EDHEC Asset Management Days - Conference Day 1
New Concepts and Solutions for Wealth Management
Monday, 12 March 2007
Plenary Sessions:
• What is the state of the art in applied financial research?
• How can it be applied to wealth management?
Speakers
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Jean-François Lepetit, Associate Professor of Finance, EDHEC Business School and Chairman, EDHEC Risk and Asset Management Research Centre Advisory Board
Lionel Martellini, Professor of Finance, EDHEC Business School and Scientific Director, EDHEC Risk and Asset Management Research Centre |
• Benefits of an ALM approach geared towards wealth management
• How to model the constraints and "liabilities" of private banking clients
• Limitations of current ALM-type tools used by private bankers: going beyond the investor's risk profile
• State-of-the-art ALM techniques applied to wealth management
Chairperson |
Yves Bonzon, Chief Investment Officer Private Banking, Pictet & Cie
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Speaker
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Lionel Martellini, Professor of Finance, EDHEC Business School and Scientific Director, EDHEC Risk and Asset Management Research Centre
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Panelists
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Martin Dürr, Head of Investments and Finance, Harald Quandt Holding
Max Bigler, Head of Strategic & Quantitative Advisory for Multi Asset Class Solutions, CIO Office Credit Suisse Asset Management
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Related
research
papers
|
"Asset-Liability Management Decisions in Private Banking"; Noël Amenc, Lionel Martellini, Volker Ziemann; February 2007
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Workshops:
• ETFs: a proxy for indices
• Strategic and tactical asset allocation
• Efficient frontier with various asset classes
Speakers
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Marie-Pierre Ravoteur, Co-Head of the EasyETF platform and Investment Solutions, AXA Investment Managers
Danièle Tohmé-Adet, Co-Heads of the EasyETF platform and Head of Business Development for ETFs and Indexed Funds, BNP Paribas Asset Management |
• The benefits of managed futures for portfolio diversification and extreme risk reduction
• New forms of risk management for managed futures programmes
• Commodities futures vs. investable indices and long-only vehicles
Chairperson |
Valere Costello, CEO, Invesdex |
Speakers/
Panelists
|
Pierre Guillemin, Head of Alternative Investments, Swiss Life
Richard Spurgin, Associate Director, CISDM
Hilary Till, Principal, Premia Capital and Research Associate, EDHEC Risk and Asset Management Research Centre
Miroslav Mitev, Managing Director, Siemens, PSE E&I Fin4Cast |
12:00 Workshop C: Integrating Structured Products into Asset Allocation
Organised by Société Générale Corporate & Investment Banking
• Portfolio diversification
• Added value of Structured Products in terms of diversification
• Which kind of underlyings?
- Hedge funds
- Equities, Commodities...
Speakers
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Laurent Le Saint, Head of Hedge Fund Products Development, Société Générale Corporate & Investment Banking
Jacques Sebban, Head of Sales Switzerland, Société Générale Corporate & Investment Banking |
14:00 Workshop D: Winds of Change: A Comprehensive Overview of the Latest Trends in the Combination of Active and Passive Management
Organised by Deutsche Bank
• Risk, return and costs of active management
• Passive is not replacing active management
• What we can learn from the efficiency chart
• Why ETFs can help to combine active and passive management
Plenary Sessions:
• Advantages of the core-satellite model in mandate risk management
• Implementing the core-satellite approach within a centralised wealth management architecture: how to reconcile productivity, risk control and asset management customisation
• New forms of the core-satellite paradigm and their promises for private banking
Chairperson |
Axel Lomholt, Head of iShares Equity Portfolio Management Global Index & Markets Group, Barclays Global Investors Ltd |
Speaker
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Jean-René Giraud, Director of Development, EDHEC Risk and Asset Management Research Centre |
Panelists
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Jacques Raemy, Head of Private Asset Management, Lombard Odier Darier Hentsch & Cie
Tommaso Sanzin, Head of Portfolio Research & Analysis, Fund of Hedge Funds, Pioneer Investments
Anton Simonet, Head of Private Wealth Management, Dresdner Bank |
Related
research
papers
|
"EDHEC European ETF Survey 2006"; Noël Amenc, Jean-René Giraud, Véronique Le Sourd, Felix Goltz, Lionel Martellini, Xiaoyan Ma; October 2006
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• Delivering absolute performance: can asset allocation and portfolio insurance be made to work together?
