EDHEC Alternative Investment Days 2007

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Programme

EDHEC Alternative Investments Days - Conference Day 1
Tuesday, 20 November 2007

Hedge Funds Summit - Hedge Funds, Regulators and the Global Financial System


Plenary Sessions:


Speakers

Presentation

Lionel Martellini, Professor of Finance and Scientific Director, EDHEC Risk and Asset Management Research Centre



09:00 Regulation Risk - Are Regulators' Attempts to Protect Investors Increasing Moral Hazard and Adverse Selection? What Can the Subprime Crisis Tell Us?  

Chairman

Serge Ledermann, Head of the Investment Unit, Lombard Odier Darier Hentsch & Cie

Keynote Speaker

Paul Atkins, Commissioner, US Securities and Exchange Commission

Panellists

 

 

Noël Amenc, Director, EDHEC Risk and Asset Management Research Centre

Stanley Fink, Deputy Chairman, Man Group

David Harding, Founder and Managing Director, Winton Capital Management

Roy Leighton, Chair, Financial Services Practitioner Panel

Related
research
papers

Moderator

Martin Baccardax, CNBC Europe

Keynote Speaker

Speech

Hector Sants, Chief Executive Officer, Financial Services Authority

Panellists

 

 

Sir John Gieve, Deputy Governor in Charge of Financial Stability, Bank of England

Jean-René Giraud, Director of Development and Research Associate, EDHEC Risk and Asset Management Research Centre

Omar Kodmani, Senior Executive Officer, Permal Investment Management Services Limited

Kevin Pakenham, Senior Executive Officer, Putnam Lovell NBF

Blaine Tomlinson, Founder and Chairman, FRM Group



Hedge Funds Summit - New Frontiers for the Hedge Fund Industy


Stream Sessions:


14:30 Stream 1A: Passive Replication of Hedge Funds: New Frontier or Mirage?

• Understanding the factor-based and payoff distribution approaches to cloning
• Assessing the pros and cons of passive replication

• Examining the robustness of hedge fund replication offers  

Chairman

Jean-Christophe Meyfredi, Professor of Finance and Head of Department, EDHEC Business School

Speaker

Presentation

Lionel Martellini, Professor of Finance and Scientific Director, EDHEC Risk and Asset Management Research Centre

Panellists

 

 

Michael Markov, CEO, Director of Research, Markov Processes International

Chris Woods, Investment Strategist, Man Global Strategies

Alex Ypsilanti, Head of European Equity Derivatives Strategy, Merrill Lynch

Related
research
papers

 

• Alphas, betas, accounting games and leverage
• Illiquid assets in hedge funds: a natural extension
• Private equity vs. hedge funds: fighting vs. cooperating
 

Chairman

Frédéric Ducoulombier, Associate Professor of Finance and Director, EDHEC Asset Management Education

Speaker

Presentation

François-Serge Lhabitant, Associate Professor of Finance, EDHEC Business School and CIO, Kedge Capital


Panellists

Vincent Beaujeu-Dumontel, Sales Manager, CACEIS Investor Services

Patrick Fenal, CEO, Unigestion and Advisory Board Member, EDHEC Risk and Asset Management Research Centre

Cecilia McAnulty, Managing Director, Centaurus Capital



14:30 Stream 1C: Hedge Fund Indices

• Addressing the biases in indices
• Reconciling investability & representativity

• Using indices for strategic and tactical asset allocation
  
 

Chairman

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

Speaker

Presentation

Felix Goltz, Senior Research Engineer, EDHEC Risk and Asset Management Research Centre


Panellists

Alain Dubois, Chairman, Lyxor Asset Management and Advisory Board Member, EDHEC Risk and Asset Management Research Centre

Laurent Favre, CEO, AlternativeSoft

Related
research
papers

"Revisiting the Limits of Hedge Fund Indices: A Comparative Approach"; Noël Amenc, Felix Goltz; July 2007

"Hedge Fund Indices for the Purpose of UCITS: Answers to the CESR Issues Paper"; January 2007

"A Reply to the CESR Recommendations on the Eligibility of Hedge Fund Indices for Investments of UCITS"; Noël Amenc, Felix Goltz; 2006

"Hedge Fund Indices from an Academic Perspective: Reconciling Investability and Representativity"; Lionel Martellini, Mathieu Vaissié, Felix Goltz; November 2004

"Hedge Fund Indices: Investable, Non-Investable and Strategy Benchmarks"; Walter Géhin, Mathieu Vaissié; October 2004

"EDHEC Alternative Indexes Presentation Book"; March 2004

"Indexing Hedge Fund Indexes"; Noël Amenc, Lionel Martellini, Mathieu Vaissié; December 2003

"A Detailed Analysis of the Construction Methods and Management Principles of Hedge Fund Indices: Are all hedge fund indices created equal"; Mathieu Vaissié; December 2003

"The Brave New World of Hedge Fund Indices"; Noël Amenc, Lionel Martellini; October 2002



16:30 Stream 2D: Alpha, Betas - What is the True Performance of Hedge Funds?

