conference EDHEC-Risk Days Europe 2012 Bringing Research Insights to Institutional Investment Professionals

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1 EDHEC-Risk Days Europe 2012 Bringing Research Insights to Institutional Investment Professionals March, 2012 The Brewery - London conference Indexation and Passive Investment Conference Enhanced Index and Optimal Benchmark Construction New Forms of Indices and Benchmarks Exclusive Survey on the Use of Passive Investment Vehicles How ETF Trading Affects the Pricing and Liquidity of the Underlying Assets Regulators Considerations in the Light of Increasing Concerns about the Complexity and Opacity of ETFs Global Institutional Investment Conference Risk and Regulation Solvency II Benchmarks Hybrid Pension Plans Inflation-Linked Corporate Bond Investing Protecting Investors from the Default Risk of Pension Funds or their Sponsors Alternative Investment Conference Does the AIFM Directive offer Better Protection for Investors? Hedge Fund Modelling and Performance Long-Short Commodity Investing and Risk Management Idiosyncratic-Risk-Based Commodity Strategies High-Frequency Trading Idiosyncratic Volatility Hedging for Portfolio Volatility Management Determinants of Private Equity Investments Returns EDHEC-Risk Alternative Investment Days 2011 l 1 l Bringing Academic Insights to Alternative Investment

2 Organised by an academic research centre for the benefit of professionals, EDHEC-Risk Days Europe presents the research done by EDHEC-Risk and discusses it with the institutional investor and fund manager communities. As such, the wishes to enable participants at EDHEC-Risk Days Europe 2012 to have access to the latest in financial theory and research and to debate and discuss these issues with researchers who not only have cutting-edge knowledge of analytical and research methods in finance but are also fully aware of the consequences of these methods for the financial industry. The event is structured to appeal to institutional investors, traditional and alternative investment managers and policy-makers. The conference includes three major events that will allow professionals to review major industry challenges, explore state-of-the art investment techniques and benchmark practices to research advances. On the first day, the Indexation and Passive Investment Conference will focus on exploring enhanced index and optimal benchmark construction and look at new forms of indices and benchmarks. The conference will also be the occasion to evaluate the use of passive investment vehicles and their impact on the market. Results of an exclusive survey of European asset owners will highlight the latest trends in ETF usage. EDHEC-Risk will present a study looking at how heavy ETF trading affects the pricing and liquidity of the underlying assets while the main roundtable will discuss regulators considerations in the light of increasing concerns about the complexity and opacity of ETFs. in partnership with On the second day, the Global Institutional Investment Conference will present the results of EDHEC-Risk research on themes of great interest to institutional investors, including risk and regulation, Solvency II benchmarks, hybrid pension plans and inflation-linked corporate bond investing. Like the main roundtable of the conference, it will bring together institutional investors, pension protection organisations and regulators for a debate on protecting investors from the default risk of pension funds or their sponsors. The third day will be dedicated to the Alternative Investment Conference. This will be an opportunity to discuss with investors and regulators whether the AIFM directive offers better protection for investors. EDHEC researchers will also present their latest results relating to hedge funds and alternative investments. Hedge fund modelling and performance, long-short commodity investing and risk management, idiosyncratic-risk based commodity strategies, high frequency trading, and idiosyncratic volatility hedging for portfolio volatility management will be some of the themes included in the programme. Day One: Indexation and Passive Investment Conference ETF Summit ETFs in Institutional Investment EDHEC-Risk European ETF Survey > New trends in ETF usage > Perceived benefits and drawbacks of ETFs by asset classes > Perceived investment risk for asset owners using ETFs ETFs Roundtable: Perceived Risks and Benefits of ETF Investments and Regulators Considerations: Towards More Regulation for ETFs? > Differences between ETFs and other exchange-traded products > Risks of synthetic replication versus physical replication of ETFs > Are ETFs increasing systemic risk? > Potential consequences on regulation Dynamic Allocation Strategies with Exchange-Traded Funds > Capturing the market value, or momentum premium with downside risk control > Controlling extreme risk from concentrated sector allocation strategies > Exploiting ETF liquidity for dynamic risk-controlled strategies Liquidity in ETF Markets > The determinants of liquidity in the ETF secondary market > Competition in ETF markets and liquidity > The effects of ETFs on stocks liquidity New Indices and Benchmarks Investing in New Forms of Equity Indices > Representativeness versus efficiency: optimality conditions of the different forms of equity indices > Diversification of new forms of indices > How to manage investment risk within the new weighting scheme? Building New Benchmarks Suitable for Institutional Investors: The Case of Equity Indices with Low Sovereign Risk > Sovereign risk in global equity portfolios > Assessing sovereign credit risk exposure of equities > A building-block approach to the construction of a low sovereign risk equity index > From quantitative to qualitative screening Passive Investment: Considerations when Including SRI Factors > How to reconcile efficient diversification and stock picking within an SRI framework > Can Passive SRI Investing perform better than traditional investment management? > Presentation of the FTSE EDHEC-Risk ERAFP SRI Eurobloc Index Advanced Portfolio Construction Beyond 1/N > How do equal-weighted portfolios perform relative to value- and price-weighted portfolios > Comparing the systematic risk and return of equal-,value-, and price-weighted portfolios > What is the source of the alpha of equal-weighted portfolios EDHEC-Risk Days Europe 2012 l 2 l Bringing Research Insights to Institutional Investment Professionals EDHEC-Risk Days Europe 2012 l 3 l Bringing Research Insights to Institutional Investment Professionals

