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Performance Benchmarks in Asset Management: Challenges & Ambiguity 27 November 2003 - Paris, France A conference organised by Edhec and the Europlace Institute of Finance


The difficult stock market situation of the last three years has led many managers and investors to question the pertinence of the management process which used to award great importance to compliance with benchmarks that were often confused with indices.

Furthermore, the very strong development of low-cost passive management offerings in the form of ETFs clearly posed the problem of added value and of the price of investment management with low tracking error, which was therefore only marginally active, particularly as it rarely outperforms indices over the medium or long term.

Lastly, the success of investment management based on absolute return or a very active allocation policy requires reflection on the evaluation and comparison of its performances and risks, and therefore on the benchmarks that are applicable to it.

  • Do we need benchmarks?
  • Can they be different from indices?
  • What is the added value of constructing a benchmark?
  • Does the new European directive on collective management place too much importance on benchmarks?
  • How to measure and compare the performance and risks of funds that do not use a benchmark?
  • Are hedge fund indices a good reference in the alternative investment universe?
In order to answer all of these questions, and more, posed by the use of benchmarks in asset management, Edhec and the Europlace Institute of Finance have invited European researchers and specialists to present and discuss the state of the art in this field with French managers and institutional investors.

Programme

13:30
Registration

14:00
Introduction
Elyès Jouini, Director, Europlace Institute and Professor at University Paris 9 Dauphine

14:15
Confusion between Indices/Benchmarks and Strategic/Passive Allocation
Noël Amenc, Director of the Edhec Risk and Asset Management Research Centre, and Director of Research at Misys Asset Management Systems

15:00
Unconstrained Benchmarks - Getting the most from an Active Equity Manager
Kerrin Rosenberg, Associate, Hewitt Bacon & Woodrow, London

15:45
Benchmark Construction Techniques in a "Risk Profiling" Approach
The new place for derivative instruments in the financial management of European institutional investors
Lionel Martellini, Scientific Director of the Edhec Risk and Asset Management Research Centre

16:30
Coffee Break

16:45
Constructing benchmarks while taking extreme risks into account: new value-added for strategic allocation?
Laurent Favre, Head of Tactical Asset Allocation, UBS AG, Zurich and Research Associate with Edhec

17:30
Constructing representative benchmarks in the alternative universe
François-Serge Lhabitant, Member of Senior Management, UBP Geneva, Associate Professor with Edhec and HEC Lausanne

18:15
Conclusion: How should one interpret the explicit reference to the benchmark proposed in the new European directive?
Alain Leclair, Président,AFG-ASFFI
Jean-Marc Delion, Head of the Management & Savings department, Commission des Opérations de Bourse

18:45
Refreshments

Each presentation will be followed by a Question & Answer session
Event Details
  When   Between 27/11/2004 02:00 PM and 27/11/2004 07:00 PM
Where   Salon Louis XV, Hôtel Ritz, 15 Place Vendôme, 75001 Paris
 
Contact Details
  Name   Carolyn Essid
E-mail   carolyn.essid@edhec-risk.com
Phone   +33 (0)4 92 96 89 50
 
Attachments
  "Les confusions entre indice, benchmark, allocation stratégique et passive" - Noël Amenc, Director of the Edhec Risk & Asset Management Research Centre and Director of Research, Misys Asset Management Systems
  "Unconstrained benchmark - getting the most from an active equity manager" - Kerrin Rosenberg, Associate, Hewitt Bacon & Woodrow, London
  "Les techniques de construction de benchmark dans une approche 'risk profiling' " - Lionel Martellini, Scientific Director of the Edhec Risk & Asset Management Research Centre
  "Construire des benchmarks en tenant compte des risques extrêmes : une nouvelle valeur ajoutée pour l'allocation stratégique ?" - Laurent Favre, Head of Tactical Asset Allocation, UBS AG, Zurich and Research Associate at Edhec
  "Construire des benchmarks représentatifs dans l'univers alternatif" - François Serge Lhabitant, Member of Senior Management, UBP Geneva and Associate Professor at Edhec and HEC, Lausanne
  "Les benchmarks dans la gestion d'actifs" - Jean-Marc Delion, Head of the Management & Savings department, Commission des Opérations de Bourse