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Alternative Investments EDHEC Hedge Fund Day 2004 13th May, 2004 - London, UK


The Best of Both Worlds:
Where Academics and Practitioners Meet

Gold sponsors:

Co-Sponsors:


Edhec Hedge Fund Day is the first international conference organised by an academic research centre for the benefit of professionals.

The aim of Edhec Hedge Fund Day is to present the results of the hedge fund research conducted by the Edhec Risk and Asset Management Research Centre and to discuss these results with the fund manager and investor communities.

For 2004, Edhec has organised the conference around three major themes:



  • Managing and Investing in Funds of Hedge Funds
    Recent findings and techniques to optimise alternative diversification

  • Risk Management and Reporting in the Alternative Universe
    How to take the specific features of hedge fund risks into account in risk management and reporting

  • Challenges and Issues in the Alternative Investment Industry
    Best practices and benchmarking in the alternative universe: do the academics and the practitioners concur?



*** Click here to view the Edhec Hedge Fund Day documentation ***


Programme

In order to encourage a high level of interaction, Edhec Hedge Fund Day is organised around a plenary session and workshops that will allow Edhec’s research themes and service offerings to be explored in more detail.

8.30am
Registration, coffee

9.00am

Introduction:

Presentation of Edhec Business School
Olivier Oger, Managing Director of Edhec Business School

Presentation of the programme for Edhec Hedge Fund Day 2004
Lionel Martellini, Scientific Director at the Edhec Risk and Asset Management Research Centre

Conferences, Main Room

Plenary Session:

9.20am – 10.55am
Managing and Investing in Funds of Hedge Funds


9.20am
Multi-style, multi-class asset allocation

- What methodology should be used for constructing FoHFs?
- What approach to inserting hedge funds into asset allocation?
- How to take extreme risks into account in asset allocation?
  • Chairman:
    - Arie Assayag, Director of Hedge Funds, SGAM
  • Presentation:
    - François-Serge Lhabitant, Member of Senior Management, UBP Geneva and Associate Professor with Edhec and HEC Lausanne
    - Laurent Favre, Head of Tactical Asset Allocation, UBS Wealth Management and Research AG, Zurich and Research Associate with Edhec
  • Panel:
    - Patrick Fenal, CEO, Unigestion Geneva
    - Urs Alder, Vice President, Man-Glenwood GmbH
10.15am
Tactical allocation: a better source of performance for funds of hedge funds


- The results of the research in the area of the predictability of hedge fund styles
- How to implement an inter-style relationship in a fund of hedge funds?
  • Chairman:
    - Patrick Peignon, Deputy CEO, SGAM AI
  • Presentation:
    - Lionel Martellini, Scientific Director at the Edhec Risk and Asset Management Research Centre
  • Panel:
    - Michael Howell, Founder, CrossBorder Capital
    - Laurent Favre, Head of Tactical Asset Allocation, UBS Wealth Management and Research AG, Zurich and Research Associate with Edhec
10.55 am
Coffee Break

11.30am – 1.00pm
Risk Management in the Alternative Universe


11.30am
Risk management in the alternative universe


- What are the specific characteristics of hedge fund risks?
- How to take these specific characteristics into account in the measurement and reporting of hedge fund risks?
- How the market responds to issues of liquidity and transparency
  • Chairman:
    - Olivier Le Marois, CEO, Riskdata
  • Presentation:
    - Lionel Martellini, Scientific Director at the Edhec Risk and Asset Management Research Centre
  • Panel:
    - Hillary Till, Principal of Premia Risk Consultancy, Inc.
    - Lars Jaeger, Partner, Head of Quantitative Analysis and Risk Management, Hedge Funds, Partners Group
    - Kerrin Rosenberg, Associate, Hewitt Bacon & Woodrow
    - Valere Costello, President & CEO, Invesdex Ltd
12.20pm
Operational due diligence and fund picking