3 Day One: Indexation and Passive Investment Conference 08:30 09:00 Registrations, Morning Coffee and Tea 09:00 09:30 Opening Address Noël Amenc, Director, EDHEC-Risk, and Professor of Finance, EDHEC Business School Theo Jeurissen, Chief Investment Officer, Pensioenfonds Metaal en Techniek (PMT), and Chairman of the International Advisory Board, EDHEC-Risk 09:30 10:45 ETFs in Institutional Investment EDHEC-Risk European ETF Survey 10:45 11:15 Morning Break Unveiling the results of an exclusive survey of European institutional investors > New trends in ETF usage > Perceived benefits and drawbacks of ETFs by asset classes > Perceived investment risk for asset owners using ETFs Valérie Baudson, Managing Director, Amundi ETF Felix Goltz, Head of Applied Research, EDHEC-Risk 11:15 12:45 ETFs Roundtable: Perceived Risks and Benefits of ETF Investments and Regulators Considerations: Towards More Regulation for ETFs? > Differences between ETFs and other exchange-traded products > Risks of synthetic replication versus physical replication of ETFs > Are ETFs increasing systemic risk? > Potential consequences on regulation. Clement Boidard, Policy Officer, European Securities and Markets Authority Gian Luigi Costanzo, Chairman, Generali Fund Management Alain Dubois, Chairman, Lyxor Asset Management Frédéric Ducoulombier, Director, EDHEC Risk Asia 12:45 14:00 Lunch Break AFTERNOON Workshops 14:00 15:00 Advances in Dynamic Risk Control Organised by: Koris International > Absolute and relative active risk management > Pitfalls related to the design of dynamic Core-Satellite portfolios > Understanding the factors that influence the expected growth rate of dynamically managed portfolios Jean-René Giraud, Chief Executive Officer, Koris International Daniel Mantilla, Head of R&D, Koris International Confirmed roundtable panellists: Roundtable moderated by Chris Flood, ETF reporter, FTfm Scott Ebner, Global Head of ETF Product Development, SPDR ETFs Pedro Fernandes, Head of ETPs Europe, NYSE Euronext Tony Hanlon, Manager Asset Management Sector, FSA Jaime Martínez Gómez, CIO, Fonditel 14:00 15:00 Performance and Risk Differential Between Defensive and Dynamic Indices Organised by: Russell Investments > Are managers mispricing risk? > Developing a new process for analysis of market and manager performance > Combining quantitative and qualitative measures of risk to provide benefits for active and passive managers Rolf Agather, Managing Director, Research & Innovation Russell Indexes, Russell Investments Gareth Parker, Director, Index Research, Design & Development EMEA Russell Indexes, Russell Investments Nick Spencer, Director, Consulting EMEA, Russell Investments 14:00 15:00 ETFs, Ideal Tools for Smart Asset Allocation Strategies Organised by: Amundi ETF > What are the key criteria to consider before investing? > Examples of smart and simple asset allocation strategies > How to trade efficiently and at the lowest cost? Tim Miller, Senior Relationship Manager, Amundi ETF UK and Ireland AFTERNOON stream sessions 15:15 16:15 Dynamic Allocation Strategies with Exchange-Traded Funds > Capturing the market value, or momentum premium with downside risk control > Controlling extreme risk from concentrated sector allocation strategies > Exploiting ETF liquidity for dynamic risk-controlled strategies Tim Miller, Senior Relationship Manager, Amundi ETF Felix Goltz, Head of Applied Research, EDHEC-Risk 15:15 16:15 Building New Benchmarks Suitable to Institutional Investors: The Case of Equity Indices with Low Sovereign Risk > Sovereign risk in global equity portfolios > Assessing sovereign credit risk exposure of equities > A building-block approach to the construction of a low sovereign risk equity index > From quantitative to qualitative screening Fahd Rachidy, Senior Quantitative Financial Analyst, EDHEC-Risk 15:15 16:15 Passive Investment: Considerations When Including SRI Factors > How to reconcile efficient diversification and stock picking within an SRI framework > Can Passive SRI Investing perform better than traditional investment management? > Presentation of the FTSE EDHEC-Risk ERAFP SRI Eurobloc Index Eric Shirbini, Business Development Director Europe, EDHEC-Risk Indices and Benchmarks Olivier Bonnet, Head of SRI, ERAFP 15:15 16:15 Beyond 1/N > How do equal-weighted portfolios perform relative to value- and price-weighted portfolios > Comparing the systematic risk and return of equal-, value-, and price-weighted portfolios > What is the source of the alpha of equal-weighted portfolios Konrad Sippel, Head of Product Development Executive Director, Stoxx Raman Uppal, Professor of Finance, EDHEC Business School 15:15 16:15 Liquidity in ETF markets > The determinants of liquidity in the ETF secondary market > Competition in ETF markets and liquidity > The effects of ETFs on stocks liquidity Laurent Deville, Affiliate Professor, EDHEC Business School 16:15 16:45 Afternoon Break 16:45 18:00 Investing in New Forms of Equity Indices > Representativeness versus efficiency: optimality conditions of the different forms of equity indices > Diversification of new forms of indices > How to manage investment risk within the new weighting scheme? Isabelle Bourcier, Head of product development, OSSIAM Lionel Martellini, Professor of Finance, EDHEC Business School, and Scientific Director, EDHEC-Risk 18:00-19:00 Drinks Reception EDHEC-Risk Days Europe 2012 l 4 l Bringing Research Insights to Institutional Investment Professionals EDHEC-Risk Days Europe 2012 l 5 l Bringing Research Insights to Institutional Investment Professionals

