Stream Two: Technical Stream
Tuesday 7th September 2010, Waldorf Hilton, London, 09:00 - 13:40
£2,750.00/PRA Gold Membership
£1,500.00/PRA Silver Membership
£999.00/Conference
£499.00/CD-ROM
£175.00/ Conference attendance for PRA members
Agenda
08:30 Registration and coffee
09:00 Chairman’s Opening Address
Anthony Howland, Independent Consultant
09:10 Performance attribution for an active managed equity portfolio
n Infrastructure and benefits of a performance attribution analysis
n Analytical returns calculation of a portfolio and the relative benchmark
n Several ways of combining allocation and selection effects
n How to concatenate the results on a multi-periods time horizon
Michele de Sario, Head of Financial Risk Management, Eurizon Capital SGR
09:40 Managing a multi-strategy portfolio
n Multi-strategy investment processes
n Risk and performance monitoring
n Risk-budgeting
n Problems with available software
n The way forward
Dr. Thorsten Neumann, Head of Quantitative Strategies, Union Investment
10:10 PANEL DISCUSSION: What does GIPS actually offer to pension funds and how far does it go towards meeting their requirements?
n Self-regulation and ethical behaviour, exposing erroneous reporting and outlier data?
n Increased due diligence and transparency?
n Risk reporting and disclosure
Panellists include:
Caroline Gellatly, Fixed Income Performance Manager, Performance Measurement, Henderson Global Investors
Eric de Rouw, Senior Performance Controller, APG All Pensions Group
David Sellors, CFA FSIP Chief Operating Officer, LAPF Forum
Colin Kay, Global Head of Performance Measurement and Risk Fund Services, HSBC Securities Services
10:50 Morning coffee
11:20 Performance in terms of risk adjusted products post credit crunch
n Is Performance Measurement keeping up with Investment products post credit crunch?
n Should funds with different risk profiles have the same benchmark?
n Do Risk-adjusted Returns really work for Risk Aware products?
Simon Blakeney, Director, Blakeney Consulting Ltd
11:50 Assets under Management – A closer look at the GIPS standards
n How does GIPS define Assets under Management?
n Distinction to Total Firm Assets
n Counting of Assets under Management for special cases
Ralf Hudert, Vice President, Head of Performance Analytics and Consulting, DWS Holding & Service GmbH
12:20 Roundtable discussions
12:20 Increasing significance of Risk Management in the Funds Industry
With the ever increasing focus on risk management from clients and regulators alike, BNY Mellon decided to survey investment managers to learn more about the changes they are making to their internal processes to accommodate the demand for increased transparency. We will look at a high level at the recent regulatory reporting demands including FRS29, UCITS III & IV, Solvency II as well as lift the lid on some of the trends and key decisions the industry is making in relation to the models used including VAR, stress-testing, scenario analysis and forward looking risk strategies, including outsourcing.
Allison Langley, Head of Relationship Management, Performance & Risk Analytics, BNY Mellon Asset Servicing
12:50 Q&A Session
12:30 Data flow and performance: identifying key choke points
13:00 Networking lunch
14:10 ROUNDTABLE DISCUSSIONS: Let’s discuss different risk measures available and ascertain which are best under certain scenarios
Risk measures and their applicability, is there a perfect risk suite? What is the ideal set of risk disclosures? What are the best risk measures and their applications across different situations? Which measures are complimentary and which say the same thing in a different way? Pairing them so that when used together they are useful; and used under the right scenarios.
n Complimentary risk disclosures; when they work and when they don’t
n When it comes to risk, what physically can you do, and what should you do under different circumstances
n Standard deviation; bell shaped curves that show the deviant events, but tend to overlook the bad events
Led by: Romain Berry, Executive Director, Global Market Risk Manager, J.P. Morgan Plc.
14:50 Roundtable feedback to the floor
Each table will give feedback on their discussions to the whole audience:
n What were the 3 main things you discussed
n Was there anything that surprised you?
n What conclusions did you reach?
15:00 Afternoon tea
15:30 PANEL DISCUSSION: Potential pitfalls of using accounting data in performance calculations
n Identifying and documenting performance and accounting data needs of your organisation
n Making all downstream users of performance/accounting information aware of implications to their data prior to implementation. This can’t be over communicated
n Setting a timeline and evaluating the progress versus goals on a regular basis
n Identifying hurdles and roadblocks and having contingency plans ready
Chris Nimmick, Global Head of Performance, HSBC Global Asset Management
Neil Mackay, Head of Performance Measurement & Data Management, Standard Life Investments
Joe McDonagh, Performance Measurement Product Manager, Eagle Investment Systems
16:00 Performance measurement in the equities space
Altaf Kassam, CFA, Managing Director, Global Head of Equity Quantitative Strategy, Deutsche Bank AG London
16:30 Keynote Speaker:
 Tim Harford, The Undercover Economist
Tim Harford is a renowned behavioural economist, author and award-winning Financial Times columnist. His two books, The Undercover Economist and The Logic of Life, have been translated into 30 languages and sold nearly a million copies.
Drawing on the frontiers of economic research, Tim’s speeches cover everything from theories on how to save the world from Armageddon - to how we can match odd socks, lose weight and find happiness. He also explores consumer behaviour when times are hard, contrasting detailed research with tabloid headlines. He shows there are ‘good’ and ‘bad’ recessions and reveals that whilst we cut back, we often do so in unexpected ways. From the retailer’s perspective, competitive advantage goes to those who can target their discounts selectively.
Financial Meltdown
Tim Harford looks at insights from nuclear and industrial accidents and applies them to financial crises drawing observations about early warning signs and whistle-blowing.
17:00 Q&A From the floor
17:10 Closing remarks from the chair and close of conference
17:20 Onwards: Drinks reception
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