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09:15 - 12.15:
First series of workshops
Workshop A: Designing Funds of Hedge Funds
Patrick Fenal, CEO, Unigestion
Workshop B: Exchange Traded Funds
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Exchange Traded Funds, a growing force in efficient equity and fixed income investing
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Developments of the ETF industry
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Use of ETFs in active institutional portfolio managers
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The investor and broker dealer perspective - ETFs compared to program trading, swaps and futures
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Fixed income ETFs: Discussing the trend towards greater transparency of credit with regards to pricing and trading applications
Presentation:
Nick Shellard, Director of Sales, iShares
Todd Scott, Vice-President, Equities, Credit Suisse First Boston
Christoph Stübbe, Senior Marketing Manager, iBOXX
Felix Goltz, Research Engineer, Edhec Risk and Asset Management Research Centre
Alex Claringbull, Portfolio Manager, Barclays Global Investors
Workshop C: Structured Products
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How a structured product improves the risk/return ratio of an institutional investor's asset allocation
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Tailor-made solutions that cannot be reproduced using traditional assets
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Case study: using correlation as an asset class
Marcel Dupuis, SG CIB
Marcel Dupuis, Head of Sales Benelux, SG CIB
Workshop D: Volatility as An Asset Class
- Typology of volatility management
- Markets and sources of inefficiency for volatility
- Forms of volatility arbitrage and sources of performance
- Implementing a volatility arbitrage strategy
Arie Assayag, Director of Hedge Funds, SGAM
14:00 - 17:00: Second series of workshops
Workshop E: Risk Management in Funds of Hedge Funds
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Risk Transparency & Quantitative Risk Management: What is at Stake?; Olivier Le Marois, CEO, Riskdata
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Analysing Dynamic & Hedge Fund Specific Risks to Assess Alpha Generation in Alternative Investments; Benjamin Mouté, NewFinance Capital
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From Manager Monitoring to Portfolio Construction - A Quantitative Approach; Alain Robert-Dautun, AGF Alternative Asset Management
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What happened to Market Neutral Funds in 2004? Evidence from Quantitative Analysis; Raphaël Douady, Riskdata
Workshop F: Quantitative Techniques for Selecting Managers
Implementing an "RBSA" type style analysis: determining the style of the fund without knowing the portfolio details
- Method for calculating the alphas of funds
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Taking funds' Value at Risk into account in the allocation process
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Constructing a portfolio of funds from their styles and their alphas within the framework of a core-satellite type approach
Jean-Loup Fenaux, Development Director, EuroPerformance
Philippe Malaise, Professor of Finance at Edhec Business School
Felix Goltz, Research Engineer, Edhec Risk and Asset Management Research Centre
Workshop G: From Best Execution to Best Operations
Execution costs: challenges and solutions for the fund manager
Impact of securities execution costs on performances
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Importance of indirect costs (back office, credit, counterparty and operational charges)
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Consequences of the updated European Directive on Financial Instruments (MiFiD)
Jean-René Giraud, CEO, Edhec-Risk Advisory
What architectures for optimising fund settlement?
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Impact of fund settlement costs for multimanagers
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Fund subscriptions and redemptions, fees and commissions, settlement: understanding the European landscape
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New solutions for building a more efficient European market
Bruno Zutterling, Director Investment Fund Services, Clearstream
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