4 Day Two: Global Institutional Investment Conference The Future of Pension Funds: Prudential Regulation, Governance, Dynamic LDI Strategies Pension Fund Roundtable - Pensions at Risk: How to Protect Investors from Pension Fund Risk? > How to ensure protection of investors from the default risk of a pension fund or its sponsor > Is prudential regulation sufficient to cope with pension fund default risk? > How to protect the assets of a corporate pension fund when the sponsor defaults > Which insurance strategy for pensioners? The Case of Hybrid Pension Schemes in Europe > From pension risk to sponsor risk: recent evolutions and major risks of retirement systems > Plan design and governance: towards an ideal retirement plan > Challenges for the financial management of hybrid pension plans Dynamic Investment Strategies for Corporate Pension Funds in the Presence of Sponsor Risks > From static to dynamic LDI strategies > Reducing the opportunity cost of downside risk protection for corporate pension plans > Dynamic LDI strategies with performance caps > Dynamic LDI strategies and insurance against sponsor risk Dynamic Asset Allocation for Insurance Companies Solvency II Benchmarks: > How to limit the capital cost of equity investment with dynamic asset management of budget risks > Conceptual principal of Solvency II benchmarks > Solvency II benchmarks as part of an internal model for equity investing Inflation-Linked Investment The Benefits of Sovereign, Municipal and Corporate Inflation-Linked Bonds in Long-Term Investment Decisions > Benefits of inflation-linked debt from a diversification perspective within performance-seeking portfolios > Benefits of inflation-linked debt for inflation-hedging purposes within liability-hedging portfolios > Measuring and managing credit and default risk for inflation-linked debt in private and institutional money management Operational Risk and Performance What are the Preferred Options of the Fund Management Industry Regarding Non-financial Risk Management? > Better regulation? > Improved risk management practices? > More transparency? > Cost implications of better investor protection EDHEC-Risk Days Europe 2012 l 6 l Bringing Research Insights to Institutional Investment Professionals EDHEC-Risk Days Europe 2012 l 7 l Bringing Research Insights to Institutional Investment Professionals

5 Day Two: Global Institutional Investment Conference 08:15 08:45 Registrations, Morning Coffee and Tea :15 Pension Fund Roundtable - Pensions at Risk: How to Protect Investors from Pension Fund Risk? > How to ensure protection of investors from the default risk of a pension fund or its sponsor > Is prudential regulation sufficient to cope with pension fund default risk? > How to protect the assets of a corporate pension fund when the sponsor defaults > Which insurance strategy for pensioners? Erwan Boscher, Head of LDI and Fiduciary Management, AXA IM Christian Böhm, Chief Executive Officer, APK Pensionskasse Aktiengesellschaft Sally Bridgeland, Chief Executive Officer, BP Pension Trustees Ltd Martin Clarke, Executive Director of Financial Risk, Pension Protection Fund 10:15-10:45 Morning Break morning S 10:45 12:00 The Case of Hybrid Pension Schemes in Europe > From pension risk to sponsor risk: recent evolutions and major risks of retirement systems > Plan design and governance: towards an ideal retirement plan > Challenges for the financial management of hybrid pension plans Elodie Laugel, Head Actuarial and Financial Engineering, AXA IM Samuel Sender, Applied Research Manager, EDHEC-Risk 10:45 12:00 Dynamic Investment Strategies for Corporate Pension Funds in the Presence of Sponsor Risks > From static to dynamic LDI strategies > Reducing the opportunity cost of downside risk protection for corporate pension plans > Dynamic LDI strategies with performance caps > Dynamic LDI strategies and insurance against sponsor risk Pierre Moulin, Head of Financial Engineering, BNP Paribas Investment Partners Lionel Martellini, Professor of Finance, EDHEC Business School, and Scientific Director, EDHEC-Risk Confirmed roundtable panellists: Roundtable moderated by Liam Kennedy, Editor, Investment & Pensions Europe Allan Johnston, Trustee Chairman, British Steel Pension Fund Nicolas Le Clech, Global Head of IRP, BNP Paribas Securities Services Samuel Sender, Applied Research Manager, EDHEC-Risk 10:45 12:00 PhD Forum: Monetary Policy and Portfolio Choice over the Life Cycle > Impact of monetary policy conservativeness/ aggressiveness and activeness/passiveness > Effects over the stock/bond mix and welfare for a long-term investor > Welfare benefit of stochastic inflation hedging Chairmen: René Garcia, Academic Director, PhD in Finance, EDHEC-Risk, and Professor of Finance, EDHEC Business School Raman Uppal, Professor of Finance, EDHEC Business School Andrea Tarelli, Research Assistant, EDHEC-Risk, and PhD in Finance Student 12:00 13:15 Lunch Break AFTERNOON Workshops 13:15 14:15 Diversification: It s all about Quality, not Quantity Organised by: Lyxor AM > How much transparency is needed: The sweet spot between holding based and return based approaches > How much diversification is needed: A new answer using transparency > How to achieve sustainable diversification: On the importance of dynamic risk management Serge Darolles, MAP Research, Lyxor AM Mathieu Vaissié, Senior Portfolio Manager, Lyxor AM 13:15 14:15 Dynamic Asset Allocation Solutions for Pension Funds Organised by: BNP Paribas Investment Partners > Catering for the different stakeholders: the integrated ALM approach > Conflict of interest between the different stakeholders: illustration in the Dutch case, conditional indexation and the discussion about nominal versus real funding ratio > Dynamic strategies as way to alleviate those conflict of interests: reaching indexation for pensioners through risky but controlled investment > Dynamic solutions proposed in practice: from LDI solutions to risk overlays > Innovation in building blocks: the case of low volatility investment for equities Thomas Heckel, Head of Solutions within Financial Engineering, BNP Paribas Investment Partners Anton Wouters, Head of LDI & Fiduciary Management, BNP Paribas Investment Partners AFTERNOON stream sessions 14:30 15:45 What are the Preferred Options of the Fund Management Industry Regarding Nonfinancial Risk Management? > Better regulation? > Improved risk management practices? > More transparency? > Cost implications of better investor protection Jean-Marc Eyssautier, Chief Compliance Officer, CACEIS Noël Amenc, Director, EDHEC-Risk, and Professor of Finance, EDHEC Business School Samuel Sender, Applied Research Manager, EDHEC-Risk 14:30 15:45 The Benefits of Sovereign, Municipal and Corporate Inflation-Linked Bonds in Long-Term Investment Decisions > Benefits of inflation-linked debt from a diversification perspective within performance-seeking portfolios > Benefits of inflation-linked