• Recognising sources of returns: risk premia, dynamic betas, pure alpha
• Developing better measures of performance
• Understanding the role of non-normality risks and their implications for tactical asset allocation

Chairman

Olivier Le Marois, CEO, Riskdata

Speaker

Presentation

René Garcia, Professor of Finance, EDHEC Business School


Panellists

Neil Brown, Director of Trustees, CSFB Trustees Ltd

Pranay Gupta, Deputy Chief Investment Officer, Axial Investment Management

Benjamin Mouté, Head of Research, NewFinance Capital

Related
research
papers

"Hedge Fund Performance in 2006: A Vintage Year for Hedge Funds?"; Véronique Le Sourd; March 2007

"The Challenge of Hedge Fund Performance Measurement: a Toolbox Rather Than a Pandora's Box"; Walter Géhin; January 2007

"Determinants of Funds of Hedge Funds' Performance"; Noël Amenc, Mathieu Vaissié; February 2006

"Hedge Fund Returns: An Overview of Return-Based and Asset-Based Style Factors"; Walter Géhin; January 2006

"Comparative Analysis of Hedge Fund Returns"; Daniel Capocci; January 2006



• Mapping the various listing models used by alternative investment groups
• Looking at the implications in terms of liquidity, transparency, and strategy
• Investor protection: reviewing regulatory issues

Chairman

Dan Waters, Director of Retail Policy, FSA and Advisory Board Member, EDHEC Risk and Asset Management Research Centre

Speaker

Presentation

Jean-René Giraud, Director of Development, EDHEC Risk and Asset Management Research Centre

Panellists

 

 

Marcos Camhis, C.M. Advisors Ltd

Daniel Godfrey, Director General, The Association of Investment Companies

Odi Lahav, Head of the European Alternative Investment Group, Moody's Investors Service

Stephen Stonberg, Partner, Brevan Howard

Duco Wildeboer, Manager, Listing Department, NYSE Euronext

Related
research
papers

"Quantification of Hedge Fund Default Risk"; Corentin Christory, Stéphane Daul, Jean-René Giraud; January 2007



• Defining the place of hedge funds in LDI
• Optimising the liability-matching portfolio
 
• Optimising the performance portfolio  

Chairman

Fons Lute, CIO, Blue Sky Group

Speaker

Presentation

Lionel Martellini, Professor of Finance and Scientific Director, EDHEC Risk and Asset Management Research Centre

Panellists

 

 

Roger Gray, CIO, Hermes Pensions Management Ltd

Justin Simpson, Managing Director, Head of Structured Products, Morgan Stanley Investment Management

Related
research
papers

"Managing Pension Assets: from Surplus Optimization to Liability-Driven Investment"; Lionel Martellini; March 2006

"EDHEC European Alternative Diversification Practices Survey"; Noël Amenc, Walter Géhin, Jean-René Giraud, Lionel Martellini, Mathieu Vaissié; December 2005

"Hedge Funds from the Institutional Investor’s Perspective"; Noël Amenc, Lionel Martellini, Felix Goltz; 2005

"Investing in Hedge Funds: Adding Value through Active Style Allocation Decisions"; Lionel Martellini, Mathieu Vaissié, Volker Ziemann; 2005

"On the Role of Hedge Funds in Institutional Portfolios"; Hilary Till; January 2004


EDHEC Alternative Investments Days - Conference Day 2
State-of-the-Art Alternative Investment

Wednesday, 21 November 2007

Plenary Sessions:


Speakers

Presentation

Lionel Martellini, Professor of Finance and Scientific Director, EDHEC Risk and Asset Management Research Centre



• Expansion of CDS and CDS indices to cover new credit risks
• The ABX index and the subprime crisis
• ABX tranches as subprime hedges
• CPPI and CPDO: risks and return of novel dynamic solution
• Pricing the next generation of correlation products

Speaker

Presentation

Dominic O'Kane, Affiliated Professor of Finance, EDHEC Business School

Related
research
papers

"Approximating Independent Loss Distributions with an Adjusted Binomial Distribution"; Dominic O'Kane; 2007



Morning Workshops:


