December 6 – 8, 2006 · Scottsdale, Arizona
Theme: The Hunt for New Sources of Alpha
Dress for the conference is business casual.
Dinner on Thursday evening is business attire.
Wednesday December 6th, 2006
5:00 p.m. - 6:00 p.m. Speaker Rehearsals in Salon F/G, Convention Centre
6:00 p.m. - 9:00 p.m Opening reception and Dinner (Hacienda Plaza and Trellis)
Day 1 – Thursday December 7th, 2006
7:00 a.m. – 8:00 a.m. Breakfast
8:00 a.m. – 8:05 a.m. Opening Remarks
8:05 a.m. – 9:05 a.m. Session 1: Keynote Presentation: Can Hedge-fund Returns be Replicated?
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Hedge funds are often cited as attractive investments because of their diversification benefits and distinctive risk profiles---in contrast to traditional investments such as stocks and bonds, hedge-fund returns have more complex risk exposures that yield complementary sources of risk premia. Using monthly returns data for 1,610 hedge funds in the TASS database from 1986 to 2005, we estimate linear factor models for individual hedge funds using six common factors, and measure the proportion of the funds’ expected returns and volatility that are attributable to such factors.
Keynote Presenter: Andrew Lo, Harris & Harris Group Professor
Director, MIT Laboratory for Financial Engineering
MIT Sloan School of Management
Designated Responders: Terri Troy and Stephen Campbell
9:05 a.m. – 9:50 a.m. Session 2: The Efficient Allocation of Portfolio Beta with True Alpha
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Risk Parity portfolios allocate beta risk equally across asset classes. Utilizing a different approach than traditional asset allocation, Risk Parity delivers true diversification, limiting the loss due to any one portfolio segment. Additionally, from an Alpha perspective, the strategy is expected to generate superior return at any given level of targeted risk.
Presenter: Edward Qian, Director and Head of Research, Micro Strategies, PanAgora Investments
Designated Responders: Kalina Berova-Todorova, Blake Walker, Robert Cultraro
9:50 a.m. – 10:20 a.m. Speaker Photos and Coffee Break
10:20 a.m. – 11:35 a.m. Session 3a: Global Alpha Strategies - Infrastructure Investing
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Presenter: Ian Smith, portfolio manager, Lazard Global Listed Infrastructure Fund
Designated Responders: Dan Foster and Jeff Norton
Session 3b: Infrastructure -- A Banker’s View of the Market
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This presentation will address how we can define infrastructure including a review of the different infrastructure sub-sectors and asset categories. It will also examine the appropriate returns for each sub-sector/category and attempt to define market size as well as the risks and pitfalls and offer some practical lessons for investors.
Presenter: Michael Dinham, Managing Director, Infrastructure Finance and Advisory, ING Bank N.V., London Branch
11:35 a.m. – 12:35 a.m. Group Photos and Lunch (Salon I)
12:35 a.m. – 1:20 p.m. Session 4: Commodities: Alpha or Uncorrelated Beta?
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Over the last couple of years, interest in commodities has risen dramatically as consumers and investors watched the price of commodities as diverse as crude oil, gold, copper and sugar make a seemingly endless series of new highs. The steady erosion of hedge fund returns at the same time just added to the appeal. This presentation will show how to extract alpha from falling and rising markets, the crucial difference between spot and futures prices, the sources of return in managed futures and how to generate uncorrelated alpha from commodities.
Presenter: Roland Austrup, President and Chief Executive Officer of Integrated Managed Futures
Designated Responders: Yves Slater and Keith Dixon
1:20 p.m. – 1:50 p.m. Coffee Break
1:50 p.m. – 3:20 p.m. Session 5: A Closer Look at Sources of Alpha
Session 5 a: What Drives Equity Market Neutral Hedge Fund Returns?
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This presentation will investigate equity market neutral hedge fund performance related to a number of equity market neutral style factors and economic variables. It will then examine an index of equity market neutral hedge fund returns in excess of t-bill returns (EMNE) which has a significantly positive alpha and low but significant beta relative to various market index excess returns.
Presenter: Stephen Foerster, Ivey Business School, University of Western Ontario
Session 5b: Source of Hedge Fund Returns: Alpha, Beta, Costs, and Biases
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Hedge funds have grown dramatically to roughly one trillion dollars currently. This presentation will analyze the potential biases in reported hedge fund returns, in particular survivorship bias and backfill bias. Second, it will decompose the returns into three components and analyze the performance of a universe of about 3,500 hedge funds from the TASS database from January 1995 through April 2006.
Presenter: Peng Chen, Managing Director, chief investment officer, Ibbotson Associates
Session 5c: Impact of Hedge Funds on Institutional Investing
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As the popularity of hedge funds is continuously increasing, this presentation will focus on how hedge funds are likely to impact the investment decisions taken by traditional defined benefit/defined contribution plans. Specifically, the presentation will discuss how manager selection, determination of mandates, manager evaluation, the life cycle of manager hiring and firing, and changes within investment organizations influence investment decisions.
Presenter: Tony Elavia, Chief Investment Officer, Equity Investors Group, New York Life Investment Management LLC
Designated Responder: Carlo Novati
3:20 p.m. – 3:30 p.m. Day One Closing Remarks
6:00 p.m. – 7:00 p.m. Cocktail Reception (East Foyer A, Conference Centre)
7:00 p.m. – 9:00 p.m. Dinner (Salons A/B)
Day 2 – Friday December 8th
7:30 a.m. – 8:30 a.m. Breakfast
8:30 a.m. – 8:35 a.m. Opening Remarks
8:35 a.m. – 9:20 a.m. Session 6: Perspectives on the Private Equity Market
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This presentation will provide perspectives on the private equity market with a particular focus on the North American buyout segment of the market. Section 1 provides a brief overview of current conditions in the buyout market, including a review of fundraising and fund performance. Section 2 outlines some significant trends currently influencing the global buyout market including the dominance of larger funds, the increasing prevalence of club deals among even the largest of funds and the ample availability of leverage for buyouts. Finally, Section 3 discusses some of the implications of these key market trends for institutions investing in buyout funds.
Presenter: David Austin, Vice-President, TD Capital Private Equity Investors
Designated Responders: Martin Belanger, Michael Beswick, Garry Tramer
9:20 a.m. – 9:50 a.m. Coffee Break
9:50 a.m. – 10:35 a.m. Session 7: The Difficulty with Portable Alpha: Finding the Alpha
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Portable alpha is relatively simple in concept, find your alpha source and overlay it with a futures contract. The difficulty with this approach is finding persistent sources of alpha. Dave Tsujimoto, Director Alternative Investments at Russell Investment Group, will discuss the alpha potential of the hedge fund industry and the impact it is having on markets.
Presenter: Dave Tsujimoto, Director, Alternative Investments, Russell Investment Group
Designated Responders: Leona Fields and Errico Cocchi
10:35 a.m. – 11:20 a.m. Session 8: Portable Alpha Using Credit-Based Debt Strategies
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The presentation will discuss alpha generation as a separate, detachable performance component from beta exposure. The focus on alpha leads to observations about expanding the universe of assets available for active risk, market efficiency within fixed-income sectors, performance attribution, manager selection, and benchmarking. Examples of alpha transport applications will include Liability Driven Investment programs for pension funds seeking to stabilize their pension costs.
Presenter: John W. Pluta, Senior Vice President at Declaration Management & Research LLC
Designated Responders: Julie Cays and Derek Broderson
11:20 a.m. – 11:30 a.m. Closing Remarks and Conference Concludes
12:00 p.m. – 2:00 p.m. Closing Lunch Reception (Hacienda Trellis)
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