debt for inflation-hedging purposes within liability-hedging portfolios > Measuring and managing credit and default risk for inflation-linked debt in private and institutional money management Jean-Louis Laurens, Managing Partner & CEO, Rothschild & Cie Gestion, and Member of the International Advisory Board, EDHEC-Risk Lionel Martellini, Professor of Finance, EDHEC Business School, and Scientific Director, EDHEC-Risk 14:30 17:00 PhD Forum Cash-Flow Risk and World Consumption: Role and Relevance for the Cross-Section of International Equity Returns > Measuring the role of cash-flow risk for the crosssection of country returns > Country earnings and world consumption help on reconciling the performance of the international CCAPM > Do investors worry about world consumption risks and resulting FX exposure? Cybele Almeida, EDHEC-Risk PhD in Finance Student Risk Management of Corporate Liabilities Under Stochastic Recovery Time > Market Evidence and Motivation > Literature Review > Modeling Methodology > Risk Analysis of Corporate Bonds > Other Applications : Counterparty Credit Trading, Risk Management. Sitsofe Kodjo, EDHEC-Risk PhD in Finance Student Chairmen: René Garcia, Academic Director, PhD in Finance, EDHEC-Risk, and Professor of Finance, EDHEC Business School Raman Uppal, Professor of Finance, EDHEC Business School 15:45 16:15 Afternoon Break Plenary Session 16:15 17:30 Solvency II Benchmarks > How to limit the capital cost of equity investment with dynamic asset management of budget risks > Conceptual principal of Solvency II benchmarks > Solvency II benchmarks as part of an internal model for equity investing Pascal Duval, CEO, EMEA, Russell Investments Lionel Martellini, Professor of Finance, EDHEC Business School, and Scientific Director, EDHEC-Risk 17:30 End of the Institutional Investment Conference EDHEC-Risk Days Europe 2012 l 8 l Bringing Research Insights to Institutional Investment Professionals EDHEC-Risk Days Europe 2012 l 9 l Bringing Research Insights to Institutional Investment Professionals

6 Day Three: Alternative Investment Conference Regulation and Investor Protection Hedge Fund Roundtable: Is the AIFM Directive Really Guaranteeing Better Protection for Investors? > Do the new rules in terms of depositary responsibility actually take into account the lessons of recent hedge fund failures? > Are the new obligations in terms of transparency and reporting on risk sufficient to guarantee the information and protection of investors? > Is the AIFM directive truly structuring a competitive market and securing alternative investment funds in Europe or is it obsolete given the development of Newcits? High Frequency Trading: Consequences and Recent Developments > The scientific evidence > Challenges for regulators and market participants > Outlook: where will we go from here? Asset Allocation and Derivative Instruments Idiosyncratic Volatility Hedging for Better Management of Portfolio Volatility > Relationship between systematic volatility and idiosyncratic volatility > Solutions to better approximate geographical or sector components of volatility > Implementation of idiosyncratic volatility mean approaches to portfolio volatility management Asset Allocation and Alternative Diversification Non-parametric Hedge Fund Modelling and Implications for Hedge Funds > Limitations of traditional approaches to modelling hedge fund payoffs > Advantage of a stochastic discount factor approach to modelling hedge fund risks > Aligning allocation decisions with performance measurement in the hedge fund universe Skewness as an Asset Class > Empirical properties of skewness > Implied and realised skewness and their information content > Benefits of skewness exposure Commodity Investing Idiosyncratic-Risk-Based Commodity Strategy > Benchmark definition and portfolio construction > Performance evaluation > Can the idiosyncratic-risk based portfolios be used for risk diversification and inflation hedging? Intelligent Commodity Investing and Trading > Commodity price dynamics when real interest rates are near zero > Public policy considerations and empirical evidence regarding commodity price volatility > Portfolio construction and risk management in a commodity futures portfolio > Lessons from the MF Global bankruptcy The Impact of Long-Short Commodity Investing on Risk Management and Regulation > Measuring the returns earned by commodity speculator > Long-short commodity portfolios as a hedge against extreme equity risk > Are long-short speculators destabilising commodity markets by increasing volatility and cross market linkage? Private Equity Investments Determinants of Private Equity Investments Returns > Return spectrum and analysis of influential factors on returns of more than 10,000 PE investments > Are quick-flips the norm? > Which firm characteristics impact returns most? > Do PE firms add value? and if so, how? EDHEC-Risk Days Europe 2012 l 10 l Bringing Research Insights to Institutional Investment Professionals EDHEC-Risk Days Europe 2012 l 11 l Bringing Research Insights to Institutional Investment Professionals

7 Day Three: Alternative Investment Conference 08:15 08:45 Registrations, Morning Coffee and Tea :15 Hedge Fund Roundtable: Is the AIFM Directive Really Guaranteeing Better Protection for Investors? > Do the new rules in terms of depositary responsibility actually take into account the lessons of recent hedge fund failures? > Are the new obligations in terms of transparency and reporting on risk sufficient to guarantee the information and protection of investors? > Is the AIFM directive truly structuring a competitive market and securing alternative investment funds in Europe or is it obsolete given the development of Newcits? Noël Amenc, Director, EDHEC-Risk Jiri Krol, Director of Government & Regulatory Affairs, AIMA Nathanaël Benzaken, Managing Director - Head of Managed Account Development, Lyxor Asset Management Eric Bissonnier, Chief Strategist, EIM GROUP 10:15-10:45 Morning Break MORNING S 10:45 12:00 The Impact of Long-Short Commodity Investing on Risk Management and Regulation > Measuring the returns earned by commodity speculators > Long-short commodity portfolios as a hedge against extreme equity risk > Are long-short speculators destabilising commodity markets by increasing volatility and cross market linkage? Bluford H. Putnam, Chief