CFA FAS 2007 2 · Thoughts on Running Big Money for the Long Term Clifford S. Asness,Managing and Founding Principal, AQR Capital Management, ... DMJ Advisors, LLC • How changes

Improving the Investment Decision-Making Process

15–20 july 2007

university of chicago

gleacher center

chicago, illinois, usa

an intensive, week-long

educational program with

today's thought leaders and

innovators in the

investment industry.

Seminar

2007

FinancialAnalysts

Hosted by the CFA Society of Chicago

Now in its fifth decade, the Financial Analysts Seminar gathers a distinguished faculty of industryinnovators and legendary investors to lead intensive discussions focused on improving the investmentdecision-making process. The diverse curriculum for analysts and portfolio managers is designed tostrengthen analytical skills and enhance the investment process at individual firms.

Leading practitioners and researchers discuss the latest developments in the practice and theory ofinvestment management and emphasize best practices in all aspects of the investment process.Discussions cover a wide range of topics related to the global economic environment, fundamentalresearch and analysis, asset valuation, portfolio management, risk management, asset allocation, firmmanagement, and much more.

The annual Financial Analysts Seminar enjoys a broadly international profile of attendees, adding trulyglobal experiences to the dynamic learning environment. With focus sessions and informalgatherings, this seminar encourages a cordial exchange of ideas in a relaxed, collegial setting. Manyattendees return year after year to stay on top of the most recent changes in the rapidly evolvinginvestment industry.

As a special feature this year, the program offers the opportunity to participate in a number ofinteractive sessions, including a mock Federal Open Markets Committee (FOMC) meeting, an interviewwith the acclaimed David Dreman, and a Harvard Business School case study on the management ofone of the largest foundations in the world.

The tradition of lifelong learning established more than 50 years ago by Marshall Ketchum of theUniversity of Chicago Graduate School of Business and supported through the years by the world’sgreatest investors, including Benjamin Graham and Warren Buffett, endures today. Join us to study thelatest developments in investment management and improve your investment skills.

Key BenefitsLearn from leading investors

Network with peers from around the world

Refresh your investment knowledge

Study a broad range of investment disciplines, and explore new developments and best practices

Improve the investment decision-making process at your firm

TO REGISTER ONLINE WWW.CFAINSTITUTE.ORG/CONFERENCES

LEARN FROM PRACTITIONERSNetwork with Peers

Registration (InterContinental Chicago)

Reception and Dinner with Speaker (InterContinental Chicago)

Thoughts on Running Big Money for the Long TermClifford S. Asness, Managing and Founding Principal, AQR Capital Management, LLC • Why maintain a long-term horizon for an investment program, and how to do it• Why institutions should be significantly long, despite evidence that expected returns to beta are lower than in the past• How to structure your betas, maximize your alphas, and protect your portfolio against disasters

Hospitality Lounge (InterContinental Chicago)

All daytime activities will be held at the University of Chicago Gleacher Center. Coffee breaks are scheduled between daytime sessions.Evening receptions and dinners and all activities on Sunday will be held at the InterContinental Chicago. A hospitality lounge will beavailable at the InterContinental Chicago each evening following dinner (except Wednesday).

TO REGISTER BY PHONE +1 (800) 247-8132 (USA and CANADA) • +1 (434) 951-5500

SUNDAY, 15 JULY 2007

MONDAY, 16 JULY 2007Breakfast (Gleacher Center)

Secrets of Economic Indicators: Hidden Clues to Future Economic TrendsBernard Baumohl, Managing Director, The Economic Outlook Group• Understanding the most useful and influential domestic and global economic indicators• Knowing what different economic indicators say about the future• Using economic indicators as inputs to the investment decision-making process

Effects of Central Bank Policy on Economies and MarketsDavid M. Jones, President and CEO, DMJ Advisors, LLC• How changes in global central bank policies affect world economies, interest rates, currencies, and asset prices• How Federal Reserve policy making has changed under Chairman Ben Bernanke• How the Federal Open Markets (FOMC) Committee functions: Mock FOMC meeting and monetary decisions

Lunch (Gleacher Center)

The Strategic and Tactical Value of Commodity FuturesCampbell R. Harvey, J. Paul Sticht Professor of International Business, The Fuqua School School of Business, Duke University• What role should commodities have in investment portfolios?• Should investors have the same long-term return expectations for portfolios of commodity futures as they have for equities?• How can investors develop a framework for thinking about prospective returns in commodities?

