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Alternative Investments Euronext/AIMA 8th Annual Investor Forum 21st October, 2003 - Paris, France


Outlook for Alternative Investments in France and Europe
An event organised by the Alternative Investment Management Association (AIMA), strictly for members only.

Noël Amenc, Professor of Finance at Edhec, and Lionel Martellini, Research Associate at Edhec, will be speaking at the event.

The forum will be preceded on Monday, 20th October by a private AIMA Research Session: New Trends in Hedge Fund Research - Insights from both sides of the Atlantic with the participation of Noël Amenc and Lionel Martellini from the Edhec Risk and Asset Management Research Centre (see preliminary programme at the end of this section).

Programme

Tuesday, 21st October 2003
Euronext/Aima 8th Annual Investor Forum

08:30
Registration
Chairman of the Forum: Christopher Fawcett, Chairman of AIMA

09:00
Introduction and Welcome Address
Jean-François Théodore, Chairman of the Managing Board & CEO, Euronext

09:15
Setting the Scene / Keynote Speech
Christopher Fawcett, Chairman, AIMA

09:45
The Viewpoint of the COB on Alternative Investment Management
Jean-Marc Delion, Head of Asset Management, COB

10:15
Industry Leaders’ Roundtable

  • Current issues, trends and risks: the industry perspective
  • Volatility versus leverage: does low volatility mean low risk?
  • The impact of market conditions: what have three consecutive years of
    bear markets taught us?
  • Asset allocation/selection: is there an optimal asset allocation for different types of investors?
  • Evolution of the guaranteed structures
  • NAV calculation & asset pricing: update on AIMA’s research project
  • Regulations: do they help or hinder the development of the sector?
Moderator: Bernard Dennery, AIMA Council Member (France)
Christopher Fawcett, Chairman, AIMA
Joost Löbler, Global Director of Sales, Fortis Prime Fund Solutions
Ivo Felder, Head of Hedge Fund Investment, RMF, a core manager of Man Investments
Arié Assayag, Global Head of Hedge Funds, SG Asset Management
Jean Dominjon, Global Head of Alternative and Structured Investments, BNP Paribas Asset Management


11:15
Coffee break

11:40
Testimony on the Implementation and Use of Alternative Investments by a French Institutional Investor
Michel Degiovanni, Finance Director, MATMUT / Chairman of AFII (French Association of Institutional Investors)

12:00
Investors’ Roundtable: Expectations and Risk Issues
  • What are investors’ expectations regarding absolute return products?
  • What are the perceived risks associated with hedge funds?
  • How has each investor managed the education of internal policy makers?
  • Are fees an issue for investors?
  • Due diligence, transparency: what is new?
Moderator: Jeffrey Lindenbaum, Managing Director, Ivy Asset Management
John Caslin, Fellow of the UK Institute of Actuaries, Fellow of the Society of Actuaries in Ireland, Alder Capital
Kimmo Lehto, Head of Alternative Investments, Local Government Pensions Institution, Finland
Michel Degiovanni, Finance Director, MATMUT / Chairman, AFII (French Association of Institutional Investors)


13:00
Buffet lunch

14:30
Industry Research: Analysing Existing Research and Identifying Future Projects

Summary of the findings and conclusion of AIMA’s research seminar to be held in Paris on 20th October 2003

Noël Amenc, Professor of Finance at EDHEC Graduate Business School, Director of EDHEC Risk and Asset Management Research Centre

Thomas Schneeweis, Director, Center for International Securities and Derivatives Markets, Isenberg School of Management, University of Massachusetts


15:15
Indices for Hedge Funds
“Hedge fund indexation”: now or never

In recent months, there have been many developments in the area of hedge fund indices.
Investible or not, industry heavy weights such as S&P and Morgan Stanley have launched their best idea of what hedge fund indices should be and products are being developed using these indices.

A discussion between various users of these indices, investors and index creators will aim to illuminate the differences between the indices, as well as their strengths and limitations.

Moderator: Dominique Grandchamp, Quantitative Analyst, Harcourt Investment Consulting AG
Michael Howell, Managing Director, CrossBorder Capital
Lionel Martellini, Research Associate, EDHEC Risk & Asset Management Research Centre
Marc Besson, Managing Director, Bear Stearns
Eric Trouslard, Global Head of Correlation and Alternative Trading Strategies, BNP Paribas


16:15
USF: the New Tool in the Fund Manager Toolbox?
Max Butti, Product Manager, Universal Stock Futures, Euronext.liffe
With hedge fund managers (names to be confirmed)

16:45
Cocktail


Monday, 20th October 2003
Aima Research Session:
New Trends in Hedge Fund Research: Insights from both Sides of the Atlantic


With the participation of the Edhec Risk and Asset Management Research Centre and the Center for International Securities and Derivatives Markets (CISDM).

14:00
Derivative-based Replication of Hedge Fund Returns
  • Distinguishing between Manager Alpha and Strategy Alpha
  • Passive replication of strategy alpha
  • Performance of derivative-based replicating strategies
Prof. Thomas Schneeweis, Director, Center for International Securities and Derivatives Markets, Isenberg School of Management, University of Massachusetts

15:00
Econometrics of Financial Markets and New Forms of Market Neutral Strategies
  • Classification of active portfolio strategies
  • Predictability in style index returns and active style allocation decisions
  • Extending the approach to market timing and sector rotation decisions
  • Mixing timing-based market neutral strategies and long only returns
Prof. Lionel Martellini, Research Associate, EDHEC Risk & Asset Management Research Centre


16:00
Coffee Break

16:30
Hedge Fund Strategy Definition Standardisation Project
Dr. Drago Indjic, Head of Research, Fauchier Partners

17:00
New Trends and Directions in Hedge Fund Research
  • Current state of research in hedge funds
  • How is the research sector evolving?
  • What are the key outstanding questions?


Event Details
  When   Between 21/10/2004 08:30 PM and 21/10/2004 08:30 PM
Where   Le Grand Auditorium de la Bourse, Palais Brongniart, Place de la Bourse, Paris
 
Contact Details
  Name   Florence Lombard, AIMA
E-mail   florence@aima.org
Phone   +44 (0)20 7659 9920