Economist, CME Group Joelle Miffre, Professor of Finance, EDHEC Business School 10:45 12:00 Idiosyncratic Volatility Hedging for Better Management of Portfolio Volatility > Relationship between systematic volatility and idiosyncratic volatility > Solutions to better approximate geographical or sector components of volatility > Implementation of idiosyncratic volatility mean approaches to portfolio volatility management Jean Tricou, Director of Investment Banking and Markets, FBF Lionel Martellini, Professor of Finance, EDHEC Business School, and Scientific Director, EDHEC-Risk Confirmed roundtable panellists: Roundtable moderated by Baptiste Aboulian, Associate Editor, Ignites Europe Thomas Deinet, Executive Director, Hedge Fund Standards Board William Douglas, Managing Director, Equities Division, Goldman Sachs Jean-Marc Eyssautier, Chief Compliance Officer, CACEIS Henning Schwabe, Partner Investment Funds, Arendt & Medernach 10:45 12:00 Non-parametric Hedge Fund Modelling and Implications for Hedge Fund Performance Evaluation and Asset Allocation Decisions > Limitations of traditional approaches to modelling hedge fund payoffs > Advantage of a stochastic discount factor approach to modelling hedge fund risks > Aligning allocation decisions with performance measurement in the hedge fund universe James Skeggs, Head of Research, EMEA, Newedge Group René Garcia, Academic Director, PhD in Finance, EDHEC-Risk, and Professor of Finance, EDHEC Business School 12:00 13:15 Lunch Break AFTERNOON Workshops 13:15-14:15 What Investors Should Consider Before Investing in Hedge Funds Organised by: THEAM, BNP Paribas Investment Partners > Hedge Funds : key facts, figures and risks of a large and complex world > Parameters to consider before selecting hedge funds > Solutions available for Institutional Investors considering investments in Hedge Funds Eric Debonnet, Head of Hedge Fund Solutions, THEAM, BNP Paribas Investment Partners 13:15-14:15 Essential Strategies for Managing Tail Risk Organised by: State Street Global Advisors Managing tail risk is currently one of the most commonly discussed topics among investment professionals. Some argue that in managing tail risk, hedging strategies should be an integral part of any comprehensive investment plan. Solutions investors should consider in trying to manage these tail-risk events, including: > Direct hedging-buying puts > Directly reducing equity risk-equity managed volatility > Negatively correlated strategies-systematic managed Futures > Portfolio Diversification-risk parity Ric Thomas, Head of Alternative Investments, State Street Global Advisors AFTERNOON Stream S 14:30 15:45 Idiosyncratic-Risk-Based Commodity Strategy > Benchmark definition and portfolio construction > Performance evaluation > Can the idiosyncratic-risk based portfolios be used for risk diversification and inflation hedging? Joelle Miffre, Professor of Finance, EDHEC Business School 14:30 15:45 High Frequency Trading: Consequences and Recent Developments > The scientific evidence > Challenges for regulators and market participants > Outlook: where will we go from here? Ekkehart Boehmer, Professor of Finance, EDHEC Business School 14:30 15:45 Skewness as an Asset Class > Empirical properties of skewness > Implied and realised skewness and their information content > Benefits of skewness exposure Stoyan Stoyanov, Professor of Finance, EDHEC Business School, and Head of Research, EDHEC Risk Asia 15:45 16:15 Afternoon Break 16:15 17:30 Intelligent Commodity Investing and Trading > Commodity price dynamics when real interest rates are near zero > Public policy considerations and empirical evidence regarding commodity price volatility > Portfolio construction and risk management in a commodity futures portfolio > Lessons from the MF Global bankruptcy Hilary Till, Principal, Premia Capital Management LLC, and Research Associate, EDHEC-Risk 16:15 17:30 Determinants of Private Equity Investments Returns > Return spectrum and analysis of influential factors on returns (speed, firm structure, investment size, business cycle, exit route) of more than 10,000 PE investments > Are quick-flips the norm? > Which firm characteristics impact returns most? > Do PE firms add value? and if so, how? Florencio Lopez de Silanes, Professor of Finance, EDHEC Business School, and Director of Mutual Fund Governance Research Programme, EDHEC-Risk 16:15 17:30 Why Hedge Funds Disappointed and Will Continue to Disappoint > The negative alpha in the hedge fund industry > Sources of the high correlation with traditional assets > Over-delegation versus alignment of interests > Excessive fees on fees > Diworsification and copycat investing Francois-Serge Lhabitant, Professor of Finance, EDHEC Business School, and CEO/CIO, Kedge Capital 17:30 End of the Alternative Investment Conference EDHEC-Risk Days Europe 2012 l 12 l Bringing Research Insights to Institutional Investment Professionals EDHEC-Risk Days Europe 2012 l 13 l Bringing Research Insights to Institutional Investment Professionals

8 EDHEC-Risk Days Europe March London Day 1 Synopsis 8:30 8:15 8:15 9:00 Registrations, Morning Coffee and Tea 8:45 Registrations, Morning Coffee and Tea 8:45 9:30 Opening Address 10:45 10:15 10:15 11:15 Morning break 10:45 Morning break 10:45 12:45 14:00 15:00 15:15 16:15 16:45 18:00 19:00 ETFs in Institutional Investment EDHEC-Risk European ETF Survey ETFs Roundtable: Perceived Risks and Benefits of ETF Investments and Regulators Considerations: Towards More Regulation for ETFs? AFTERNOON WORKSHOPS Advances in Dynamic Risk Control Dynamic Allocation Strategies with Exchange- Traded Funds Building New Benchmarks Suitable to Institutional Investors: The Case of Equity Indices with Low Sovereign Risk Lunch break AFTERNOON WORKSHOPS Performance and Risk Differential Between Defensive and Dynamic Indices Passive Investment: Considerations When Including SRI Factors Afternoon break Beyond 1/N Investing in New Forms of Equity Indices Drinks Reception AFTERNOON WORKSHOPS ETFs, Ideal Tools for Smart Asset Allocation Strategies Liquidity in ETF markets Day 2 Synopsis 12:00 13:15 14:15 14:30 15:45 16:15 17:00 17:30 The Case of Hybrid Pension Schemes in Europe What are the Preferred Options of the Fund Management Industry Regarding Non-financial Risk Management? Pension Fund Roundtable - Pensions at Risk: How to