From Globalization to Localization?Stephen S. Roach, Chief Economist, Morgan Stanley• Has globalization lived up to the “win/win” prospects that were initially anticipated?• What are the risks of the next stages of globalization (i.e., what should keep us up at night)?• How will pro-labor pushback affect globalization—social and political pressures, trade frictions, and protectionist risks?

Study Group for the Hewlett Foundation Case


Natural Resources—The Super Category Spanning All Major Asset ClassesRussell Read, CFA, Chief Investment Officer, California Public Employees’ Retirement System (CalPERS)• Making active bets on natural resources and the services that support those industries, including infrastructure investing• Determining the appropriate asset mix and allocation levels for institutional investors• Finding and implementing the optimal vehicles for investment

Presentation of the 2006 Graham and Dodd AwardThe Graham and Dodd Award was established to recognize excellence in financial writing as demonstrated in an article in the Financial Analysts Journal and to honor Benjamin Graham and David L. Dodd for their enduring contributions to the field of financial analysis. Since 1960, the award has been given each year for the previous year’s winning article. Past recipientsinclude Franco Modigliani, William F. Sharpe, Fisher Black, Martin L. Leibowitz, Robert D. Arnott, and Luis M. Viceira.


3:00–6:00 PM

6:00–8:30 PM

8:30–10:30 PM

7:00–8:00 AM

8:00–9:15 AM

9:30 AM–12:15 PM

12:15–1:30 PM

1:30–2:30 PM

2:45–3:45 PM

4:00–5:00 PM

6:00–8:30 PM

8:30–10:30 PM

CO

NF

ER

EN

CE

S

CH

ED

UL

E

TUESDAY, 17 JULY 2007Breakfast (Gleacher Center)

Stock Selection ModelsVadim Zlotnikov, Chief Investment Strategist, Sanford C. Bernstein & Co., LLC• Methodologies for building “alpha models” in equities• Integration of fundamental and quantitative analyses• Shortfalls of current approaches and future directions in quantitative research

Valuation Approaches for Publicly Traded and Private Equity InvestmentsRobert Parrino, CFA, Professor of Finance and Bank of America Centennial Fellow, Department of Finance,McCombs School of Business, University of Texas at Austin• Critical examination of commonly used valuation approaches: Cost, cash flow/income, and relative valuation methods• Conditions under which it makes sense to apply each of these valuation methods• Case studies: Application of different valuation approaches to publicly traded and private equity investments

Conversation with a Money MasterDavid N. Dreman, Chairman and Chief Investment Officer, Dreman Value Management, LLC

Fred H. Speece, Jr., CFA, Moderator, Speece Thorson Capital Group• Using proven approaches for research and valuation, and learning the lasting principles for value investing• Applying knowledge of market and human behavioral factors in the portfolio management process• Understanding the portfolio construction and risk management processes that will serve investors well


Bondholders: Why Covenants Are Good for Your HealthChristopher L. Gootkind, CFA, Fixed Income Portfolio Manager, Wellington Management Company, LLP• Which bond covenants are better than others, and which ones should be on a bondholders “wish list”• How the market values different bond covenants• Case studies on the battles of the century: Bondholders vs. private equity investors

Harvard Business School Case Study: The William and Flora Hewlett FoundationLuis M. Viceira, Associate Professor of Finance, Graduate School of Business Administration, Harvard University

This case study examines the asset allocation decisions that the William and Flora Hewlett Foundation was considering inearly 2005. It presents opportunities to discuss the design of asset allocation policies for long-term investors, the design andimplementation of return overlay (or “alpha transport”) strategies, the evaluation of performance and risk exposure of hedge fund strategies, portfolio diversification, and investments in nonliquid assets.


