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Asset Allocation Asset Allocation Summit 6-7 October, 2003 - London, UK


The Asset Allocation Summit comes at a critical juncture in the development of the world’s equity and bond markets, and will be examining strategic and tactical asset allocation, current strategy and alternative investing.

The theory and practice of asset allocation is undergoing dramatic change. The dominant position of equities in pension schemes is under question and investment consultants are putting forward new ideas regarding the structure of asset allocation benchmarks. Multi-asset mandates are coming back into fashion. Asset allocators are grappling with uncertain economic and market conditions, and the correlation between equity and bond markets has reversed. Alternative Investments are seeing record new money flows. The Asset Allocation Summit has assembled a list of speakers at the very heart of these key developments. For anyone involved in asset allocation, this could be the most significant investment conference of 2003.

Noël Amenc, Professor of Finance at Edhec and Director of Research for Misys Asset Management Systems, will be making a presentation at the event on the use of ETF's for managing asset allocation.

Programme

Monday 6th October, 2003
Day One

9.00 Chairman's Introduction

Barry Riley, Ex-Investment Editor, Financial Times

Barry Riley worked for the Financial Times for over thirty years before turning freelance last year. His time at the FT included spells as Financial Editor, as editor of “The Lex Column” and writing “The Long View”. He has earned huge respect throughout the investment industry and this was recognised in June 2000 when he was granted Honorary Fellowship of the Institute of Actuaries. He is a member of the investment committee of the Pearson Pension Plan.

9.10 Global Risk Appetite and Asset Allocation

  • The Importance of Global Risk Appetite
  • How to Assess the Appetite for Risk
  • The Current Environment
Jonathan J Wilmot, Managing Director and Chief Global Strategist, Credit Suisse First Boston

Jonathan’s work focuses on major secular and cyclical themes in the world economy and the implications for global capital flows and asset prices. Based in London, he travels extensively in the U.S., Europe and the Far East, working closely with the CSFB Global Economics and Strategy teams, Proprietary Trading and Sales Coverage Groups.

9.50 The European Stagnation Thesis
  • European Stagnation...
  • What does it mean for Asset Allocators?
Professor Tim Congdon, CBE, Director and Chief Economist, Lombard Street Research

Professor Congdon has been amongst the most consistently accurate forecasters of the British economy in the last 15 years. He was appointed to the Treasury Panel of Independent Forecasters in December 1993 and awarded the CBE in 1997 for services to economic debate.

10.30 Morning Coffee

11.00 The Slow Death of Conventional Wisdom? (PANEL)

The long-held conventional wisdom that equities should be the dominant asset class in pension schemes is under attack. Pension schemes are considering shifting out of equities and into bonds. Is this the only logical option, or a costly mistake? This panel involves some of the key players at the heart of one of the most significant debates in the investment industry.

The Pressures on Pension Funds
John Ralfe, (formerly Head of Corporate Finance at Boots), John Ralfe Consulting
John Ralfe is an independent consultant, advising company and trustee boards on pensions. Until December 2002 he was Head of Corporate Finance at Boots and was instrumental in moving the £2.3bn Boots Pension Fund to 100% AAA long dated sterling bonds. He was a consultant to the ASB on FRS 17.

The "New" Actuarial Thinking
Jon Exley, Senior Consultant, Mercer Investment Consulting
Jon Exley is a Fellow of the Institute of Actuaries and has co-authored a number of highly controversial papers advocating the application of financial economics and modern corporate financial theory, including "The Financial Theory of Defined Benefit Pension Schemes" (1997).

Equities still make Sense
Andrew Dyson, Head of Institutional Marketing, Merrill Lynch Investment Managers
Andrew Dyson joined MLIM from William M Mercer in April 2001. He was Head of UK Pension Funds at Mercer, before being promoted to Head of US Multinational Investment Consulting, based in New York, in May 1999.

The Long-Term Case for Equities
Giles Craven, Managing Director, Shell Pensions Management Services Limited
Shell Pensions Management Services Limited is an in-house investment manager and pension fund administrator. The Company manages €15bn of assets, primarily equities, and services over 50,000 pension accounts.