11:15 Workshop AM1: The Challenges of Measuring the Risk and Performance of Hedge Funds
Organised by Unigestion

• Usual pitfalls for risk measurement in hedge funds
• Enhanced techniques for risk analysis
• Towards the most suitable benchmarks and tools for performance measurement  

Leader

Gabriele Susinno, Head of Quantitative Research & Risk Control, Hedge Funds, Unigestion



11:15 Workshop AM2: ETFs: Opportunity and exposure
Organised by iShares -Barclays Global Investors

Tactical use of precise, efficient beta instruments integral to alpha generating investment strategies

• $700bn of global ETFs provide exposure to difficult-to-access markets and investment themes
• Exchange flexibility offers opportunistic managers ability to use market volatility to their advantage 

Speaker

Rory Tobin, CEO, iShares Europe, Head of Global Index & Markets Group Europe



11:15 Workshop AM3: SGAM AI Strategy for Seeding Hedge Fund Managers
Organised by SGAM AI

• Seeding in SGAM AI's overall hedge fund strategy
• Sharing economies and the upside with hedge fund managers
• Attracting and retaining top talent  

Leader

Eric Attias, Head of US Hedge Funds, SGAM AI



11:15 Workshop AM4: Portable Beta for Portfolios of Hedge Funds
Organised by Riskdata

• War stories from the subprime crisis: to hedge or not to hedge, case studies of hedging risks in such market conditions
• Can we hedge hedge fund risks with portable beta solutions?
• A risk-budgeting process to split beta and alpha management  

Leader

Raphaël Douady, Head of Research, Riskdata



• Key financial characteristics of highly diversified managed futures
• Past behaviour of highly diversified managed futures
• Highly diversified managed futures as risk reducer and performance booster  

Leader

Presentation

Emmanuel Bégat, Country Manager France, Superfund Asset Management GmbH



Afternoon Workshops:


14:00 Workshop PM1: New Forms of Hedge Funds Structured Products
Organised by Lyxor Asset Management

• Using derivatives to avoid path-dependent returns and de-leverage risk
• Capital appreciation: how to efficiently protect capital on a portfolio of hedge funds
• Combining leverage and capital protection
• Income products: extracting alpha from hedge funds to create a new generation of high-yield bonds  

Leader

Laurent Le Saint, Managing Director, Alternative Investments and Global Head of Marketing & Product Development, GEDS, Société Générale Corporate & Investment Banking



• Boom of the hedge fund industry: paradigm shift or déja-vu?
• Long-term hedge fund performance: recognising sustainable competitive advantages
• Top-down and bottom-up implications: managing funds of hedge funds for return persistence
 

Leader

Presentation

Etienne Rouzeau, Head of Allocation and Risks, AAAM



• Merger arbitrage strategies - why position models are insufficient, a model for merger arbitrage strategies based on historical merger behaviour
• Applications - describing the risk of a specific portfolio of merger positions, creating an index for merger arbitrage performance
• Assessment of the yen carry trade - building strategy indices, examining hedge fund and index returns for evidence of carry-trade activity

Leaders

Presentation

Christopher C. Finger, Global Head of Research, RiskMetrics Group

Stéphane Daul, Senior Researcher, RiskMetrics Group and Research Associate, EDHEC Risk and Asset Management Research Centre



• Spectacular growth
• A technique complementary to hedge funds and traditional long only equity
• An alternative investment adapted to UCITS regulation 

Leaders

Presentation

 

Marc Hotimsky, Co-Founder and Co-CIO, NewFinance Capital LLP

Algie Koh, Funds and Products Development, NewFinance Capital LLP

David Mooney, Portfolio Manager Commodities, NewFinance Capital LLP

Benjamin Mouté, Head of Research, NewFinance Capital LLP



• Institutional demand for alpha overlay
• Mixing alpha sources optimally
• Customisation and operational implementation  

Leader

Presentation

Jean-Charles Bertrand, Global Head of Fixed Income and Absolute Return, Sinopia Asset Management



Stream Sessions:


• Comparing the inflation-hedging properties of commodities, hedge funds and real estate
• Contrasting asset management with ALM and understanding the importance of horizon
• Defining the optimal mix of traditional and alternative assets for long-term liability hedging  

Chairman

Lionel Martellini, Professor of Finance, EDHEC Business School and Scientific Director, EDHEC Risk and Asset Management Research Centre

Speakers

Presentation

Roy Hoevenaars, Senior Portfolio Manager GTAA, ABP Investments

Panellists

 

 