Finance and Original SinWilliam J. Bernstein, Author and Co-Principal, Efficient Frontier Advisors • Why moral overconfidence persists in most professions, and understanding the decay of moral impulse resulting from

temptation, repetition, and social reinforcement• Why moral reform must be directed by outsiders who can clearly and objectively evaluate ethical problems and

conflicts of interest• What elements moral reform must contain in the corporate and financial worlds


7:00–8:00 AM

8:00–9:15 AM

9:30–11:15 AM

11:30 AM–12:30 PM

12:30–1:30 PM

1:30–2:30 PM

2:45–4:30 PM

6:00–8:30 PM

8:30–10:30 PM


“Remains the gold standardfor investment management education.

Kevin A. Ceurvost, CFA, Manager of Credit and Research, Florida State Board of Administration, Tallahassee, FL, USA

”

WEDNESDAY, 18 JULY 2007Breakfast (Gleacher Center)

Improving the Investment Decision-Making Process: Lessons from Behavioral FinanceChristopher Malloy, Assistant Professor, London Business School• What are the behavioral pitfalls investors face, and how can they be overcome?• Is behavioral finance the driving force behind financial bubbles and market dislocations?• How can the investment process be improved by understanding investor biases?

Innovations and Risk Management in Structured Credit InstrumentsChristian Zugel, President, ZAIS Group, LLC • What are the differences between the various structured credit market segments and the advantages and disadvantages

of static vs. managed credit pools?• What did the structured credit market learn from the last credit cycle, and are investors better prepared for the next one?• Are leveraged collateral spreads appropriately reflecting credit risk, and does “indenture tyranny” force CDO managers to

invest in mispriced deals?

Beyond Active AlphaRobert B. Litterman, Managing Director, Head of Quantitative Resources, Investment Management Division, Goldman Sachs & Co.• Optimizing the spectrum of return sources—from beta to exotic beta to alpha—to achieve a more efficient portfolio• Knowing where and how to increase active risk, when appropriate• Understanding the optimal risk management tools to improve investment decisions in global portfolio management


Mock Trading Session at the Chicago Mercantile Exchange (CME)Participants will travel to the Chicago Mercantile Exchange (CME) for a lively and instructive mock trading exercise.Join actual CME floor traders who will lead an interactive session in trading S&P 500 Index futures contracts in a simulatedmarket environment. A reception hosted by the CME will follow.

7:00–8:00 AM

8:00–9:15 AM

9:30–10:45 AM

11:00 AM–12:15 PM

12:15–1:30 PM

“The seminar was extremely educational and a wonderful use of my time. It provided an opportunity to meet and interact with others in the industry.

I loved the visit to the Chicago Mercantile Exchange.”Robyn M. Randa, Senior Investment Analyst, Exelon Corporation, Philadelphia, PA, USA


THURSDAY, 19 JULY 2007Breakfast (Gleacher Center)

Beyond Modern Portfolio TheoryAshvin B. Chhabra, Managing Director, Global Private Client, Merrill Lynch• Taxable vs. institutional asset allocation: Differences in approach and outcome• Personal risk, market risk, and aspirational risk in optimizing private client portfolios• Emotional and behavioral considerations in private client asset allocation

University Endowments: The Advantages of Fewer ConstraintsPeter Stein, CFA, Vice President and Chief Investment Officer, University of Chicago• Taking advantage of having fewer constraints by integrating alternative investments in a broad portfolio• Understanding the relative importance of asset allocation vs. manager selection and monitoring• Assessing risks in liquid and illiquid strategies

The Range of Opportunities in Emerging MarketsJerome Booth, Head of Research, Ashmore Investment Management Limited• Understanding emerging market debt• Assessing the merits of dollar-denominated debt, local currency debt,

special situations (distressed debt and private equity), and public equity• Using a multistrategy approach


Keynote Luncheon Address: Valuing Commercial Real Estate Portfolios—Public vs. Private Market PerspectivesSamuel Zell, Chairman, Equity Group Investments, LLC• Private vs. public ownership—key differences, advantages, and challenges• Effects of liquidity on market pricing• Outlook for commercial real estate globally, and opportunities for investors