12.40 Lunch

2.00 Global Tactical Asset Allocation - an Undiscovered Source of Portable Alpha
  • How GTAA has Evolved from TAA
  • Evidence of Country and Asset Class Predictability
  • The Advantages of GTAA as an Alpha Source
  • How to Implement a GTAA Overlay
Mark Carhart, MD and Co-Head, Quantitative Strategies, Goldman Sachs Asset Management

Prior to joining Goldman Sachs, Mark was an Assistant Professor of Finance at the Marshall School of Business at USC and a Senior Fellow of the Wharton Financial Institutions Centre

2.30 Using ETF's to Measure Style Allocation
  • Using ETF's for Style Allocation
  • ETF versus Futures for Implementing Tactical Style Allocation
  • Benefits of ETF in Tactical Style Allocation - US and European Examples
Noël Amenc, Head of Research, Misys Asset Management Systems

Noel Amenc is Professor of Finance at the Edhec Graduate School of Business, where he heads the Risk and Asset Management Research Centre, and he is Senior Academic Fellow at the Europlace Institute of Finance. He has written many books and is Associate Editor of the Journal of Alternative Investment.


3.00 Afternoon Refreshments

ALTERNATIVE INVESTMENTS

3.30 Hedge Funds - Adding Value in a Balanced Portfolio
  • Regulation - Opening the Doors
  • Hedge Funds - A Risky Asset?
  • Outlook for 2004 - Which Strategies?
  • The Role of Funds of Hedge Funds
Philippe Bonnefoy, Chief Executive Officer, COMAS Management Ltd

Philippe is sub-adviser to Commerzbank Securities’ AIS funds and independent adviser to Commerzbank Securities. Previously, he was on the management board of a large trading group (1988-99) and worked at Kidder Peabody (1983-88).

4.00 Private Equity
  • What is Private Equity?
  • How to Access Private Equity
  • The Long-Term Return Outlook
Richard Green, Managing Director, Kleinwort Capital Ltd

Richard Green is the Chairman of the British Venture Capital Association (BVCA). After qualifying as an Accountant with Coopers & Lybrand, he joined Kleinworts in 1988. He has been involved in a wide variety of different buy-outs, buy-ins and other deals.

4.25 Gold Rediscovered
  • Gold Market Dynamics
  • Inflation or Deflation?
  • The Ultimate Diversifier
  • Gold as a Strategic Asset
Dr Robert Weinberg, Managing Director, Institutional Investment, World Gold Council

Rob worked for Anglo American Corporation in South Africa before moving to London in 1985. He became the top ranked gold analyst in the City, until gold became too unfashionable a subject for polite company and the surveys ceased to recognise the sector.

4.45 Agricultural Investing
  • Agricultural Real Estate, the most Basic and Necessary Asset Class
  • Fundamentals of Agricultural Investing
  • Agricultural Return Characteristics
Randall Pope, President, Cozad/Westchester Agricultural Asset Management

Randall joined the Westchester Group in 1995, having worked for 18 years at the Prudential, most recently as SVP responsible for all agricultural investment activities, then as MD and Senior Portfolio Manager responsible for a $30 bn portfolio of real estate debt and equity investments.

5.05 Chairman's Closing

5.15 End of Day One


Tuesday 7th October, 2003
Day Two

9.00 Chairman's Introduction
Paul Bostock, Managing Director, GMO, London

Paul Bostock is Managing Director and co-founder of GMO in London leading the firm’s investment research, business development and corporate strategy. He has 18 years investment experience focusing on long-term investments and the valuation of equities. Prior to GMO, he worked as a Quantitative Analyst at Baring Brothers. He holds BA and DPhil degrees in physics and elementary particle physics respectively from the University of Oxford.

9.10 Global Investment Perspectives
  • The Global Economy
  • The Global Investment Outlook
Michael Hughes, CBE, Chief Investment Officer, Baring Asset Management

Michael Hughes joined Baring Asset Management in 1998 and was promoted to CIO in 2000. He joined from BZW Barclays, where he was the Group Economic Advisor, a Managing Director of BZW Securities Ltd., and the Chairman of BZW Pensions Ltd. He was made a CBE in 1998 for services to the financial industry.

9.50 Japan - Black Hole or Rocket Silo?
  • After the Bust Bubble...
  • After a Decade in the Doldrums...
  • What next for Japan?
Brian Reading, Director, Lombard Street Research

Brian Reading was economics advisor to former Prime Minister Edward Heath and the first Economics Editor of The Economist before moving into consultancy in the late 1970s. He has published thousands of newspaper articles and has written two books: 'Japan - The Coming Collapse' (1992), which is regarded as the seminal work on the subject, and 'The Fourth Reich' (1995).