Protect Investors from Pension Fund Risk AFTERNOON WORKSHOPS Diversification: it s all about Quality, not Quantity Afternoon break Solvency II Benchmarks Dynamic Investment Strategies for Corporate Pension Funds in the Presence of Sponsor Risks Lunch break The Benefits of Sovereign, Municipal and Corporate Inflation-Linked Bonds in Long-Term Investment Decisions PhD Forum: Monetary Policy and Portfolio Choice over the Life Cycle AFTERNOON WORKSHOPS Dynamic Asset Allocation solutions for pension funds End of the Institutional Investment conference PhD Forum: Cash-Flow Risk and World Consumption: Role and Relevance for the Cross-Section of International Equity Returns PhD Forum: Risk Management of Corporate Liabilities Under Stochastic Recovery Time Day 3 Synopsis 12:00 13:15 14:15 14:30 15:45 16:15 17:30 Registrations, Morning Coffee and Tea Hedge Fund Roundtable: Is the AIFM Directive Really Guaranteeing Better Protection for Investors? The Impact of Long- Short Commodity Investing on Risk Management and Regulation AFTERNOON WORKSHOPS What Investors Should Consider Before Investing in Hedge Funds Idiosyncratic-Risk-Based Commodity Strategy Intelligent Commodity Investing and Trading Morning break Idiosyncratic Volatility Hedging for Better Management of Portfolio Volatility Lunch break High Frequency Trading: Consequences and Recent Developments Afternoon break Determinants of Private Equity Investments Returns End of the Alternative Investment Conference Non-parametric Hedge Fund Modelling and Implications for Hedge Fund Performance Evaluation and Asset Allocation Decisions AFTERNOON WORKSHOPS Essential Strategies for Managing Tail Risk Skewness as an Asset Class Why Hedge Funds Disappointed and Will Continue to Disappoint EDHEC-Risk Days Europe 2012 l 14 l Bringing Research Insights to Institutional Investment Professionals EDHEC-Risk Days Europe 2012 l 15 l Bringing Research Insights to Institutional Investment Professionals

9 Global Event Partners Gold Sponsors Amundi ETF boulevard Pasteur Paris Cedex 15 - France Tel.: +33 (0) Amundi ETF is a product range of the Amundi Group. Amundi ranks second in Europe 1 and ninth worldwide 1 among the players in asset management with billion under management. 2 Amundi offers a comprehensive range of products covering all asset classes and major currencies. With more than 100 ETFs 1 and $9.9 billion ( 6.9 billion) in assets under management, 2 the Amundi ETF range of products covers the main asset classes (equities, fixed income, EONIA, and commodities) and geographical exposures (Europe, US, emerging markets, and world). As one of the pioneers in the ETF market with its first products launched in 2001, Amundi ETF is characterized by its quality products, continuous innovation, and its low cost policy. Amundi Group was awarded Best Europe Equity ETF Manager 2010 and Best Fixed Income Cash (Money Market) ETF Manager 2011 as voted by the readers of ETF Express in March 2010 and March 2011 respectively. The Amundi ETF product range is distributed by dedicated sales teams in France, Germany, Italy, the Netherlands, Switzerland, and the United Kingdom. Lyxor Tours Société Générale - 17 Cours Valmy Paris La Défense - France Tel: +33 (0) Lyxor Asset Management, subsidiary of Société Générale Group, is a specialised provider of advanced investment solutions. We focus on offering innovative sources of performance anchored on research and risk management, with a maximum of safety, liquidity and transparency, adapted to our clients needs and risk/return profile. With over EUR 81.9 billion in assets under management*, Lyxor has established itself as a global player in four major growing investment specialties: alternative investments, index tracking (ETFs), quantitative investments and structured solutions. More than a decade of experience provided Lyxor with an in-depth knowledge and insights into asset allocation strategy and research. Employing more than 650 professionals, Lyxor is present in every strategic investment locations in the world. *AuM as of end of August Ossiam 80 avenue de la Grande Armée Paris - France Tel.: +33 (0) Ossiam is an affiliate of Natixis Global Asset Management, one of the 15 largest asset managers in the world. Headquartered in Paris, France, Ossiam intends to offer access to multiple financial asset classes via ETF (Exchange Traded Funds), an investment tool easy to integrate into global portfolio allocation. Ossiam s professionals have worked in the ETF, asset management and investment banking industries, providing Ossiam with a broad area of expertise which includes investment management, ETF structuring, quantitative research and financial analysis. Stoxx Limited Selnaustrasse Zurich - Switzerland Tel.: +41 (0) STOXX Ltd. is an established and leading index specialist of European origins. The launch of the first STOXX indices in 1998, including the EURO STOXX 50 index, marked the beginning of a unique success story, based on the company s neutrality and independence. Since then, STOXX has been at the forefront of market developments, continuously expanding its portfolio of innovative indices and now operating on a global level, across all asset classes. STOXX Limited is committed to delivering its highquality, reliable and trusted index offerings to its global client base. The indices are licensed to more than 400 companies among the world s largest financial products issuers, capital owners, and asset managers. They are used not only as underlyings for financial products such as ETFs, futures and options, and structured products, but also for risk and performance measurement. In addition, STOXX Ltd. is the marketing agent for the indices of Deutsche Börse AG and SIX Group AG, among them the DAX and the SMI indices. 