Quantitative Approaches to Global Equity InvestingLeila Heckman, Senior Managing Director, Bear Stearns Asset Management• Understanding the advantages and disadvantages of a disciplined approach to country allocation• Using quantitative analysis to identify inefficiencies and factors that persist in global markets• Applying quantitative techniques in portfolio construction and risk management


Looking Globally for GrowthMarc Faber, Managing Director, Marc Faber Limited and Editor, The Gloom, Boom & Doom Report• Commodities cycles: Past, present, and future• Geopolitical influences on global economies• Sources for investment opportunities and the importance of Asia in global growth


7:00–8:00 AM

8:00–9:15 AM

9:30–10:45 AM

11:00 AM–12:15 PM

12:15–1:30 PM

1:30–2:45 PM

3:00–4:15 PM

6:00–8:30 PM

8:30–10:30 PM


“The breadth and depth of speakers and topics make the conference an excellent value.”

Scott R. Tapley, CFA, Vice President, Main Street Trust Inc., Champaign, IL, USA

FRIDAY, 20 JULY 2007Breakfast (Gleacher Center)

Cash Flow ShenanigansMarc A. Siegel, Managing Director, Global Director of Research, Center for Financial Research and Analysis• Cash flow analysis as a metric for evaluating the operational health of a business• Case studies of unsustainable or poor-quality cash flows• Cash flows and options programs, including comments on the options backdating scandals

Lessons Learned from the 2006 Hedge Fund DebaclesHilary Till, Principal, Premia Capital Management, LLC, and Research Associate, EDHEC Risk and Asset Management Research Centre• How much transparency do investors need to assess the risks inherent in their hedge fund investments?• What additional risk management tools are necessary for hedge funds that invest in commodities?• Could the recent hedge fund debacles have been prevented, and what were the red flags investors should have noticed?

Is a Bubble Brewing in Private Equity Markets? Gary Fencik, Partner and Head of Business Development, Adams Street Partners, LLC• Implications of the current surfeit of global liquidity, particularly its impact on transaction returns and risks• Challenges and opportunities of sourcing deals outside the United States• Evaluation of private equity managers (questions to ask and practices to avoid), and the growing role of hedge funds

in the private equity sector


Seminar concludes

7:00–8:00 AM

8:00–9:15 AM

9:30–10:45 AM

11:00 AM–12:15 PM

12:15–1:30 PM

1:30 PM

Financial Analysts Seminar Board of Regents 2007


Walter V. (Bud) Haslett, Jr., CFA, ChairDirector of Option AnalyticsMiller Tabak + Co., LLC

Giuseppe Ballocchi, CFA Head of Risk Management Trading DepartmentPictet & Cie

Eric B.P. Busay, CFA Portfolio Manager, Global Fixed IncomeCalifornia Public Employees’ Retirement System

Gautam Dhingra, CFACEO and Portfolio ManagerHigh Pointe Capital Management, LLC

Christopher L. Gootkind, CFAFixed Income Portfolio Manager Wellington Management Company, LLP

Dana B. Hall, CFASenior Vice PresidentD.E. Shaw Group

K.C. Howell, CFADirector of Global EquityVirginia Retirement System

William H. McLean, CFAVice President and Chief Investment OfficerInvestment Office Northwestern University

Derek A. Sasveld, CFAExecutive Director, Senior Asset Allocation StrategistGlobal Investment Solutions UBS Global Asset Management

Kim Shannon, CFAPresident and Chief Investment OfficerSionna Investment Managers Inc.

The Seminar will offer an opportunity to senior investment analysts and managers for one week of concentrated

study of basic economic, social, and investment trends of importance. In his daily activities and in the meetings

and conventions of the Societies, the analyst finds himself concerned with the specifics of particular companies

and industries and the details of market patterns. In many respects, these are essentially short-run problems

and they completely fill his time. The Seminar will give him a chance to get away from this daily routine and the

specific and short-run problems, and review developments of importance from the standpoint of their long-run

impact on investment policy. This broader horizon of more fundamental problems is the context out of which

sound investment policy must be formulated.

