Morningstar Ibbotson Conference Agenda Asset Allocation and Investment Management in a Changing World

Transcription

1 Page 1 of 6 Morningstar Ibbotson Conference Agenda Asset Allocation and Investment Management in a Changing World March 3-4, 2011 Orlando, Florida JW Marriott Grande Lakes Thursday March 3 7:00a 4:00p Registration Open 7:00a 9:00a Breakfast Buffet 8:00a Welcome Address 8:15a 9:05a General Session I 9:15a 10:00a 10:00a 10:20a 10:25a 11:15a General Session II 11:25a 12:10p 12:15p 12:45p 12:45p 1:45p 2:00p 2:45p 2:50p 3:35p 3:35p 3:55p 4:00p 4:55p 6:00p 8:00p Lunch Keynote Address General Session III Dinner and Cocktails Friday March 4 7:00a 9:00a 8:00a 8:55a 9:00a 9:45a 9:45a 10:05a Breakfast Buffet General Session IV 10:05a 10:50a 11:00a 11:55a General Session V 12:00p Closing Comments

2 Page 2 of 6 Thursday March 3 Registration Open 7:00a 4:00p Breakfast Buffet 7:00a 9:00a Sponsored by: T. Rowe Price Welcome Address 8:00a General Session I 8:15a 9:05a The Liquidity Style of Mutual Funds Roger Ibbotson, Ph.D., Professor, Yale School of Management, Zebra Capital Management, Founder, Ibbotson Associates Last year Roger Ibbotson documented the impressive relative performance of less-liquid publicly traded stocks. This suggested that liquidity is an equity style just like large vs. small or value vs. growth. However, a style should be more than just a strategy that works; it should show up in the mutual fund universe as a way of differentiating funds. Amazingly, the holdings of a mutual fund reveal its liquidity style and have a large impact on a fund s return, beyond the explanatory power of the market factor, size, value/growth, or momentum. 9:15a 10:00a Active Share and Mutual Fund Performance Around the World Martijn Cremers, Ph.D., Professor, Yale School of Management Martijn Cremers will present findings from the paper How Active is Your Fund Manager? A New Measure that Predicts Performance, which introduces Active Share as a measure of the difference between the holdings of a fund and the holdings of the fund s benchmark index. In this presentation, Cremers will present new work extending the analysis of Active Share and mutual fund performance across different international markets and different equity investment styles. Ibbotson s Economic and Market Outlook Francisco Torralba, Ph.D., Economist, Ibbotson Associates The global economy faces a two-speed recovery: while emerging markets race ahead, mature economies plod along. Against this backdrop, the United States faces the challenges of sustaining economic growth and rebalancing its current account and balance sheet with very limited additional monetary and fiscal stimulus. Attend this session to find out Ibbotson s global economic outlook, and to learn what it means for the U.S. economy and financial markets. How ETFs Fit Into Your Asset Allocation Paul Justice, CFA, Director of ETF Research, Morningstar, Inc. An ETF s name says what it is supposed to do, but does the structure allow the fund to do what it says? Join us as we evaluate optimal ETF legal structures for different asset classes, use advanced data points to discuss ETF performance, and evaluate the additional liquidity layers that ETFs provide are changing the way the underlying assets are priced.

3 Page 3 of 6 10:00a 10:20a Sponsored by: Red Rocks Capital General Session II 10:25a 11:15a Risk in Financial Markets: The Prime Directive Versus Sharks Rodney Sullivan, Head of Publications, CFA Institute, and the Editor-in-Chief, Financial Analysts Journal Asset bubbles and their subsequent bursts have been a part of capital markets since modern capital markets began to evolve some 300 years ago. Although each bubble environment has its own distinguishing characteristics, certain common elements persist over time as the key ingredients of market bubbles--financial innovation, the emotions and psychology of investors, and leverage. This presentation explores how these features present themselves in market bubbles and the ensuing market disruptions, and offers some specific suggestions for improving future risk management. Among the recommendations is a strong, yet flexible, modeling framework having the goal of identifying areas of excessive risk. Rodney Sullivan will demonstrate such models and show how they can be used in real-world practice. 11:25a 12:10p Mining SEC Filings for Hidden Signals Michelle Leder, Editor, Footnoted, Morningstar, Inc. Few people enjoy reading SEC filings. It s like telling your children to eat their vegetables. But ignoring key filings can be dangerous to your investing health. Companies frequently bury subtle signals in routine filings. Yet these seemingly small changes often have an oversized impact on a particular stock. Join Footnoted expert Michelle Leder to learn what she looks for when she dives into a K or a Q and how mining SEC filings could help generate alpha. Market Commonality, Turbulence, and Asset Allocation James Xiong, Ph.D., CFA, Senior Research Consultant, Ibbotson Associates In an increasing co-dependent world, high interconnectedness among firms, herding and imitation among analysts and investors, and even the popularity of ETF funds or index funds, can increase market commonality. Increased market commonality can lead to large financial fluctuations (fat tails) and turbulence. James Xiong will show some evidence for increased market commonality over the last decade, and present a few applications of asset allocation models that are less vulnerable to turbulence. Does Performance Matter? John Rekenthaler, Vice President, Research, Morningstar, Inc. Increasingly, critics of active fund management are stating that a mutual fund s past performance has no relationship to its future performance. Morningstar s V.P. of Research John Rekenthaler draws upon academic studies and Morningstar s own research to test the accuracy of this claim. Rekenthaler will also discuss the implication of the findings in formulating investment policy.