• Alternative diversification: how to optimally incorporate new asset classes (private equity, real estate, commodities, hedge funds) into portfolios
• Potential of derivatives for wealth management
Chairperson |
Hilary Till, Principal, Premia Capital and Research Associate, EDHEC Risk and Asset Management Research Centre |
Speaker
|
François-Serge Lhabitant, Associate Professor of Finance, EDHEC Business School and Chief Investment Officer, Kedge Capital |
Panelists
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Christophe Baurand, Managing Director, Head of Sales, Alternative Investments, Lyxor Asset Management
Peter Fletcher, Managing Director, Parly Company
Robert McFall Lamm, Chief Investment Strategist, Deutsche Bank Private Banking |
Related
research
papers
|
"Structural Sources of Return and Risk in Commodity Futures Investments"; Hilary Till; April 2006
"Absolute Returns in Commodity (Natural Resource) Futures Investments"; Hilary Till, Jodie Gunzberg; April 2005
"Derivatives Strategies for Bond Portfolios"; Felix Goltz, Lionel Martellini, Volker Ziemann; June 2006 |
EDHEC Asset Management Days - Conference Day 2
New Sources of Value for Investment Management
Tuesday, 13 March 2007
Plenary Sessions:
• New trends in research and best practices in asset management
Speakers
|
Noël Amenc, Professor of Finance, EDHEC Business School and Director, EDHEC Risk and Asset Management Research Centre
Lionel Martellini, Professor of Finance, EDHEC Business School and Scientific Director, EDHEC Risk and Asset Management Research Centre |
• Identifying sources of added value: beta vs. alpha management
• Dynamic core-satellite investing and non-linear management of return profiles: from absolute to dissymmetric returns
• Dynamic portable alpha strategies
Chairperson |
Serge Ledermann, Partner of the Private Holding Company and Head of the Investment Unit, Lombard Odier Darier Hentsch & Cie |
Speaker
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Lionel Martellini, Professor of Finance, EDHEC Business School and Scientific Director, EDHEC Risk and Asset Management Research Centre |
Panelists
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Håkan Danielsson, CEO, Länsförsäkringar Liv
Mathieu Vaissié, Asset Allocation & Investors Relations, Lyxor Asset Management and Research Associate, EDHEC Risk and Asset Management Research Centre
Gerlof de Vrij, Fund Manager, Allocation & Research, ABP Investments |
Related
research
papers
|
"Revisiting Core-Satellite Investing - A Dynamic Model of Relative Risk Management"; Noël Amenc, Philippe Malaise, Lionel Martellini; 2004
|
Stream Sessions:
Presentation of the results of an international study on equity market indices
• Problems caused by the use of broad equity indices in asset allocation
• Rating international equity indices based on efficiency and stability
• Solutions for correcting the global biases of indices and optimising index-based management
Chairperson |
Günther Schiendl, Head of Investments, APK |
Speaker
|
Felix Goltz, Senior Research Engineer, EDHEC Risk and Asset Management Research Centre |
Panelists
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Eric Breval, Managing Director, AVS
Danièle Tohmé-Adet, Co-Head of the EasyETF platform and Head of Business Development for ETFs and Indexed Funds, BNP Paribas Asset Management |
Related
research
papers
|
"Assessing the Quality of Stock Market Indices: Requirements for Asset Allocation and Performance Measurement"; Noël Amenc, Felix Goltz, Véronique Le Sourd; September 2006: English version
"Etude Af2i / EDHEC sur l'évaluation de la qualité des indices de marché: Exigences pour l'allocation d'actifs et la mesure de performance"; Noël Amenc, Felix Goltz, Véronique Le Sourd; September 2006: French Version
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• The usefulness of ETFs in the core-satellite approach
• Portable alpha with ETFs
• Portable beta with ETFs
Chairperson |
Markus Hubscher, Head of Switzerland, Barclays Global Investors |
Speaker
|
Noël Amenc, Professor of Finance, EDHEC Business School and Director, EDHEC Risk and Asset Management Research Centre |
Panelists
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Deborah Fuhr, Managing Director - Investment Stategies, Morgan Stanley
Riccardo Gandini, Financial Division, Inarcassa
Luca Vaiani, Head, Absolute Return Strategies, Fondaco Sgr and Head, Hedge Fund Programme, Compagnia di San Paolo |
Related
research
papers
|
"EDHEC European ETF Survey 2006"; Noël Amenc, Jean-René Giraud, Véronique Le Sourd, Felix Goltz, Lionel Martellini, Xiaoyan Ma; October 2006
"The Benefits of Bond ETFs for Institutional Investors - The Natural Vehicle for a Core-Satellite Approach"; Noël Amenc, Jean-René Giraud, Philippe Malaise, Lionel Martellini; March 2004
"Be Active with your Bond Trackers"; Noël Amenc, Jean-René Giraud, Philippe Malaise, Lionel Martellini; March 2004
|
• What is the impact of MiFID on asset management companies?
