby, Operational Risk Manager, Universities Superannuation Scheme "Passive Hedge Fund Replication"

9 "The Myths and Limits of Passive Hedge Fund Replication: An Attractive Concept Still a Work-in-Progress"; Noël Amenc, Walter Géhin, Lionel Martellini, Jean-Christophe Meyfredi; June 2007 "The Pros and Cons of Passive Hedge Fund Replication"; Noël Amenc, David Schröder; October :00 Hedge Fund Transparency and Reporting State-of-the-art risk and performance reporting for hedge funds The transparency and reporting needs of end-investors and funds of hedge funds an exclusive EDHEC survey Disclosure and transparency: can institutional investors and hedge fund managers be reconciled? Government and industry working groups on hedge fund transparency an assessment Chairperson Charlie Woolnough, Regional Director, Sales & Relationship Management, Fortis Prime Fund Solutions David Schröder, Business Analyst, EDHEC Risk and Asset Management Research Centre Michaela Attermeyer, Head of Asset Management, VBV Pensionskasse AG Vincent Beaujeu-Dumontel, Institutional Sales Manager, CACEIS Graham Phillips, Partner, PricewaterhouseCoopers "Hedge Fund Transparency and Reporting" "Hedge Fund Reporting Survey"; Felix Goltz, David Schröder; November 2008

10 16:00 Tactical Style Allocation for Funds of Hedge Funds Evidence of hedge fund return predictability Lagged multi-factor models for hedge fund return prediction model selection, uses, and robustness How to implement tactical style allocation decisions within funds of hedge funds Portfolio construction issues and possible remedies Chairperson Bernd Scherer, Managing Director and Global Head of Quantitative Structured Products, Morgan Stanley Daniel Giamouridis, Assistant Professor, Department of Accounting and Finance, Athens University of Economics and Business, and Research Associate, EDHEC Risk and Asset Management Research Centre Martin Källström, Senior Portfolio Manager, Alternative Investments, AP1 David Kuenzi, Head of Risk Management and Quantitative Research, Glenwood Capital Investments, and Research Associate, EDHEC Risk and Asset Management Research Centre Tony Worth, Investments Officer, Avon Pension Fund, Bath & North East Somerset Council "Tactical Style Allocation for Funds of Hedge Funds" "Extending Black-Litterman Analysis Beyond the Mean-Variance Framework: An Application to Hedge Fund Style Active Allocation Decisions"; Lionel Martellini, Volker Ziemann; July 2007 "Investing in Hedge Funds: Adding Value through Active Style Allocation Decisions"; Lionel Martellini, Mathieu Vaissié, Volker Ziemann; October 2005 "A Comparison of Alternative Approaches for Determining the Downside Risk of Hedge Fund Strategies"; Daniel Giamouridis, Ioanna Ntoula; January :00 Optimal Risk Allocation with Hedge Funds

11 Why take into account extreme risks in portfolio construction Understanding the co-moment beta approach to extreme risk management Case study: designing an optimal hedge fund programme for extreme risk reduction Chairperson René Garcia, Professor of Finance, EDHEC Business School s Felix Goltz, Senior Research Engineer, EDHEC Risk and Asset Management Research Centre Volker Ziemann, Senior Research Engineer, EDHEC Risk and Asset Management Research Centre Boris Ashavsky, Chief Risk Officer, Zurich Alternative Asset Management Sarah Fromson, Head of Investment Risk and Performance, The Wellcome Trust Theo Jeurissen, CIO, PMT, and Chairman, International Advisory Board, EDHEC Risk and Asset Management Research Centre Doug Martin, CEO, FinAnalytica "Optimal Risk Allocation with Hedge Funds" "Improved Forecasts of Higher-Order Co-moments and Implications for Portfolio Selection"; Lionel Martellini, Volker Ziemann; September 2007 "How to Include Hedge Funds in a Risk Allocation Framework"; Hilary Till; August 2006 "EDHEC European Alternative Diversification Practices Survey"; Noël Amenc, Walter Géhin, Jean-René Giraud, Lionel Martellini, Mathieu Vaissié; December 2005 "On the Role of Hedge Funds in Institutional Portfolios"; Hilary Till; January 2004 "Hedge Funds from the Institutional Investor s Perspective"; Noël Amenc, Lionel Martellini, Felix Goltz; January 2005 events CFA Institute/EDHEC Alternative Asset Allocation Seminar March 17-19, 2009 London