4 Page 4 of 6 Lunch 12:15p 12:45p Keynote Address 12:45p 1:45p 2:00p 2:45p Amy Chua, Professor, Yale Law School A dynamic and respected author with global insights into world powers, economics and parenting. The Secret Sauce Using Liquidity and Momentum to Pick Alpha Managers Thomas Idzorek, CFA, Chief Investment Officer, Ibbotson Associates Everyone has their recipe for selecting managers, but few produce quantifiable, consistent winners over time. However, by combining Morningstar s individual stock database with its mutual fund holdings database we are able to build composites of mutual funds that exploit a handful of well-know market anomalies that produce excess risk-adjusted returns. Join Tom Idzorek to learn how mutual funds that hold less-liquid and highmomentum stocks dramatically outperform over time. Assessing Risk in the Corporate World Haywood Kelly, CFA, Senior Vice President of Equity and Credit Research Morningstar, Inc. All models of assessing corporate credit risk have their pluses and minuses. Haywood Kelly will discuss several ways of assessing corporate credit risk, both qualitative and quantitative, as well as the empirical evidence behind them. He ll also discuss the approach embedded in Morningstar s corporate credit ratings. 250p 3:35p The Silver Lining to Legal Standards Marla Kreindler, Partner, Winston & Strawn LLP In the ever changing legal and regulatory environment that we operate in Marla will discuss legal and regulatory trends we are continuing to see from the DOL, SEC and other authorities, and the questions that are being raised. Also, how do they fit together and how can companies best address them. Combing Holdings & Returns-Based Data for Fund of Funds Hal Ratner, Senior Consultant & Asset Allocation Strategist. Morningstar Associates Modeling manager risk exposures is central to the fund allocation process. Traditionally, analysts have relied on returns-based and holdings-based analysis but lacked a tool to combine these approaches. Hal Ratner presents a methodology that offers a statistically credible approach to combining holdings- and returns-based analyses in a way that is compatible with standard manager optimization routines. Risk-Parity Asset Allocation Maciej Kowara, Ph.D., CFA, Senior Research Consultant, Ibbotson Associates Please join Maciej Kowara as he identifies the different meanings of risk parity current in the industry, discusses the motivations of risk parity approaches and assess the applicability of these approaches to traditional asset-allocation methodology.

5 Page 5 of 6 3:35p 3:55p Sponsored by: William Blair General Session III 4:00p 4:55p Useful Laws and Hazardous Myths of Wall Street John P. Hussman, Ph.D., Chairman, Portfolio Manager, Hussman Funds Are forward operating earnings a reliable guide to market valuation, and if so, how should they be used? Is cash on the sidelines a meaningful indicator of potential demand for stocks? Is higher risk associated with higher expected returns, and if not, how are they related? Dr. Hussman discusses useful approaches to investment analysis that have proved their value through decades of varying market environments. As a counterpoint, he presents some of Wall Street s most widely believed fallacies some which have repeatedly been costly to investors. Dinner and Cocktails 6:00p 8:00p Friday March 4 Breakfast Buffet 7:00a 9:00a Sponsored by Invesco General Session IV 8:00a 8:55a Perspectives of a Value Manager John W. Rogers Jr., Chairman and CEO, Ariel Investments From private equity, to real assets, to hedge funds--the growing chorus of alternative investment enthusiasts has left traditional long-only equity managers out in the cold. The lost decade for stocks has only exacerbated the lackluster environment for the active equity manager. Are alternative investments a fad or a lasting trend? And can these strategies deliver on their promises--especially when assets and valuations are driven up by a herd mentality. A noted bottom up stock picker foretells the revenge of the long-only manager. 9:00a 9:45a Ibbotson s Economic and Market Outlook Using Absolute Return and Strategies in Portfolio Constructor William Harding, CFA, Director of Research, Morningstar Investment Services Absolute Return strategies can deliver equity-like returns while also minimizing volatility and providing downside protection in poor market environments. William Harding will outline a risk-managed approach for building an absolute return strategy, including combining open-end mutual funds from various asset classes that exhibit low correlations. He will also discuss the use of alternative asset classes to enhance the risk/return profile of a strategy and how to take advantage of relative market opportunities and add value on a consistent basis. In addition, Harding will cover the role that an Absolute Return strategies can plan in a portfolio, including how it can help to meet distribution needs.

6 Page 6 of 6 How ETFs Fit Into Your Asset Allocation 9:45a 10:05a 10:05a 10:50a The Secret Sauce Using Liquidity and Momentum to Pick Alpha Managers Risk-Parity Asset Allocation Does Performance Matter? General Session V 11:00a 11:55a Property Taxation: The Need for Reform Karl E. Case, Ph.D., Professor of Economics Emeritus, Wellesley College The housing market today lies at the heart of what has been a catastrophic collapse of the banking and financial system in the United States. Housing prices, at least by some measures, are down by more than even the most pessimistic forecasters were predicting a few years ago. The collapse of the value of the collateral behind the nation s $10 trillion portfolio of home mortgages has led to unprecedented rates of delinquency, foreclosure and losses. When will it stop? And what will be the consequences for the economy going forward. Closing Comments 12:00p