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Alternative Investments EDHEC-Risk Alternative Investment Days 2011 5-6 April, 2011 - The Tower (Tower Hill), London, United Kingdom
Bringing Academic Insights to Alternative Investment


The EDHEC-Risk Alternative Investment Days 2011 are organised by an academic research centre for the benefit of professionals. The conference aims to present the applied research conducted by EDHEC-Risk Institute and to discuss the results with the institutional investor and fund manager communities.

The event is structured to appeal to institutional investors, alternative investment managers, and policy-makers.

The conference will address the allocation to alternative investments by institutional investors and present state-of-the-art approaches for optimal use of alternative investments and hedge funds in portfolio construction. Researchers will also examine various alternative asset classes including Private Equity and Commodities and bring new insights to risk diversification and inflation hedging.

The EDHEC-Risk Alternative Investment Days 2011 will open with the EDHEC-Risk/International Herald Tribune/CNBC Hedge Fund Roundtable of Global Thought Leaders. The objective of this annual roundtable is to allow for in-depth discussion of a key topic for the future of institutional investment. In 2011, the roundtable will discuss why institutional investors are returning to alternative investments and hedge funds. A debate moderated by Hedge Funds Review will put into context the challenges posed by the turbulent markets of recent years and show why institutional investors are becoming more comfortable investing in alternatives as their understanding of such asset classes grows.

The following sessions of this two day-event will be a mix of plenary sessions, stream sessions, and workshops. The workshops will allow the sponsors to present their approaches in alternative investments to institutional investors.



Programme

Day 1

Tuesday, 5 April 2011: 08:00-18:00

Asset Allocation and Diversification for Institutional Portfolios in the Alternative Universe

Hedge Fund Roundtable of Global Thought Leaders:
• Why institutional investors are returning to alternative investments and
hedge funds

Diversification at Reasonable Cost: Mitigating Downside Risk without
Compromising Long-term Growth Prospects:

• How to model time-varying correlations
• How to minimise the cost of diversification in an ever-changing market
environment
• An application to the hedge fund world

Dealing with Non-Normality in Portfolios that Include Alternatives:
• Evidence of non-normality in alternative investment vehicles
• Use of improved estimates for higher-order comoments in the context
of selecting alternatives
• Use of improved estimates for higher-order comoments in the context
of constructing portfolios with alternatives



Day 2

Wednesday, 6 April 2011: 08:00-17:30

Analysing Alternative Investment Performance and Selection of Alternatives

Private Equity and Investment Returns over the Last Thirty Years:
• Return spectrum and analysis of influential factors on returns of more
than 10,000 PE investments.
• New Stylized Facts: strong short-term returns are the exception but account
for most of the value generated by PE investment
• Which type of private equity firm generates the highest returns

Trade-Offs between Commodity Futures and Other Proxies for
Commodity Investment

• Innovations in commodity futures trading and investment
• Past history as a guide to possible future public policy on commodities
• Currencies as proxies for commodity trading and investing

Optimal Portfolio Allocation with Hedge Funds
• Detecting timing ability in hedge fund returns
• Optimal portfolio structure with timing ability
• Economic gains by including hedge funds in asset allocation strategies

Measuring and Managing Risk in Alternative Investments

Capturing the Risk Premium of Commodity Futures: The Role
of Hedging Pressure

• How to model the risk premium: Backwardation and contango
• Does the risk premium rise with the volatility of commodity markets?
• Can we use the risk premium for risk diversification and inflation hedging?

Commodities and Inflation Hedging
• Asset classes, expected and unexpected inflation
• Long-term versus short-term inflation hedging
• Investors’ inflation expectations and optimal commodity portfolios

New Forms of Volatility Indices
• Total systematic and idiosyncratic volatility
• Benefits and limits of existing volatility indices
• A new form of volatility index: the CViX approach

Extreme Hedge Fund Risk Diversification with Volatility
• How to measure extreme risk in the hedge fund universe
• The importance of the volatility factor in the risk and extreme risk of the
main hedge fund strategies
• How to assess the quality of extreme risk diversification with volatility for
hedge fund portfolios



View
programme


Registration & Payment

Registration fees:


Delegate CategoryDelegate FeeVAT at UK RateDelegate Fee VAT Included)

Special rate until March 15, 2011

€600€120€720

Standard rate

€1,000€200€1,200

Investor rate: pension schemes, charities, endowments, foundations, insurance companies (third party asset management excluded), single family offices and financial executives from non-financial companies. To register, these representatives should contact: eaid2011@edhec-risk.com or +33 493 187 837.

FREE
Cancellation Policy: Given the moderate conference fee, we do not accept cancellations; invoiced sums will remain payable in full. If a registered delegate is unable to attend, a substitute delegate from the same organisation is welcome at no extra charge.
  • The registration fee includes buffet lunch, refreshments and full conference documentation. Delegates may be refused admission if payment is not received prior to the conference.

  • In order to encourage a high level of interaction, plenary sessions at the EDHEC-Risk Alternative Investment Days conference are complemented by limited enrolment streams and workshops that allow for an in-depth exploration of special themes. Since enrolment in workshops and stream sessions is limited, attendees for whom no selection information is available will be given access subject to availability.

  • Conference documentation designed by EDHEC Business School will be made available online to all delegates.

  • EDHEC Business School reserves the right to alter the programme without notice.
Register on-line:Payment:

Payment is required before the date of the conference. Registration will be confirmed once payment has been received.
  • Payment by credit card:

    Payment can be made by credit card by registering on-line. Please note that credit card payments will be debited in euros.



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Event Details
  When   Between 05/04/2011 08:00 AM and 06/04/2011 05:30 PM
Where   The Tower Hotel (Guoman), St. Katharine's Way, London, E1W 1LD, United Kingdom
 
Contact Details
  Name   Vania Schleef
E-mail   vania.schleef@edhec-risk.com
Phone   +33 (0)4 93 18 78 37
 
Attachments
  Programme