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Agenda Day 1: Tuesday 8 June 2010
8:00 - 8: 45 Registration and Continental Breakfast with Exhibitors
8:45 - 9:00 Welcome
David Spaulding, CIPM, The Spaulding Group, Inc.
9:00 - 9:50 Performance Attribution as an Interactive Control System
Philippe Gregoire, Ph.D., Orfival
9:50 - 10:40 Hedge Fund Performance
Jason Totedo, CFA, Wilshire Associates
• How to calculate.
• Common issues, concerns and misperceptions.
10:40 - 11:00 Morning Coffee Break
11:00 - 11:45 Fixed Income Analysis and the Performance Team
Ian Thompson, Ph.D., BI-SAM Technologies
Leonie Woodward, Legal and General Investment Management
• The role of the performance team.
• How to reconcile fund manager and reporting objectives
• Why is fixed income analytics so hard?
• How can the performance team really add value?
11:45 - 13:00 Luncheon
13:00 - 13:40 GIPS Update
Stefan Illmer, Ph.D., Credit Suisse
• What changes do you need to implement.
• Implications for daily valuation and valuing illiquid securities.
• GIPS review - process and scope.
13:40 - 14:20 Fast Performance
John D. Simpson, CIPM, The Spaulding Group, Inc.
Carl Bacon, CIPM, StatPro
Stefan Illmer, Ph.D., Credit Suisse
Darren Crowley, Pictet Asset Management
• 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 What do Pension Funds Want?
Elske van de Burgt, Ortec Finance
Goran Schubert, AP4
Mischa Muijtjens, APG
David Sellors, Local authority Pension Fund Forum
• How do pension funds measure risk and return?
• Does GIPS matter?
15:00 - 15:15 Afternoon Coffee Break
15:15 - 16:10 Keynote 2009 Dietz Award: Performance Measurement and
Attribution with Leverage and Derivatives
An article by Damien Laker, presented by Carl Bacon, CIPM, StatPro
16:10 - 16:55 The Changing Role of The Performance Team
Darren Crowley, Pictet Asset Management
Laura Liljestrom, Sampo plc
• How has the performance team evolved?
• Performance analysis versus measurement.
• How your team can add value to the investment process.
16:55 - 17:15 Mad Performance
David Spaulding, CIPM, The Spaulding Group Inc.
• A lot to cover in a little time with interactive Q & A.
17:15 - 18:15 Cocktails with Exhibitors
Agenda Day 2: Wednesday 9 June 2010
8:00 - 8: 45 Continental Breakfast with Exhibitors
8:45 - 9:00 Welcome Back/ Recap
David Spaulding, CIPM, The Spaulding Group, Inc.
9:00 - 9:50 An update on Regulatory Issues
Martin Schliemann, Frankfurt Finance Audit
• Recent UCITS Developments.
• Best practices.
• Valuing securities when there is no market.
9:50 - 10:45 Multi-Currency Attribution
Gerard van Breukelen, Robeco
• Understand the sources of active return for multi-currency portofolios.
• Clearly identify the impact of currency overlay.
10:45 - 11:05 Morning Coffee Break
11:05 - 12:00 Battle Royale - Time-Weighting vs. Money-Weighting
David Spaulding, CIPM, The Spaulding Group, Inc.
Carl Bacon, CIPM, StatPro
• Which is better?
• Why does TWRR rule?
• Why is this an issue?
12:00 - 13:00 Luncheon
13:00 - 14:00 Lessons Learned - The Internal Rate of Return (IRR)
John D. Simpson, CIPM, The Spaulding Group, Inc.
• An update from the IRR working group.
• Do risk measures work in non-normal markets?
• Dealing with multiple solutions.
14:00 - 15:00 Risk Attribution
Jose Menchero, Ph.D., CFA, MSCI-Barra (Dietz Award Winner)
• Understand the sources of portfolio risk using the x-sigma-rho methodology.
• Decompose volatility and tail risk using a single unified framework.
• Attribute risk and return to any investment process.
15:00 - 15:20 Afternoon Coffee Break
15:20 - 16:20 Value at Risk (VaR)
David Spaulding, CIPM, The Spaulding Group Inc.
• What value does VaR bring?
• Does VaR provide the necessary information to assess risk?
• Is VaR relevant today?
16:20 - 16:30 Raffle Prizes
16:30 Conference Concludes
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