The Journal of Performance Measurement's Fourth Annual European
Performance Measurement, Attribution & Risk Conference
(PMAR Europe)
11-12 June 2013 London, England
America Square Conference Centre
Agenda | Speakers | Why Attend? | Who Should Attend? | Online Registration
Agenda Day 1: Tuesday, 11 June 2013
8:00 - 8:45 REGISTRATION/CONTINENTAL BREAKFAST WITH EXHIBITORS
8:45 - 9:00
WELCOME
David Spaulding, CIPM, The Spaulding Group, Inc.
9:00 - 10:00
PRACTICAL HEDGE FUND RISK
John Longo, Ph.D., CFA, Rutgers University
• Efficient diversification
• Implications for performance evaluation
• The creation of efficient diversifiers
10:00 - 11:00
HOLDINGS BASED RISK ATTRIBUTION
Stefan Illmer, Ph.D., Illmer Investment Performance Consulting
• Reason – Monitoring Risk from a Top Down Perspective
• Concept – Holdings-Based Risk Attribution
• Example – Decision-Oriented Risk Attribution
11:00 - 11:15
MORNING BREAK
11:15 - 12:00 DURATION TIMES SPREAD ATTRIBUTION FOR CREDIT PORTFOLIOS
Pam Zhong, Barclays
• DTS (duration-times-spread) as a new measure of credit risk
• The shift in credit portfolio management and its performance during the 2008 crisis
• DTS attribution - align attribution with portfolio management process
12:00 - 13:00
LUNCH BREAK
13:00 - 13:30
THE NEW CIPM PROGRAM: BRINGING CIPM INTO THE FRONT OFFICE
Todd Jankowski, CFA, CFA Institute
Learn what changes have been made to the CIPM Program and how they better reflect the role of the performance professional.
13:30 - 14:20 FAST PERFORMANCE
John D. Simpson, CIPM, The Spaulding Group
Elske van de Burgt, ORTEC
Peter Ellis, BI-SAM
Stephen Campisi, CFA, US Trust
This innovative panel approach of performance experts and practitioners will tackle a host of topics in an exciting lightning round, which will provide you with insightful perspectives, ideas and opinions.
14:20 - 15:00
CLIENT REPORTING: NEW TRENDS AND BEST PRACTICES
Stefan Illmer, Illmer Investment Performance Consulting
15:00 - 15:30 AFTERNOON BREAK
15:30 - 16:30
DIETZ AWARD WINNER - ASSET ALLOCATION VERSUS SECURITY SELECTION
MR. X
AKA - RENATO STAUB, WILLIAM BLAIR
16:30 - 17:00 PERFORMANCE JEOPARDY!
Alex Spaulding, The Spaulding Group
• Volunteers will compete for fame, fortune and glory.
17:00 - 18:00
COCKTAILS WITH THE EXHIBITORS
Agenda Day 2: Wednesday, 12 June 2013
8:00 - 8:45
CONTINENTAL BREAKFAST WITH THE EXHIBITORS
8:45 - 9:00
WELCOME BACK/RECAP
David Spaulding, CIPM, The Spaulding Group, Inc.
9:00 - 9:50
WHY RIGHT-RISKING, RATHER THAN DE-RISKING, IS KEY
Paul Sweeting, JP Morgan
• The trends for de-risking show no signs of abating
• Why is this? And what are the alternatives?
• What is the right level of risk for a pension fund to take?
9:50 - 10:45
EUROPEAN REGULATORY UPDATE
Martin Schliemann, Frankfurt Finance Audit
10:45 - 11:05
MORNING BREAK
11:05 - 12:00
TELLING THE STORY: HELPING PEOPLE UNDERSTAND THE INVESTMENT MESSAGE
Stephen Campisi, CFA, US Trust (2x Dietz Award Winner)
12:00 - 13:00
LUNCH BREAK
13:00 - 13:40
FIXED INCOME PERFORMANCE ATTRIBUTION
Nick Sharp, MSCI
• Analytics for decomposing fixed-income performance into return components
• Case study with detailed explanations of the results as well as insights that can be gained from the model
13:40 - 14:20
INTRODUCTION TO LIABILITY DRIVEN INVESTING AND THE PERFORMANCE CHALLENGES
Mary Hall, Insight Investments
14:20 - 15:10
THE MONETARY BLACK BOX
Kaan Sariaydin, EuroFund Holding
• Social and psychological acceptance of an unknown
• Process of Money Creation
• Fractional Reserve Banking or the heroes of credit
• Effects of Money Printing
15:10 - 15:30
AFTERNOON BREAK
15:30 - 16:30
COMPARISON OF FUNDS FROM A RISK AND ATTRIBUTION PERSPECTIVE
John D. Simpson, CIPM, and Jed Schneider, CIPM, FRM, The Spaulding Group
• A case study looking at the differences in how we link data over multiple time periods and how it can affect results.
16:30 - 16:40
RAFFLE PRIZES
16:40
CONFERENCE CONCLUDES