The investment man is essentially an integrator of knowledge, an activity which demands intellectual endeavor

of a high order...More precision in the assimilation and evaluation of investment information means better

implementation of investment policy. Therefore, the Seminar will also devote a portion of its time to the study

of investment analysis techniques.

The program of the Seminar will be centered on the lectures and discussions with the lecturers. But there will be

ample time for exchange of ideas and experience among the analysts themselves, for this is the second objective

of the Seminar...It is believed that the relaxed and congenial atmosphere of the Seminar, and the high caliber of

the group, will stimulate more new thinking on basic problems.

ParticipantsThe Financial Analysts Seminar is designed forinvestment professionals with experiencepracticing in investment management firms,retirement funds, endowments, foundations,family offices, and investment consultingfirms, as well as those involved in assetmanagement areas within brokerage firms,insurance companies, and other financialservices organizations.

Who should attend:Portfolio managers

Investment analysts

Investors for endowments, foundations, and pension funds

Research directors

Chief investment officers

Strategists

Participants in 2006 hailed from 27 different countries

Women first attendedthe Financial AnalystsSeminar in 1958.

Europe/Middle East/Africa 13%

Americas ex USA 19%

Asia 6%

USA 62%


The Financial Analysts Seminar is one of the longest-running, most comprehensiveprofessional development programs for investment professionals.The following is taken from The National Federation of Financial Analysts Societies Report to the Membership for the Year1952–1953 and explains the objectives and motivations to establish the Financial Analysts Seminar.

Abu Dhabi Investment AuthorityAlaska Permanent Capital Management CompanyArtisan Partners Limited PartnershipAXA RosenbergBank of New YorkBank of Nova Scotia Jamaica Ltd.Barclays Global InvestorsBarr Rosenberg Research CenterBeaujolais Private Investment ManagementBurgundy Asset Management Ltd.Cambridge Trust CompanyCarnegie Asset ManagementCeska Sporitelna, a.s.Christian Brothers Investment Services, Inc.City of Edmonton, FinanceCompass Financial PartnersCornerstone Management, Inc.CPP Investment BoardCybus Capital MarketsDeutsche Asset ManagementDodge & CoxDomini Social InvestmentsEnsign Peak Advisors, Inc.Equity Research AssociatesEuclid Investment Advisory, LLCFarm Credit AdministrationFlorida State Board of AdministrationFortis InvestmentsGantzert Investment Company, L.L.C.Gartmore RiverviewGBM Grupo Bursatil Mexicano S.A. De C.V.General MillsGovernment of Singapore Investment Corporation Pte Ltd.Greystone Managed InvestmentsGuardian Capital LPHarris Private BankHewlett Foundation

IBM Retirement FundING Bank NV, Curacao BranchInternational Institute of Finance and InvestmentInvestec SecuritiesIowa Public Employees’ Retirement SystemKrombacher BrauereiLegg Mason Lehman BrothersMoreland Management Co.Morgan Stanley Investment ManagementNew England GuildNissanNorthern TrustNovartis Pharma AGOklahoma Public Employees’ Retirement System Petroliam Nasional Berhad (Petronas)Portland General ElectricPrincipal Financial GroupPrudential FinancialRussell Investment GroupSandia National LaboratoriesSaskatchewan Teachers' Superannuation CommissionSEI InvestmentStandard & Poor'sStanley Financial ServicesStarBrands SPASun Life FinancialThe William and Flora Hewlett FoundationTrusco Capital ManagementUBS Global Asset ManagementUnion PanAgora Asset Management GMBHUniversity of SydneyUniversity of Wisconsin SystemWashington MutualWestAMWorld Bank

Previous Participating Companies


“This is the best seminar I’ve ever attended.The topics are extremely relevant in today’s challenging investment environment.

The speakers are inspiring, and their views are refreshing.”Wei W. Zhang, CFA, Portfolio Analyst, White Mountains Advisors, Guilford, CT, USA

REGISTRATIONRegistration fees include all educational sessions, materials, meals, the opportunity to meet with investmentcolleagues and speakers from around the world, and post-conference access to presentation materials online.

