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Institutional Investment JOIM-Oxford-EDHEC Retirement Investing Conference 2016 11-13 September, 2016 - Oxford, United Kingdom

EDHEC-Risk Institute, The Journal of Investment Management (JOIM) and Oxford University have joined forces for the first time to feature the most relevant academic insights with an immediate as well as a future impact on the practice of Retirement Investing.

The JOIM-Oxford-EDHEC Retirement Investing Conference will take place on 11, 12 and 13 September, 2016 on the Oxford University Campus and showcases the highest quality thinking and research in the area.


The programme is developed on a foundation of academic rigour with an overriding objective of identifying practical significance.

On September 11, the conference will start with a welcome dinner and will feature the Nobel Prize recipient Robert Merton as keynote speaker.

On September 12, the conference will open with a round-table session moderated by Liam Kennedy, Editor of Investment & Pensions Europe and involving the participation of several distinguished industry speakers, including Mark Fawcett (CIO, NEST Corporation) and Joanne Segars (Chief Executive, Pensions and Lifetime Savings Association), as well as selected asset managers (sponsorship).

The conference will then continue with seven, well-focused academic presentations from prestigious speakers including Deborah Lucas from the MIT Sloan School of Management, Magnus Dahlquist (Stockholm School of Economics), Elroy Dimson (London Business School), Tim Jenkinson (University of Oxford), Martin Leibowitz (Morgan Stanley Research), Mark Kritzman (Windham Capital), and Lionel Martellini, EDHEC-Risk Institute:
  • On Getting More Retirement Income Benefits from the Retiree’s Assets: Annuities and the Reverse Mortgage
    There are only four ways to improve the chances for achieving a good retirement:
    • Save more for retirement and lower lifetime consumption level
    • Work longer before retiring
    • Take more risk and be prepared for the consequences if the risk is realised
    • Improve the income benefits from the assets available from saving for retirement
    The keynote speech will explore the potential to significantly improve income benefits from retirees’ assets by using life annuities and reverse mortgages (aka equity release; home pension). The focus is on creating an efficient design structure that works effectively across geo-political borders, including marketing of the products and providing large and reliable funding sources for them.

  • New Developments in Retirement Investing

  • Mass Customisation versus Mass Production in Retirement Investment Management: Addressing a “Tough Engineering Problem”
    A massive shift from defined-benefit to defined-contribution pension schemes around the world has left millions of individuals with an increasing responsibility with respect to retirement investment decisions. While many off-the-shelf retirement products are currently produced on a large scale, the challenge for the investment management industry is to offer scalable forms of dedicated retirement solutions. We argue that there are in fact two distinct dimensions of scalability, the cross-sectional dimension and the time-series dimension, and we show how suitable financial engineering techniques can be used to address both dimensions so as to allow for efficient mass-customisation in retirement investment management.

  • Funding Ratio Flaws
    The pension community has come to rely on the “Funding Ratio” (the ratio of Assets to Liabilities) as a guide to the health of Defined Benefit plans. However, this metric is vulnerable to a number of basic misconceptions. At the outset, liabilities are typically discounted by a rate that represents something less than a full risk-free defeasance of the projected benefit payments. Quite apart from this problem, an even more serious issue is that the funding ratio itself is not subject to any reserving or downward adjustment for the riskiness of the stated (or allocation-implied) investment strategy. This talk will describe the problems that can result from these misspecifications and indicate various approaches for developing improved metrics.

  • Errors
    This presentation describes the sources of estimation error in portfolio construction, including small-sample error, independent-sample error, mapping error, and interval error. It then describes a non-parametric procedure for incorporating the relative stability of covariances into the portfolio formation process, and it presents evidence that this procedure yields more stable portfolios than approaches that ignore errors or rely on Bayesian shrinkage. Finally, it discusses the implications for factor investing.

  • Hacking Reverse Mortgages
    Reverse mortgages hold the promise of unlocking home equity to help meet retirees’ spending needs while allowing them to age in place. Despite the product’s potential as significant source of liquidity and insurance, the reverse mortgage market has been slow to take off. In the U.S., the HECM—a product designed and administered by the federal government—dominates the market. We develop a valuation model for HECMs and use it to suggest an answer to the reverse mortgage puzzle: why is it that a seemingly useful and subsidised product is so unpopular? The analysis suggests a financial explanation may be an important component of the answer: The loans are expensive for borrowers. There is a government subsidy, but the benefits are largely captured by the guaranteed private lenders. Structural changes to the programme are proposed that could lower cost and improve the product’s functionality and appeal.

  • Ask a Consultant? The Role of Investment Consultants in Pension Fund Governance
    Investment consultants have a significant influence on the asset allocation decisions of pension fund trustees. Yet they also face conflicts of interest, and these are becoming more acute as the investment consultancies offer asset management solutions via “fiduciary management”. This talk will discuss the complex yet critical role investment consultants play in institutional asset management, whether financial regulators should focus more attention on their activities, and recent research on whether investment consultants add value for pension funds.

  • On the Asset Allocation of a Default Pension Fund
    This talk characterizes the optimal default fund in a defined contribution (DC) pension plan. It begins by analyzing detailed data on individuals and their holdings inside and outside the pension system and finds substantial heterogeneity among default investors in terms of labor income, financial wealth, and stock market participation. It then presents a life-cycle consumption-savings model incorporating a DC pension account and realistic investor heterogeneity. Finally, it considers the optimal asset allocation for different realized equity returns and investors, and compares it with age-based investing. The optimal asset allocation leads to less inequality in pensions while it moderates the risks through active rebalancing.