David Bennett Rees, Trustee Director, The University of London Pension Fund

James Bevan, CIO, CCLA Investment Management

Michael Nolan, Head of Portable Alpha, Morgan Stanley Investment Management

Related
research
papers

"The Benefits of Hedge Funds in Asset Liability Management"; Lionel Martellini; Volker Ziemann; September 2005



• Assessing commodities as a strategic asset allocation class: diversification and inflation hedging benefits
• Exploring the conditional and higher moment properties of commodities
• Using commodities for tactical asset allocation: momentum-, term-structure- and economic-based strategies  

Chairman

Geoff Reader, Head of Pensions and Treasury Department, Bedford County Council

Speaker

Presentation

Joëlle Miffre, Associate Professor, EDHEC Business School

Panellists

 

 

Laurent Chevallier, Head of Manager Research & Investment, Hedge Funds, Unigestion

Ralf Huesmann, Eurex Product Design, Product Manager, Eurex

Vera Kupper Staub, Head of Asset Investment, City of Zurich Pension Fund

Carolyn White, Senior Investment Manager for Alternatives, West Midlands Pension Fund

Related
research
papers

"Momentum Strategies in Commodity Futures Markets"; Joëlle Miffre, Georgios Rallis; 2007

"Conditional Risk Premia and Correlations in Commodity Futures Markets"; James Chong, Joëlle Miffre; 2007

"EDHEC Comments on the Amaranth Case: Early Lessons from the Debacle"; Hilary Till; 2006

"The Risks of Commodity Investing"; Hilary Till, Joseph Eagleeye; August 2006

"Structural Sources of Return and Risk in Commodity Futures Investments"; Hilary Till; April 2006

"Separating the Wheat from the Chaff: Backwardation as the Long-Term Driver of Commodity Futures Performance; Evidence from Soy, Corn and Wheat Futures from 1950 to 2004"; Barry Feldman, Hilary Till; March 2006

"Commodities – Active Strategies for Enhanced Return"; Hilary Till, Joseph Eagleeye; November 2005

"Portfolio Risk Measurement in Commodity Futures Investments"; Hilary Till; September 2005

"Absolute Returns in Commodity (Natural Resource) Futures Investments"; Hilary Till, Jodie Gunzberg; April 2005



• Building absolute return funds with traditional asset classes
• Using derivatives for portable beta and risk management strategies
• Implementing portable alpha strategies: benchmark or market-neutral approach?
• Introducing new asset allocation tools for multi-style multi-class diversified funds
• 130/30 funds: what is behind the commercial offensive?  

Chairman

Philippe Malaise, Professor of Finance, EDHEC Business School

Speaker

Presentation

Felix Goltz, Senior Research Engineer, EDHEC Risk and Asset Management Research Centre

Panellists

 

 

Daniel James, Head of Portable Alpha and Absolute Return, ABN Amro Asset Management

John Parkhouse, Investment Management and Real Estate Leader, PWC

Erik Valtonen, CIO, AP3 and Advisory Board Member, EDHEC Risk and Asset Management Research Centre

Related
research
papers

"Derivatives Strategies for Bond Portfolios"; Felix Goltz, Lionel Martellini, Volker Ziemann; 2006

"From Delivering to the Packaging of Alpha Illustration from Active Bond Portfolio Management: Using Fixed-Income Derivatives to design Hedge Fund Type Offerings that better fit Investors’ Needs"; Noël Amenc, Philippe Malaise, Lionel Martellini; 2005

"Using Index Options to Improve the Performance of Dynamic Asset Allocation Strategies"; Noël Amenc, Philippe Malaise, Lionel Martellini, Daphne Sfeir; October 2004

"Portable Alpha and Portable Beta Strategies in the Euro Zone - Implementing Active Asset Allocation Decisions using Equity Index Options and Futures"; Noël Amenc, Philippe Malaise, Lionel Martellini, Daphne Sfeir; October 2003



Confronting academic research and industry innovations with the results of a pan-European survey
• Revisiting real estate as an asset allocation class
• Real estate risks and risk management practices
• The promises of new investment vehicles and index-linked products
• Property derivatives: investors' perceptions and expectations 

Chairman

Theo Jeurissen, Director Investments, PMT and Advisory Board Member, EDHEC Risk and Asset Management Research Centre

Speaker

Presentation

Frédéric Ducoulombier, Associate Professor and Director, EDHEC Asset Management Education

Panellists

 

 

Stephen Ashworth, Partner, Reech Alternative Investment Management

Jon Lekander, International Director - Head of Investment Strategy, Aberdeen Property Investors Holding AB

Liz Peace, Chief Executive, British Property Federation

Related
research
papers

"EDHEC European Real Estate Investment and Risk Management Survey"; Frédéric Ducoulombier; November 2007