PMAR VIII Program Agenda PDF Print E-mail


PMAR: VIII Jersey City, NJ ~ Hyatt Regency Jersey City


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DAY ONE: WEDNESDAY MAY 19, 2010

8:00 - 8:45 AM REGISTRATION & CONTINENTAL BREAKFAST WITH THE EXHIBITORS

 

8:45 - 9:00 AM WELCOME

David D. Spaulding, CIPM, The Spaulding Group

 

9:00 - 9:50 AM VALUE AT RISK

David D. Spaulding, CIPM, The Spaulding Group, Inc.
Eric Stubbs, Ph.D., UBS

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

  • What value does VaR bring?
  • Does VaR provide the necessary information to assess risk?
  • Is VaR relevant today?

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    9:50 - 10:40 AM WHY RISK MAY COUNT MORE THAN RETURNS

    Ellen Dennis, NISA
    • What are we managing/measuring?
    • Where your focus should be?

    10:40 - 11:00 AM MORNING BREAK

     

    11:00 - 12:00 PM THE PENSION CRISIS: THE BIGGEST FINANCIAL FIASCO SINCE
    THE GREAT DEPRESSION

    Ronald J. Ryan, CFA, Ryan ALM, Inc.
    • How it threatens the solvency of our Cities, States, Corporations and Federal Government.
    • What happened to cause it?
    • How do we solve it?
    • Need to redefine Risk, Beta and Alpha.
    12:00 - 1:00 PM LUNCH BREAK

    1:00 - 1:40 PM GIPS UPDATE
    Jonathan Boersma, CFA, CFA Institute
    • What changes do you need to implement?
    • Implications of daily valuation and valuing illiquid securities.
    • GIPS Review - process and scope.
    1:40 - 2:20 PM FAST PERFORMANCE
    John D. Simpson, CIPM, The Spaulding Group, Inc.
    Carl Bacon, CIPM, StatPro
    Stephen Campisi, Intuitive Performance Solutions
    Todd Brunskill, First Rate
    • This innovative panel approach of performance experts and practioners will tackle a host of topics in an exciting lightning round, which is sure to provide you with insightful perspectives, ideas, and opinions.'
    2:20 - 3:00 PM THE CHANGING ROLE OF PERFORMANCE AND RISK TEAMS
    James Edmonds, CFA, AllianceBernstein
    Thomas Manetta, Goldman Sachs
    • What is different after the market shock of 2008?
    • Combine or keep seperate.

    3:00 - 3:15 PM AFTERNOON BREAK

    3:15 - 4:10 PM Keynote 2009 Dietz Award: Performance Measurement and
    Attribution with Leverage and Derivatives
    An article by Damien Laker, presented by Kyle Ringrose

    4:10 - 4:45 PM RISK ATTRIBUTION
    Edward Dumas, Ph.D., DST Global Solutions

  • How to measure the effective contribution to the total risk and to the tracking error due to asset allocation or selection.
  • Contribution to risk with time varying exposures.

     
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    4:45 - 5:00 PM MAD PERFORMANCE

    • David D. Spaulding, CIPM, The Spaulding Group, Inc.

     

     

     

     

    A lot to cover in a little time with interactive Q & A.

    5:00 - 6:00 PM COCKTAILS WITH THE EXHIBITORS


    DAY TWO: THURSDAY MAY 20, 2010


    8:00 - 8:45 AM REGISTRATION & CONTINENTAL BREAKFAST WITH THE EXHIBITORS

     

    8:45 - 9:00 AM WELCOME BACK

    David D. Spaulding, CIPM, The Spaulding Group

     

    9:00 - 9:50 AM AN UPDATE ON REGULATORY ISSUES

    David Tittsworth, Investment Advisor Association

     

     

     

     

     

     

     

     

     

     

     

     

    • Recent SEC developments.
    • Best practices.

    9:50 - 10:45 AM MULTI-CURRENCY ATTRIBUTION

    Carl Bacon, CIPM, StatPro

     

     

     

     

     

     

    • Understand the sources of active return for multi-currency portfolios.
    • Clearly identify the impact of currency overlay.

    10:45 - 11:05 AM MORNING BREAK

     

    11:05 - 12:00 PM BATTLE ROYALE - FIXED INICOME FACE-OFF

    Stephen Campisi, CFA, Intuitive Performance Solutions

    Mark Elliott, SS&C 

  • Income Effect - Should your model include it?
  • Do managers and clients need different models?
  • Why so many different models?


    • 12:00 - 1:00 PM LUNCH BREAK

     

    1:00 - 2:00 PM LESSONS LEARNED - THE IRR
    John D. Simpson, CIPM, The Spaulding Group, Inc.

     

     

     

     

     

     

     

     

     

  • An update from the IRR working group.
  • Dealing with multiple solutions.
  • Calculation approaches.


    2:00 - 3:00 PM BENCHMARKS

    Neil Riddles, CFA, CIPM Hansberger Global Investors

  • A review of the basics.
  • Current thinking and approaches.


    • 3:00 - 3:20 PM AFTERNOON BREAK

     

     

     


    3:20 - 4:20 PM HEDGE FUND RISK

    John M. Longo, Ph.D., CFA, Edge Financial Group

    • How hedge funds risk management differs from long only risk management.
    • How to manage risk in an environment of limited hedge fund transparency.
    • An evaluation of risk management measures for hedge funds.


    4:20- 4:30 PM RAFFLE PRIZES


    4:30 PM CONFERENCE CONCLUDES