10.30 Morning Coffee

11.00 Adding Return through Currency Management
  • How and why it works
  • Risks, Returns and Correlation with other Assets
  • How to set about it
Peter Wakefield, Managing Director, Research & Product Development, Record Currency Management Limited

Prior to joining Record Currency Management in 2000, Peter spent over 15 years at Morgan Grenfell/Deutsche Bank. He was educated at Merton College, Oxford.

11.30 Enhanced Indexing
  • Using Enhanced Indexing to Improve the Risk-Return Profile
  • A "Spectrum" Approach versus a "Barbell" Approach
  • Theoretical Evidence with Empirical Results
Melissa Brown, Managing Director, Quantitative Equities, Goldman Sachs Asset Management

Melissa Brown is a Senior Portfolio Manager responsible for US Portfolios for the Global Quantitative Equity Group. Melissa has 20 years’ experience in the industry, including ten years as an “All-Star”-rated Quantitative Analyst in the Institutional Investor annual survey.

12.00 Risk Management from Outside the Box
  • Traditional Views of Risk Management
  • Sound Bites VS. Important Information
  • Confusing Activity with Work
  • Real, not Apparent, Diversification
Jules Staniewicz, Senior Strategist and Research Manager, John W. Henry & Company, Inc

Jules Staniewicz joined JWH in 1992, having previously worked for Shearson Lehman Brothers, Phoenix Asset Management and Prudential-Bache Securities. He is a member of the JWH Investment Policy Committee.

12.30 Lunch

1.45 The Future of Asset Allocation Benchmarks (PANEL)

Pension scheme investment is in a state of flux and investment consultants are putting forward new proposals for asset allocation benchmarks. New ideas about liability benchmarks, unconstrained benchmarks, “portable alpha” mandates and “real return” benchmarks are forcing fund management houses to reconsider their investment processes and product offerings. This panel involves some of the most influential figures in what is a very live and important issue.

"Liability Benchmarks" & "Unconstrained" Benchmarks
Kerrin Rosenberg, Associate, Hewitt Bacon and Woodrow
Kerrin chairs the Investment Policy Group, which sets Hewitt Bacon and Woodrow’s policy on giving investment advice to clients on major investment issues. Kerrin is a Fellow of the Institute of Actuaries.

"Portable Alpha" Mandates
Andrew Kirton, UK Practice Leader, Mercer Investment Consulting
Andrew Kirton is UK Investment Consulting Practice Leader responsible for leading and managing Mercer's investment consulting activities in the UK. He is a Worldwide Partner of Mercer and a member of the UK Board.

"Real World" Mandates
Alan Brown, Group Chief Investment Officer and Chairman, SSGA Limited
Alan Brown joined State Street in January 1995 and has spent most of his career developing and applying quantitative strategies to portfolio management. Prior to joining SSgA, he was MD and CIO at PanAgora Asset Management and before that MD of Posthorn Global Asset Management in London. He holds an MA in Physics from Cambridge University.

3.00 Afternoon Refreshments

3.30 Equity Valuations in a Time of Change
  • What are the Most Reliable Valuation Measures for Equity Markets?
  • Can Equities Really be Valued against Bonds?
  • What are Valuations telling us Today?
Chris Carter, Global Equity Portfolio Manager, Investec Asset Management

Prior to joining Investec in 1998, Chris was for a number of years Global Head of Strategy at UBS, and has also held senior positions at CIGNA Investments and Bank of America.

4.00 TAA in Irrational Markets - Insights from Behavioural Finance
  • Improving the Asset Allocators' Tool-Kit
  • How to Model the Behaviour of Market Participants
  • The Interaction of Value and Momentum within TAA
  • Explicit Behavioural Models of Market Valuation
James Montier, Global Equity Strategist, Dresdner Kleinwort Wasserstein

James is the global equity strategist at DrKW. He is also the author of “Behavioural Finance: Insights into irrational minds and markets” (Wiley, 2002).

4.30 End of Day Two
Event Details
  When   Between 06/10/2004 09:00 AM and 07/10/2004 04:30 PM
Where   Inter-Continental Hotel, Hyde Park Corner, London
Web  
 
Contact Details
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E-mail   bookings@irc-conferences.com
Phone   +44(0) 1202 201182