• How to measure the quality of execution
• EBEX: a new benchmark for execution quality
Chairperson |
Bertrand Huet, Executive Director, European Legal & Regulatory Counsel, The Securities Industry & Financial Market Association |
Speakers
|
Catherine d'Hondt, Associate Professor of Finance, EDHEC Business School
Jean-René Giraud, Director of Development, EDHEC Risk and Asset Management Research Centre |
Panelists
|
Andrew Allwright, Regulatory Commercial Strategy, Reuters
Patrick Colle, Head of Clearing, Settlement and Custody Product, BNP Paribas Securities Services
|
Related
research
papers
|
"MiFID: the (in)famous European Directive?"; Catherine D'Hondt, Jean-René Giraud; March 2007
|
Workshops:
• Addressing the limitations of cap-weighted indices with respect to concentration and efficiency
• Anti-benchmark as a 'core' equity portfolio
• Anti-benchmark as portable alpha
Speakers
|
Yves Choueifaty, Head of Quantitative Asset Management - Europe, Lehman Brothers Asset Management
Yves Coignard, Deputy Head Quantitative Asset Management - Europe, Lehman Brothers Asset Management
Peter-Paul Pardi, Head of Distribution Europe, Middle East and Asia, Lehman Brothers Asset Management |
Overall risk control: from regulatory requirements to investment decision making
• Case study in UCITS-compliant reporting framework
• Attribution to investment decisions (e.g. 130/30 long-short portfolio)
Speakers
|
Stéphane Daul, Senior Researcher, RiskMetrics Group
Kaylash Patel, Head of Asset Management Business EMEA, RiskMetrics Group |
• Definitions of alpha
• Each beta will have an implied alpha
• Extraction of alpha
• Why alpha in hedge funds?
• Suitable sources of alpha
• What/How alpha is transported
Speaker
|
David Foubard, Portable Alpha Hedge Fund Manager, SGAM Alternative Investments
Gideon Ozik, CFA, Portable Alpha Programs, Hedge Fund Manager, SGAM Alternative Investments |
13:30 Workshop H: ETFs in Practice
Organised by Euronext
• Optimising ETF trades
• Implementing block trades and short sales
• ETF management in practice
• ETF diversification and the future
Moderator |
Simon Osborn, Managing Editor, International Fund Investment |
Speakers
|
Jan de Bolle, Manager Commercial Affairs, Flow Traders
Thibaud de Cherisey, Head of ETFs Development, Euronext
Paolo Giulianini, VP Head of Delta 100, Equity & Commodities Trading, Banca IMI
Marie-Pierre Ravoteur, Co-Head of the EasyETF platform and Investment Solutions Axa Investment Managers
|
Plenary Session:
• 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?
• Novel asset allocation tools for multi-style multi-class diversified funds
Chairperson |
Valere Costello, CEO, Invesdex |
Speakers
|
Felix Goltz, Senior Research Engineer, EDHEC Risk and Asset Management Research Centre
Philippe Malaise, Professor of Finance, EDHEC Business School |
Related
research
papers
|
"From Delivering to the Packaging of Alpha"; Noël Amenc, Philippe Malaise, Lionel Martellini; 2005
"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, Daphné Sfeir; October 2003
|
Stream Sessions:
• Positioning LDI vis-à-vis recent advances in Asset-Liability Management techniques
• From matching to hedging: optimising the management of liability constraints
• Implementing LDI solutions: cash or derivatives hedging?
Chairperson |
David Blackwood, Group Treasurer, ICI |
Speaker
|
Lionel Martellini, Professor of Finance, EDHEC Business School and Scientific Director, EDHEC Risk and Asset Management Research Centre |
Panelists
|
Erwan Boscher, Head of Pensions Group, AXA Investment Managers
Justus van Halewijn, Head of Investment Strategy Research, Blue Sky Group
Henrik Olejasz Larsen, Chief Investment Officer, Sampension |
Related
research
papers
|
"Managing Pension Assets: from Surplus Optimization to Liability-Driven Investment"; Lionel Martellini; March 2006
|
• How to use long only alpha managers in an absolute return context
• Passive replication of hedge fund performance: is it for real?
• Can structured products displace hedge funds?
Chairperson |
Noël Amenc, Professor of Finance, EDHEC Business School and Director, EDHEC Risk and Asset Management Research Centre |
Speakers
|
François-Serge Lhabitant, Associate Professor of Finance, EDHEC Business School and Chief Investment Officer, Kedge Capital
Jean-Christophe Meyfredi, Professor of Finance, EDHEC Business School |
Panelists
|
Walter Géhin, Business Analyst, Atos Euronext Market Solutions and Research Associate, EDHEC Risk and Asset Management Research Centre
Gumersindo Oliveros, Director of Pension Plan and Endowments, The World Bank
Pim van Santen, Hedge Fund Manager, Shell Pension Fund
Christopher Woods, Senior Managing Director Absolute Return Strategies, SSgA |
Related
research
papers
|
"Structured Forms of Investment Strategies in Institutional Investors' Portfolios"; Felix Goltz, Lionel Martellini, Koray Simsek; April 2005
|
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, indices and property derivatives
Chairperson |
Xavier Lépine, Chairman and Managing Director, UFG Group |
Speaker
|
Frédéric Ducoulombier, Associate Professor of Finance, EDHEC Business School and Director, EDHEC Asset Management Education
|
Panelists
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Andrea Boeri, Amministratore Delegato, Pirelli & C. Real Estate Opportunities
Pierre Schoeffler, Adviser, IEIF
Lisette van Doorn, Chief Executive Officer, INREV |
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