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
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Lionel Martellini, Professor of Finance and Scientific Director, EDHEC Risk and Asset Management Research Centre
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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
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Keynote Speaker
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Paul Atkins, Commissioner, US Securities and Exchange Commission
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Panellists
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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
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Moderator |
Martin Baccardax, CNBC Europe |
Keynote Speaker
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Hector Sants, Chief Executive Officer, Financial Services Authority |
Panellists
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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
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Lionel Martellini, Professor of Finance and Scientific Director, EDHEC Risk and Asset Management Research Centre |
Panellists
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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
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• 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
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François-Serge Lhabitant, Associate Professor of Finance, EDHEC Business School and CIO, Kedge Capital |
Panellists
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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
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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
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Felix Goltz, Senior Research Engineer, EDHEC Risk and Asset Management Research Centre |
Panellists
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Alain Dubois, Chairman, Lyxor Asset Management and Advisory Board Member, EDHEC Risk and Asset Management Research Centre
Laurent Favre, CEO, AlternativeSoft |
Related
research
papers
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"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 |
Chairman |
Olivier Le Marois, CEO, Riskdata |
Speaker
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René Garcia, Professor of Finance, EDHEC Business School |
Panellists
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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
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"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
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• 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
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Jean-René Giraud, Director of Development, EDHEC Risk and Asset Management Research Centre |
Panellists
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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
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"Quantification of Hedge Fund
Default Risk"; Corentin Christory, Stéphane Daul, Jean-René Giraud; January 2007
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• 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
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Lionel Martellini, Professor of Finance and Scientific Director, EDHEC Risk and Asset Management Research Centre |
Panellists
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Roger Gray, CIO, Hermes Pensions Management Ltd
Justin Simpson, Managing Director, Head of Structured Products, Morgan Stanley Investment Management
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Related
research
papers
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"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
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EDHEC Alternative Investments Days - Conference Day 2
State-of-the-Art Alternative Investment
Wednesday, 21 November 2007
Plenary Sessions:
Speakers
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Lionel Martellini, Professor of Finance and Scientific Director, EDHEC Risk and Asset Management Research Centre
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• 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
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
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
• 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
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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
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Laurent Le Saint, Managing Director, Alternative Investments and Global Head of Marketing & Product Development, GEDS, Société Générale Corporate & Investment Banking
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• 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
• 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
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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
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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
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• Institutional demand for alpha overlay
• Mixing alpha sources optimally
• Customisation and operational implementation
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
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Roy Hoevenaars, Senior Portfolio Manager GTAA, ABP Investments
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Panellists
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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
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"The Benefits of Hedge Funds in Asset Liability Management"; Lionel Martellini; Volker Ziemann; September 2005
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• 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
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Joëlle Miffre, Associate Professor, EDHEC Business School
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Panellists
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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
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"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
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• 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
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Felix Goltz, Senior Research Engineer, EDHEC Risk and Asset Management Research Centre
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Panellists
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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
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Related
research
papers
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"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
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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
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Frédéric Ducoulombier, Associate Professor and Director, EDHEC Asset Management Education |
Panellists
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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
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Related
research
papers
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"EDHEC European Real Estate
Investment and
Risk Management Survey"; Frédéric Ducoulombier; November 2007 |
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