  • Does Hiking Damage Your Wealth?
    Investors are preoccupied with the impact on financial markets of changes in central-bank interest rates. We use over a century of daily US returns together with 85 years of UK data to examine the immediate effect of rate hikes and cuts on stock and bond markets. We also look globally at the impact of interest rate changes on equity and bond returns using annual data for 21 countries from 1900 to 2015. Using a trading strategy that avoids look-ahead bias, we compare returns over entire interest rate hiking and easing cycles for equities, bonds, bills, currencies, and risk premia. We analyze long-term returns from industry sectors and factors such as size, value, carry and momentum, and also study real asset returns since 1900 on precious metals, collectibles and real estate. In all cases, hiking cycles damage your wealth compared to easing cycles.

Consult the list of confirmed speakers.


The exclusive JOIM-Oxford-EDHEC Retirement Investing Conference expects over 120 executives and top executives from investment management, wealth management companies, banks, private banks, institutional investors (including DB and DC pension schemes, insurance companies, endowments and foundations) and academics.

It should be of particular interest to chief executive officers/managing directors; chief investment officers/directors of investments; pension managers, heads of asset allocation/investment strategy/ALM; heads of investment solutions/structuring/financial services; portfolio managers; risk managers; senior analysts and investment officers; senior investment advisers/consultants, and senior research officers.

About JOIM

The mission of the JOIM Conference Series (founded in 2006) is to extend the mandate of the Journal Of Investment Management (JOIM) in bridging the theory and practice of investment management. Whereas the JOIM journal is a rigorous peer reviewed publication, the JOIM Conference Series showcases very high quality presentations and a platform for interactive discussions of current topics in the investment management arena. Prevalent throughout both activities is the highest quality material suitable for the academic, practitioner and student.

Each conference consists of a Sunday banquet with a keynote speaker and two days of presentations and discussions with experts in the field. Conferences are held twice a year (Spring and Fall).

Prior conference topics have included: Market Microstructure with an emphasis on High Frequency Trading, Neuroeconomics; Modern Portfolio Theory – The Evolution and Future; Behavioural Finance; Hedge Funds; Liquidity & Leverage; Risk Management; Volatility; Trading and Portfolio Implementation; and Individual and Institutional Investment Management Issues.

Risk Managers, Portfolio Managers, Pension Managers, Plan Sponsors, Endowments, Senior Executives of Financial Firms and Academics would all benefit from attending these conferences.

About SAID Business School

Saïd Business School at the University of Oxford blends the best of new and old. We are a vibrant and innovative business school, but yet deeply embedded in an 800 year old world-class university. We create programmes and ideas that have global impact. We educate people for successful business careers, and as a community seek to tackle world-scale problems. We deliver cutting-edge programmes and ground-breaking research that transform individuals, organisations, business practice, and society. We seek to be a world-class business school community, embedded in a world-class University, tackling world-scale problems.

In the Financial Times European Business School ranking (Dec 2014) Saïd is ranked 10th. It is ranked 10th worldwide in the FT’s combined ranking of Executive Education programmes (May 2015) and 22nd in the world in the FT ranking of MBA programmes (Jan 2015). The MBA is ranked 7th in BusinessWeek’s full time MBA ranking outside the USA (Nov 2014) and is ranked 5th among the top non-US Business Schools by Forbes magazine (Sep 2013). The Executive MBA is ranked 21st worldwide in the FT’s ranking of EMBAs (Oct 2014). The Oxford MSc in Financial Economics is ranked 7th in the world in the FT ranking of Masters in Finance programmes (Jun 2014). In the UK university league tables it is ranked first of all UK universities for undergraduate business and management in The Guardian (May 2015) and has ranked first in nine of the last eleven years in The Times (Sept 2014).

About EDHEC-Risk Institute

Founded in 1906, EDHEC Business School offers management education at undergraduate, graduate, post-graduate and executive levels. Holding the AACSB, AMBA and EQUIS accreditations and regularly ranked among Europe’s leading institutions, EDHEC Business School delivers degree courses to over 6,500 students from the world over and trains 10,000 professionals yearly through executive courses and research events. The School’s ‘Research for Business’ policy focuses on issues that correspond to genuine industry and community expectations.

Part of EDHEC Business School and established in 2001, EDHEC-Risk Institute has become the premier academic centre for industry-relevant financial research. In partnership with large financial institutions, its team of close to 50 permanent professors, engineers, and support staff, and 36 research associates and affiliate professors, implements 6 research programmes and 10 research chairs focusing on asset allocation and risk management and has developed an ambitious portfolio of research and educational initiatives in the domain of investment solutions for institutional and individual investors. EDHEC-Risk Institute also has highly significant executive education activities for professionals. In partnership with CFA Institute, it has developed advanced seminars based on its research which are available to CFA charterholders and have been taking place since 2008 in New York, Singapore and London.

In 2012, EDHEC-Risk Institute signed two strategic partnership agreements, with the Operations Research and Financial Engineering department of Princeton University to set up a joint research programme in the area of asset-liability management for institutions and individuals, and with Yale School of Management to set up joint certified executive training courses in North America and Europe in the area of risk and investment management.


For further information concerning sponsorship of the event, please contact:

Maud Gauchon
E-mail: maud.gauchon@edhec-risk.com
Tel.: +33 493 187 887

Event Details
  When   Between 11/09/2016 05:30 PM and 13/09/2016 04:30 PM
Where   Saïd Business School, Park End Street, Oxford OX1 1HP, United Kingdom
Contact Details
  Name   Maud Gauchon
E-mail   maud.gauchon@edhec-risk.com
Phone   +33 493 187 887
  Conference brochure