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Indexes PMRA Hedge 2003 & Hedge Indexing 2003 7-8 October, 2003 - London, UK


Part of the PMRA series of performance measurement events:

  • PMRA HEDGE 2003: Performance Measurement, Risk Management and Attribution for Hedge Funds
    Tuesday, 7th October 2003

    Topics include:

    • Examining valuations for hedge funds
    • Risk Adjusted Performance Measurement
    • Third Party Risk Management
    • Do absolute return strategies work over the full investment cycle?

  • HEDGE INDEXING 2003: Hedge Fund Indices and Hedge Fund Index Products for Investors
    Wednesday, 8th October 2003

    Topics include:

    • Assessing the various Hedge Fund Indices
    • Can you make a truly representative hedge fund index?
    • Active v. Passive management: who can beat the index?
    • What are the pros and cons of investing in hedge fund indices?
    • Providing structured hedge fund index products

    Lionel Martellini, Research Associate at Edhec, will be speaking at the event.

Programme

PMRA Hedge 2003
Tuesday, 7th October 2003

Opening remarks from the chair

Nick Kent, Managing Director, Portfolio Evaluation Ltd

Keynote Address: Risk Considerations that are Unique to Hedge Funds
  • Conditional value at risk
  • Modified value at risk
  • Evaluating risk for various hedge fund strategies
  • Return Distribution from different strategies
  • Sophisticated tools for risk management
Hilary Till, Co-founder and Portfolio Manager, Premia Capital Management

Examining Valuations for Hedge Funds
  • Exploring the valuation policies of hedge funds?
  • What are investors demanding?
  • Interpreting the results of a recent survey on Hedge Fund Transparency and Valuation Practices
  • How much transparency and disclosure is necessary for hedge funds
Eric R.Weinstein, PhD, Mathematics, Harvard University, Strategic Consultant, Eric Weinstein Consulting/CMRA

Risk adjusted performance measurement
  • What is an appropriate measure of risk?
  • How can risk adjusted performance be adapted to a benchmark relative world?
  • In hedge fund absolute return space, how should "leverage" impact risk adjusted returns?
Don Goldman, Chief Financial Engineer, Measurisk

The Omega Function for Performance Measurement
  • Getting away from "Style" analysis
  • The problems with classical techniques of modern financial analysis
    Samples and Moments
  • Omega profiles of Return and Risk
  • Inference under Omega
  • Attribution – Do we really care about Why? and How, when we have the answer to If
Con Keating, Principal, Finance Development Centre

What returns can be expected from Hedge Funds?
  • Which methodology should one use in calculating expected returns?
  • At the micro level, which factors drive hedge fund performance?
Hugh Lawson, Co-head, Hedge Fund Strategies Group-Europe, Goldman Sachs Asset Management International

Third Party Risk Management for Multi Manager and Funds of Funds providers
  • The importance of independent risk management
  • Manager selection and performance monitoring
  • Qualitative factors in manager selection
  • Operational risk considerations
  • How do you select outperforming managers?
Lars Jaeger, Partner, Partners Group

Demystifying Hedge Funds for Institutional Investors
  • Are investors changing their expectations in the current climate?
  • Designing products with portable alpha
  • Can hedge funds provide the necessary transparency and liquidity that investors want?
Chris Mansi, Senior Investment Consultant, Watson Wyatt

Do absolute return strategies work over the full investment cycle?
  • Do hedge fund managers add value?
  • Are hedge fund returns reliable?
  • What role do benchmarks play with hedge funds?
Jacob Schmidt, Director of Global Hedge Fund Rating and Research, Allenbridge Hedgeinfo

What requirements do institutional investors have regarding hedge fund reporting?
  • Examining the standards and conventions
  • Attribution standards
  • AIMR/GIPS requirements

Hedge Indexing 2003
Wednesday, 8th October 2003

Opening remarks from the chair

John Godden, Managing Director, HFR

Keynote address: Assessing the various hedge fund indices?
  • Why hedge fund indices?
  • Utilizing indices for benchmarking and for creating index products
  • Comparing the construction methods among the indices
  • Comparative statistical analysis of major indices
  • Portfolios of indices as an alternative to competing indices
Lionel Martellini, USC and EDHEC Professor

Difficulties in creating hedge fund indices
  • Are hedge funds too difficult an asset class to track?
  • What are the screening criteria for funds being included in an index?
  • What are the transparency requirements for being included in an index?
  • Purpose of index: Investible index or analytical tool
  • Utilising cluster analysis and other quantitative techniques
Werner Goricki, Director of Hedge Funds, FERI Alternative Assets GmbH

Roundtable Discussion: Can you make a truly representative hedge fund index?
  • Is cash a superior benchmark to a hedge fund index?
  • Debating the strengths and weaknesses of the various indices
  • What is the trade-off in order to achieve investibility?
Marcus Walz, International Sales Manager, Indexchange Investment AG
Dr. Dirk Soehnholz, Managing Partner, FERI Alternative Assets GmbH
A representative from MSCI
A representative from Standard & Poors
Emanual Arbib, Chairman, Global Investment Advisors


Active vs passive management: Who can beat the Index?
  • The impact of the asset allocation decision to portfolio returns
  • A review of studies on active vs passive for equities and bonds
  • Active vs Passive for hedge funds and managed futures: does it make sense to index
  • What are the factors affecting the active vs passive decision?
  • Conclusions
Michael Azlen, Managing Director, Asset Alliance International Limited

Case study: The experience of a recent provider of hedge fund index products
  • What is the goal of the fund?
  • How does the fund compare in terms of fees, transparency and liquidity?
  • What are the challenges in providing these products?
Roundtable Discussion: What are the pros and cons of investing in hedge fund index products
  • Comparing funds of hedge funds with hedge fund index products
  • What should pension funds know about investing in hedge fund index products?
  • Do index products provide superior transparency and liquidity for investors?
Robert Howie, Head of European Hedge Fund Research, Mercer Investment Consulting
Ian Morley, CEO, Dawnay, Day Olympia
Paul Sater, Partner, Investment Management, Ernst & Young


Providing structured hedge fund index products
  • How to structure the guarantee
  • How to deal with tracking error risk
  • Assessing the costs of offering a guarantee
Jean-Marc Spitalier, Head of Funds, Structured Products, Lehman Brothers
Event Details
  When   Between 07/10/2004 09:00 AM and 08/10/2004 05:30 PM
Where   The Royal Garden Hotel, London
Web  
 
Contact Details
  Name   Sarah Sexton
E-mail   cust.serv@informa.com
Phone   +44 (0)1932 893854