1 - Total net assets. Source IPE Top 400 asset managers active in the European marketplace published in June 2011, data as at December Amundi Group figures as at 30 June Silver Sponsors BNP Paribas Investment Partners 14 rue Bergère Paris - France Tel.: +33 (0) BNP Paribas Investment Partners is the autonomous asset management business of the BNP Paribas Group. BNP Paribas Investment Partners offers the full range of investment management services to both institutional and retail clients around the world. Over 800 investment professionals work across our network of some 60 investment centres, each specialising in a particular asset class or type of product. With total assets under management of EUR 540 billion as of 30 June 2011, BNP Paribas Investment Partners is the 4th-largest asset manager in Europe and the 12th-largest in the world*. * Source: BNPP IP per 30 June 2011 Russell Indexes Europe, Middle East & Africa Russell Investments Rex House - 10 Regent Street London SW1Y 4PE - United Kingdom Tel.: +44(0) Russell Indexes are a comprehensive family of equity indexes which reflect how managers worldwide are investing today. With $3.9 trillion in investment assets benchmarked again them, Russell Indexes are leading the way in new definitions of styles and new active index strategies. Expect everything from Russell, including leading indexes for what the future brings. For more about the Russell Indexes, visit Caceis Bank 1 place Valhubert Paris - France Tel.: +33 (0) CACEIS is the asset servicing banking group of Crédit Agricole dedicated to institutional and corporate clients. Through offices across Europe, North America and Asia, CACEIS offers a comprehensive range of high quality products and services covering depositary and custodial services, fund administration, middle office services, fund distribution support and issuer services. With assets under custody of 2.4 trillion and assets under administration of 1.2 trillion, CACEIS is one of the world market leaders in asset servicing and the largest depositary bank and the premier fund administrator in Europe. CACEIS benefits from a solid A+ financial strength rating from Standard & Poor s. www. caceis.com Theam 14, rue Bergére Paris France Tel.: +33(0) Fully owned by BNP Paribas Investment Partners (the asset management business line of BNP Paribas), THEAM is an investment firm specialised in Index, Active systematic, Guaranteed and Alternative management. Established in April 2011, THEAM is the result of a joint project between BNPP Investment Partners (BNPP IP) and BNP Paribas Corporate and Investment Banking (CIB) combining the Indexed, Structured and Guaranteed expertise of the SIGMA division from BNP Paribas Asset Management with Harewood Asset Management, specialised in systematic strategies and alternative investment solutions. With EUR 42.5 billion* in assets under management and 140 investment and market professionals, THEAM serves a worldwide client base and is backed by the sales force of BNP Paribas IP and BNP Paribas CIB over 400 sales representatives and benefits from strong positions in five domestic markets (France, Italy, Belgium, the Netherlands and Luxembourg). BNP Paribas Securities Services 9 rue du Débarcadère Pantin - France Tel: +33 (0) BNP Paribas Securities Services, a wholly-owned subsidiary of BNP Paribas, is a leading global custodian and securities services provider backed by the strength of one of the safest universal bank. It provides integrated solutions to all participants in the investment cycle: buy-side, sell-side, corporates and issuers. The bank has a local presence in 32 countries across five continents, effecting global coverage of over 100 markets. It partners with clients to help overcome complexity, while offering a one-stop shop for all asset classes, both onshore and offshore, around the world. Key figures (June 2011): USD 6,975 billion of AUC, USD 1,244 billion AUA and 6,619 administered funds. SPDR ETFs 20 Churchill Place, Canary Wharf London E14 5HJ - United Kingdom Tel.: +44 (0) Offered by State Street Global Advisors, SPDR ETFs provide professional investors with the flexibility to select investments that are precisely aligned to their investment strategy. Recognised as an industry pioneer, State Street Global Advisors created the first ETF in 1993 (SPDR S&P 500). Since then, each new member of the SPDR ETF family has been built to reflect our intimate knowledge of the ETF market, not to mention our more than 30 years of indexing experience. Today we manage more than $244B of ETF assets worldwide (as of ). NYSE Euronext 39 rue Cambon Paris Cedex 01 - France Tel.: +33 (0) NYSE Euronext (NYX) is a leading global operator of financial markets and provider of innovative trading technologies. The company s exchanges in Europe and the United States trade equities, futures, options, fixed-income and exchange-traded products. With approximately 8,000 listed issues (excluding European Structured Products), NYSE Euronext s equities markets the New York Stock Exchange, NYSE Euronext, NYSE Amex, NYSE Alternext and NYSE Arca represent one-third of the world s equities trading, the most liquidity of any global exchange group. NYSE Euronext also operates NYSE Liffe, one of the leading European derivatives businesses and the world s secondlargest derivatives business by value of trading. The company offers comprehensive commercial technology, connectivity and market data products and services through NYSE Technologies. NYSE Euronext is in the S&P 500 index, and is the only exchange operator in the Fortune 500. For more information, please visit: *as of 30 September 2011 Koris International 45 Allée des ormes, Bâtiment D - Parc Technologique de Sophia Antipolis BP Mougins cedex - France Tel.: +33 (0) contact@koris-intl.com - contact@koris-intl.com Koris International offers asset managers and private banks advanced asset allocation solutions based on the latest available academic research. Founded in 2007 by a team of asset allocation experts from both academia and industry, Koris International seeks to bridge the gap between financial research and industry needs and in so doing to offer highly sophisticated but pragmatic technology to fulfill client s needs. Positioned as a B2B provider exclusively to firms regulated to manage client assets, Koris International offers its services to those parties seeking to benefit from the most advanced academic research through solutions that have proven sophisticated, yet effective. State Street Global Advisors 20 Churchill Place, Canary Wharf London, E14 5HJ - United Kingdom Tel: State Street Global Advisors (SSgA) is a global leader in asset management. Sophisticated investors worldwide rely on SSgA for our disciplined, precise investment process and powerful global investment platform that provides access to every major asset class, capitalization range and style. As the asset management business of State Street Corporation, one of the world s leading providers of financial services to institutional investors, SSgA has the financial strength, global expertise and advanced research capabilities to deliver client-focused solutions. SSgA also attained ETF industry leadership, with SPDR, including first-to-market launches with gold, international real estate and fixed income and sector ETFs. Exhibitors Media Partners EDHEC-Risk Days Europe 2012 l 16 l Bringing Research Insights to Institutional Investment Professionals EDHEC-Risk Days Europe 2012 l 17 l Bringing Research Insights to Institutional Investment Professionals

