TSAM Europe | Performance Measurement & Investment Risk @TSAMbuyside
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Speakers include


Pierre Sarrau,
Managing Director, Head Risk Management,
BlackRock

Kyle Ringrose,
Head of Investment Operations,
QSuper
Interview

Saleem Begg,
EMEA Head of Performance Operations,
Citi Private Bank

Edward Bace,
CFA, Head of Education, EMEA,
CFA Institute
Interview

View full speaker list

Related workshops:

March 6th: The PRA’s Modelling LDI Benchmarks
March 8th: The PRA’s Integrated Portfolio Risk and Return Analysis Workshop
March 8th: The PRA’s GIPS Workshop

Build your own event programme and either mix-and-match from the 60 sessions on offer, or stick to a stream and fully immerse yourself in one strategic area.

Conference Agenda

7th March 2012, Lancaster London Hotel, London

08.00 Registration and coffee

08.45 OsneyMedia’s welcome address

08.50 Chair’s welcome address and table introductions
Edward Bace, CFA,
Head of Education, EMEA, CFA Institute
Interview

09.00 Impact of the financial crisis on risk and performance: Asset allocation methodology
Most asset allocation systems are designed to avoid undue concentrations of risk, but they may fail in a crisis when correlations go to 1. What investors want is to be concentrated in assets which have a high probability of positive risk-adjusted total excess return (PRATER) and to avoid those which don’t. Fortunately it is possible to calculate this probability on a high frequency basis and rebalance a portfolio accordingly. Back-tests suggest that this approach generates significantly higher long-run returns, for a level of volatility which is only slightly greater than a control portfolio with a static asset mix. Maximum drawdowns are typically lower than the control portfolio. The approach is well-suited to tactical asset allocation models and can incorporate a wide range of underlying asset classes and regions.
Simon Goodfellow, Managing Partner, Harlyn Research LLP

09.30 Keynote presentation: Fat tails and risk measurement
- Shortcomings of the bell curve
- Alternatives to the bell curve
- Alternative measurements of risk
Paul D. Kaplan, Ph.D., CFA, Quantitative Research Director, Morningstar Europe

10.00 Managing risk in an uncertain world
Rapid changes in volatility regimes, heightened levels of correlation, increased influence of political risks are all factors that have proved challenging for classic risk management metrics. In this presentation we will review some of these challenges and suggests approaches to deal with this type of environment.
Pierre Sarrau, Managing Director, Head Risk Management, BlackRock

10.30 Morning coffee

11.00 Panel discussion: From risk measurement to the evolving role of risk management
- What are the differences between risk measurement and risk management?
- Is risk management something broader than a compliance function?
- Is risk reporting important?
Himanshu Patel, CFA, FRM, Head of Investment Risk, Northern Trust Global Investments Limited
Simon Goodfellow, Founder, Harlyn Capital Limited
Romain Berry, Director, EMEA & APAC Head of Cross Product Margining, Citigroup
Dr. Thorsten Neumann, Director of Investment Processes and Risk Management, Union Investment Institutional GmbH
Rameshwar Sharma, Senior Risk Manager, Tata Securities Limited

11.45 Roundtable discussions
Discussions will cover the top risk issues nominated by attendees on the day. 

12.00 How fundamental tracking can reduce risk and save you time
The case for passive over active investing is now well established but market cap trackers suffer unduly from sentiment. A fundamental approach to portfolio construction eliminates subjectivity removing price from the process allows it to benefit from volatility. This gives a fundamental tracker a lower beta than the market and enables it to deliver the market return at lower risk. This eliminates the need to seek alternative investments to sit alongside a tracker fund to reduce volatility and this saves time.
Robert Davies, Managing Director, Fundamental Tracker Investment Management Limited

12.30 Avoiding disaster: Valuation implications for performance and risk
-
Behavioral considerations for valuation practices
- Dangers of reliance on purely quantitative methods in light of high frequency and commodity-linked trading
- Forensic testing of pricing policies and procedures
- Developing a suitable valuation framework
Timothy F. Peterson, CFA, CAIA, CIPM, Partner, Ashland Partners & Company LLP

13.00 Networking lunch

14.00 Chair’s welcome address

14.05 Performance attribution as a reflection of the investment process
- What does the portfolio manager need, and how can we collaborate?
- The relationship between performance attribution and the investment process – how is it structured and how should it be reflected in performance reporting?
Wojciech Jachimiak, PhD, Director of Risk Management & Performance Measurement, ING Investment Management (Polska) SA Interview

14.40 Post-tax investment performance measurement and benchmarking
- Why are post tax returns so critical yet so often ignored
- Who is should drive the focus on post-tax returns
- Strategies to enhance post tax performance – the realities and the myths
- Development of post- tax benchmarks for investment managers
Kyle Ringrose, Head of Investment Operations, QSuper Interview

15.15 Afternoon refreshments

15.45 Roundtable discussions
Discussions will cover the top performance measurement and attribution issues nominated by attendees on the day.

16.30 Panel discussion: Team management, training and development in performance
- Current trends in recruitment – how do you recruit the right people and develop talent?
- CIPM v CFA
- Providing a career progression path – the number one priority?
- Does the middle office have to become more interesting and credible for people to aspire to work, and then stay in performance measurement?
- Embedding portfolio risk into performance objectives?
Colin Kay, Global Head of Performance Measurement and Risk, Fund Services, HSBC Securities Services (Moderator)
Barry Traynor, Vice President, Global Head of Performance Measurement, Pioneer Investments
Saleem Begg, EMEA Head of Performance Operations, Citi Private Bank
Mary-Patricia Hall, CFA, Head of Performance, Insight Investment
Steve Boreham, Head of Performance, BlueBay Asset Management
Scott Bachmann, Head of EMEA Performance Measurement – Asset managers, Northern Trust Global Investments Limited

17.15 Closing remarks and key takeaways from the chair
Edward Bace, CFA, Head of Education, EMEA, CFA Institute Interview

17.25 Drinks reception

Who attends?

Directors, VPs, Heads and Managers of Performance Measurement; Performance Analytics; Performance and Reporting; Performance and Attribution; Performance Control; Investment Statistics; Investment Analytics; Risk; Investment Risk; Risk Analysis; Regulatory and Risk Management.

Look interesting? Book online

Stream sponsored by:

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