Innovations in Measuring Performance, Attribution, and Risk

Transcription

1 Presents Innovations in Measuring Performance, Attribution, and Risk DAY ONE: Monday, February 22, 2016 February 22-23, 2016 Princeton Club, NYC Pre-Conference Workshop: Fundamentals of Portfolio Risk :00 9:00 Registration and continental breakfast 9:00 10:00 Financial Risk Modeling and Attributes of a Good Risk and Return Model Dan dibartolomeo, Founder Northfield Information Services 10:00 11:00 Quantifying Investment Risk and Risk Adjusted Performance Measures Naresh Malhorta, Director, Risk Advisory KPMG 11:00 12:00 Liquidity Risk and Liquidity Premiums What Performance are You Getting for Your Liquidity Metrics? Gunjan K. Banati, Director of Risk Management, Fund Research & Analytics Royce Funds Steve Marks, Managing Director Klitzberg Associates 12:00-1:00 Workshop adjourns; networking luncheon follows and conference registration for those not attending workshop opens

2 1:00 1:10 Conference Chairperson s Welcome Chairperson: 1:10 2:10 What s Happening on the GIPS Front? An Update from the U.S. Investment Performance Committee on the Latest Developments and Industry Standards James O Leary, Director of Performance Analytics BNY Mellon Asset Management Jonathan McGee, CFA, CIPM, SVP, Investment Performance & Client Reporting Putnam Investments Krista Harvey, CFA, CIPM, Performance Manager Jennison Associates 2:10 3:00 Attributes of a Good Benchmark Considerations for Successful Benchmark Selection 3:00 3:10 Refreshment break 3:10 4:10 Measuring Performance and Risk of Alternative Investments Timothy F. Peterson, CFA, CAIA, CIPM Cane Island Alternative Advisors Shankar Venkatraman, CFA, Director, Global Head of Performance, Risk & Compliance Citi Investor Services Emilian Belev, CFA, Head, Enterprise Risk Analytics Northfield Information Services

3 4:10 5:00 Effectively Handling the Increased Demand for Transparency around Fees and Performance James O Leary, Director of Performance Analytics BNY Mellon Asset Management Jonathan McGee, CFA, CIPM, SVP, Investment Performance & Client Reporting Putnam Investments Krista Harvey, CFA, CIPM, Performance Manager Jennison Associates 5:00 Day One Sessions Adjourn; Cocktail Reception Immediately Following

4 DAY TWO: Tuesday, February 23, :00 9:00 Continental breakfast 8:45 9:00 Chair s Welcome & Day One Re-Cap Chairperson: 9:00 9:40 Regulatory Update: Performance Measurement in the Age of Increased Oversight Michael W. McGrath, Partner K&L Gates LLP 9:40 10:40 Time-Weighted Returns vs. Money-Weighted Returns Trevor Davies, CFA, CIPM, Vice President Albridge Edward Ha, CFA, CIPM, Client Portfolio Manager Gerstein Fisher 10:40 10:50 Refreshment break A Look at Alternative Attribution Methodologies: Going Beyond the Brinson Model 10:50 11:40 Part 1 - Use of Factor-Based Attribution Jose Menchero, PhD, CFA, Head of Portfolio Analytics Research Bloomberg 11:40 12:30 Part 2 Pros and Cons of Using Other Attribution Methodologies Mark David, CFA, Principal Essex River Analytics 12:30 1:30 Luncheon

5 1:30 2:20 Skill vs. Luck Assessing Active Management Returns Venkat Balakrishnan, CFA, Vice President, Multi Asset Solutions AllianceBernstein 2:20 2:40 Refreshment break 2:40 3:30 Best Practices for Managing Customized Requirements for Internal and External Clients Alex Shafran, CFA, VP, Global Head of Performance/Head of Global Analytics AllianceBernstein Todd Juillerat, CFA, Managing Director, Head of Performance Measurement State Street Global Advisors 3:30 4:20 The Performance Examination Debate: The Exam vs. Verification Pros and cons of getting a performance examination Are performance examinations cost-justified? What do end clients expect? Consequences of getting something wrong Speakers: TBD 4:20 Conference adjourns