10 Thank You Without the support of the industry over the past ten years, EDHEC-Risk would never have been able to develop the ambitious research programmes that allow it to combine academic excellence and business relevance today. Industry surveys: comparing research advances with industry best practices EDHEC-Risk regularly conducts surveys on the state of the European asset management industry. These look specifically at the application of recent research advances within investment management companies and at best practices in the industry. Survey results receive considerable attention from professionals and are extensively reported on by the international financial media. Recent industry surveys conducted by EDHEC-Risk Since 2001, EDHEC has been pursuing an ambitious policy in terms of international research. This policy, known as Research for Business, aims to make EDHEC an academic institution of reference for the industry in a small number of areas in which the school has reached critical mass in terms of expertise and research results. Among these areas, asset and risk management have occupied privileged positions, leading to the creation in 2001 of a major research facility: EDHEC-Risk. This institute now boasts a team of 80 permanent professors, engineers and support staff, as well as 18 research associates from the financial industry and 6 affiliate professors. EDHEC-Risk is located at campuses in Singapore, which was established at the invitation of the Monetary Authority of Singapore (MAS), the City of London in the United Kingdom, and Nice, France. In addition, it has a research team located in the United States. The philosophy of the institute is to validate its work by publication in prestigious academic journals, but also to make it available to professionals and to participate in industry debate through its Position Papers, published studies and conferences. Each year, EDHEC-Risk organises two conferences for professionals in order to present the results of its research, one in London (EDHEC Risk Days Europe) and one in Singapore (EDHEC Risk Days Asia), attracting more than 2,000 professional delegates. To ensure the distribution of its research to the industry, EDHEC-Risk also provides professionals with access to its website, which is entirely devoted to international risk and asset management research. The website, which has more than 50,000 regular visitors, is aimed at professionals who wish to benefit from EDHEC-Risk s analysis and expertise in the area of applied portfolio management research. Its monthly newsletter is distributed to more than 1,000,000 readers. Executive Education Activities EDHEC-Risk has highly significant executive education activities for professionals. In partnership with CFA, it has developed advanced seminars based on its research which are available to CFA charterholders and have been taking place since 2008 in New York, Singapore and London. EDHEC-Risk has an original PhD in Finance programme which, in addition to its highly selective residential track for young talents worldwide, has an executive track for high level professionals who already have masters degrees from prestigious universities and significant industry experience. These professionals are looking to go beyond their usual activities in order to develop research on the concepts that are relevant to their occupation. Complementing the core faculty, this unique PhD in Finance programme has highly prestigious affiliate faculty from universities such as Princeton, Wharton, Oxford, Chicago and CalTech. EDHEC-Risk Research for Business The EDHEC-Risk website puts EDHEC-Risk s analyses and expertise in the field of asset management and ALM at the disposal of professionals. The site examines the latest academic research from a business perspective, and provides a critical look at the most recent industry news. EDHEC-Risk Days Europe 2012 l 18 l Bringing Research Insights to Institutional Investment Professionals EDHEC-Risk Days Europe 2012 l 19 l Bringing Research Insights to Institutional Investment Professionals

11 EDHEC-Risk Days Europe March London, The Brewery 52 Chiswell Street - London - EC1Y 4SD - United Kingdom Delegate Fee The registration fee includes buffet lunch, refreshments and full conference documentation. Delegates may be refused admission if payment is not received prior to the conference. VAT at UK Rate (20%) Delegate Fee VAT Included Special rate until January 20 th, 2012 for three day attendance Standard rate for three day attendance Standard rate for attendance on March 27 th and 28 th (please send an to eridays2012@edhec-risk.com to register ) Standard rate for attendance on March 29 th (please send an to eridays2012@edhec-risk.com to register ) Investor rate: pension schemes, charities, endowments, foundations, insurance companies (third party asset management excluded), single family offices and financial executives from non-financial companies should contact: eridays2012@edhec-risk.com or for their registrations. FREE CANCELLATION POLICY Given the moderate conference fee, we do not accept cancellations; invoiced sums will remain payable in full. If a registered delegate is unable to attend, a substitute delegate from the same organisation is welcome at no extra charge. Conference documentation designed by EDHEC Business School will be made available online to all delegates. EDHEC Business School reserves the right to alter the programme without notice. REGISTER NOW FOR THREE DAY ATTENDANCE ENQUIRIES eridays2012@edhec-risk.com Phone: EDHEC-Risk 393 promenade des Anglais BP Nice Cedex 3 - France Tel: +33 (0) EDHEC Risk Europe 10 Fleet Place - Ludgate London EC4M 7RB - United Kingdom Tel: EDHEC Risk Asia 1 George Street - #07-02 Singapore Tel.: