Programme

Day 1:
15 February, 2006

Morning Plenary Sessions

09:00 Introduction and presentation of the programme

Key conceptual challenges for the Fund of Funds business

Presentation of the results of an exclusive global study of the long-term performance of 100 top funds of funds

• Determinants of the performance of fund of funds strategies
• What is the real contribution of fund picking and tactical allocation?
• An evaluation of beta effects versus the alpha effect in FoHF performance

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11.30 Capacity and sustainability effects in the alternative industry

• Are growth and industrialisation of the alternative investment industry affecting the performance of funds of hedge funds?
• Is recent lower-than-expected performance due to cyclical or structural factors?
• Measuring the capacity effect: academic and industry answers

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Afternoon Streams

Asset Allocation Stream

14:30 Asset allocation as a value proposal

What concepts and techniques are available to increase the added value of asset allocation in the alternative universe?

• Taking into consideration the views on hedge fund styles' in hedge fund portfolio allocation decisions: extending the Black-Litterman approach to the alternative universe
• Special case: tactical style allocation in the alternative universe

	Chairperson	Arié Assayag, Global Head of Hedge Funds, SG AM AI
	Speakers [download presentation] [download presentation]	Lionel Martellini, Professor of Finance at EDHEC Business School and Scientific Director of the EDHEC Risk and Asset Management Research Centre Laurent Favre, Research Associate with the EDHEC Risk and Asset Management Research Centre and CEO, AlternativeSoft
	Panellists	Sid Browne, Head of Quantitative Analysis, GSAM AI Michael Howell, Founder, CrossBorder Capital Hilary Till, Principal, Premia Risk Consultancy, Inc.
	Related Research Papers	Investing in Hedge Funds: Adding Value through Active Style Allocation Decisions; L. Martellini, M. Vaissié, V. Ziemann; October 2005 Tactical Style Allocation - A New Form of Market Neutral Strategy; N. Amenc, P. Malaise, L. Martellini, D. Sfeir; Summer 2003

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Fund Picking Stream

14:30 New tools for fund picking

• Advanced techniques for measuring hedge fund performance: determining alpha in a universe of variable betas, non-linear forms for risk-adjusted return measures, techniques for analysing hedge fund return persistence, etc.
• How much is enough? The optimal number of hedge funds in a bottom-up alternative multimanagement approach
• Reconciling the top-down method with fund picking. The usefulness of the core-completeness portfolio approach

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Risk Management Stream

14:30 The value-added of risk management

Taking into consideration the specific risks of hedge funds in the portfolio construction phase

• The state of the art for extreme risk measurement
• Copula functions and extreme risk diversification
• Operational risk modelling

Managing the operational risk of hedge fund investments

• Limitations of the naïve diversification approach
• Limitations of the mitigation offered through due diligence
• Benefits and limits of managed account platforms

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Plenary Session

17:30 Using hedge fund indices to implement allocation to the various hedge fund styles

• Addressing the inherent biases in indices
• Reconciling investability and representativity
• Building funds of indices

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