- What is the state-of-the-art in terms of hedge fund selection?
- What measure should be used for the operational risk of hedge funds?
- How to optimise an operational due diligence process?
- How to reconcile qualitative and quantitative approaches in constructing a portfolio of hedge funds?
  • Chairman:
    - Olivier Le Marois, CEO, Riskdata
  • Presentation:
    - Jean-René Giraud, CEO, Edhec-Risk Advisory
  • Panel:
    - Eric Bissonnier, Partner, CIO, Europe & Asia, EIM S.A.
    - Jan Smedts, COO, Petercam Capital
    - Rajiv Jaitly, Head of Operational Risk Multi-Manager Funds, GAM
    - Patrick Peignon, Deputy CEO, SGAM AI
1.10pm
End of the morning session

Afternoon Session:

2.30pm
Registration, Coffee

3.00pm – 7.00pm
Challenges and Issues for Alternative Investment


3.00pm
Presentation of Edhec’s recommendations in the area of FOHF reporting


- Results of an international consultation on reporting and its standardisation for FOHFs.
  • Chairman:
    - Valere Costello, President & CEO, Invesdex Ltd
  • Presentation:
    - Philippe Malaise, Professor of Finance, Edhec Business School
    - Noël Amenc, Director of the Edhec Risk and Asset Management Research Centre and Director of Research with Misys Asset Management Systems
  • Panel:
    - Giovanni Beliossi, Managing Partner, FGS Capital LLP, European Chair, Investor Risk Committee (IRC)
    - Dereck Doupe, Associate, Director of Alternative Investment, Frank Russell
    - Christopher Fawcett, Chairman of AIMA
3.55pm
Hedge fund indices


– The necessary relativisation of the performance of hedge funds
– The problems posed by hedge fund indices
– What are the solutions proposed by the industry and the academic world?
  • Chairman:
    - Christopher Fawcett, Chairman of AIMA
  • Presentation:
    - François-Serge Lhabitant, Member of Senior Management, UBP Geneva and Associate Professor with Edhec and HEC Lausanne
    - Lionel Martellini, Scientific Director at the Edhec Risk and Asset Management Research Centre
  • Panel:
    - Drago Indjic, Head of Research, Fauchier Partners Limited
    - Werner Goricki, Director of Hedge Funds, FERI Alternative Assets GmbH
    - Dominique Grandchamp, Quantitative Analyst, Harcourt Investment Consulting AG
    - Pierre Lequeux, Senior Quantitative Currency Manager, ABN Amro
4.50pm
Coffee Break

5.10pm
Use of derivative instruments and hedge funds


– For better risk control and performance growth: the case of long/short funds
  • Chairman:
    - Olivier Le Marois, CEO, Riskdata
  • Presentation:
    - Lionel Martellini, Scientific Director at the Edhec Risk and Asset Management Research Centre
  • Panel:
    - Ton Tjia, Managing Director and Fund Manager, Olympus Capital Management
    - John Mattimore, Head of Hedge Fund Risk, Gartmore
5.50pm
What state-of-the-art for the alternative multimanagement industry?


– Prospects and debate on the results of the Edhec European Alternative Multimanagement Practices survey
  • Chairman:
    - Jean-François Lepetit, Professor of Finance, Edhec Business School
  • Presentation:
    - Noël Amenc, Director of the Edhec Risk and Asset Management Research Centre and Director of Research with Misys Asset Management Systems
    - Jean-René Giraud, CEO, Edhec-Risk Advisory
  • Panel:
    - Christopher Fawcett, Chairman of AIMA
    - Michael Azlen, Managing Director, Asset Alliance International Ltd.
7.00pm
Refreshments

Workshops, Room 2


Presentation of the Edhec Business School Service Offerings, Room 3



Links to sponsors' web sites:
Event Details
  When   Between 13/05/2004 08:30 AM and 13/05/2004 07:00 PM
Where   Haberdashers' Hall, 18 West Smithfield, London EC1A 9HQ
 
Contact Details
  Name   Carolyn Essid
E-mail   carolyn.essid@edhec-risk.com
Phone   +33 (0)4 92 96 89 50
 
Attachments
  Download programme
  Download registration form

Subscription form
  Session 1

Risk
Performance
Diversification

  Session 2