To guarantee your participation in the Financial Analysts Seminar, please complete the registration form and return toCFA Institute with the full registration fee. Payment is due at time of registration. Forms received without paymentwill be confirmed on a space-available basis when payment is received. All fees are payable in U.S. funds. Confirmatione-mails will be sent within two weeks of receipt of your paid registration. For more information, or to register bytelephone, please contact CFA Institute at +1 (434) 951-5500.

CANCELLATION POLICYA cancellation fee of US$250 applies for all cancellations received after 15 June 2007. No refunds will be issued for anycancellations received after 9 July 2007. Substitutions from the same company are accepted with a fee adjustment, ifappropriate. Sharing of registrations is not permitted. For more information regarding administrative policies andrefunds, please contact our offices at +1 (434) 951-5500.

TRAVEL RESERVATIONSCFA Institute has arranged for discounted travel rates for United Airlines. Visit the Travel Reservations web page atwww.cfainstitute.org/memresources/conferences/travel.html to learn more about these discounted rates.

ACCOMMODATIONSCFA Institute has arranged for a special group rate at the InterContinental Chicago, which is conveniently locatedadjacent to the Gleacher Center. Reservations should be made directly with the hotel. You must refer to the “CFAInstitute group” when contacting the hotel, and reservations should be made by 22 June 2007 to take advantage ofour discounted rate. The CFA Institute rate at the InterContinental Chicago is US$199 for single/double occupancy,subject to availability. We strongly encourage all participants to stay at the hotel in order to benefit from the full FASexperience. Dinners and presentations will be held at the InterContinental Chicago each evening except Wednesday(participants will have a free evening after the CME mock trading).

InterContinental Chicago505 North Michigan AvenueChicago, Illinois 60611 USATel: +1 (312) 944-4100

ATTIRECasual attire is appropriate for this conference.

SPECIAL NEEDSPlease contact CFA Institute for services to accommodate a disability or to inform CFA Institute of any dietaryrestrictions. (Please include this information when you register for the conference.)

PROFESSIONAL DEVELOPMENT This conference qualifies for 31.5 credit hours under the guidelines of the Professional Development Program. If youare a CFA Institute member, your credit hours for participation at this conference will be automatically entered in yourPD Diary. Please see www.cfainstitute.org/memresources/pdprogram for more information.

Please visit www.cfainstitute.org/memresources/conferences/ce.html for more information on continuing education.

Seminar Information


Registration FormFinancial Analysts Seminar15–20 July 2007, University of Chicago Gleacher Center, Chicago, Illinois, USA

[ ] Conference Fee: US$2995*[ ] CFA Institute Member/Candidate Rate: US$2495*

*Rate does not include hotel

Register by 18 April 2007 and receive a US$200 discount.

See registration/cancellation policies under "Seminar Information."

[ ] Mr. [ ] Mrs. [ ] Ms. [ ] Dr.

Please Print Last Name (Family Name) First Name Middle Initial CFA Institute Member Number/CFA Candidate Number

Functional Title/Position

Firm Telephone

Address (Street or PO Box Number) Fax

City State/Province ZIP/Postal Code Country E-Mail

[ ] Check enclosed (Make payable to CFA Institute.) [ ] Charge to: [ ] Diners Club [ ] American Express [ ] JCB

[ ] Visa [ ] Mastercard

Card Number

Expiration Date

[ ] Corporate Card [ ] Personal Card

Please Print Name on card Signature

Financial Analysts SeminarCFA Institute Conferences

PO Box 3668

Charlottesville, VA 22903-0668 USA

Telephone: +1 (800) 247-8132 (USA and Canada) or +1 (434) 951-5500

Fax: +1 (434) 951-5398

Register online at:www.cfainstitute.org/conferences

Use promotional code BRFAS-07 for US$50 discount.

Please return completedregistration form withpayment to

PaymentPayment is due at time of registration. Forms received without payment will be confirmed when payment is received and only if space isavailable. All fees are payable in U.S. funds. A confirmation e-mail will be sent within two weeks of receipt of your paid registration.Attendance is limited—please register early.

“Action-packed days of interesting content, industry development, and the who’s who

of the investment management business.”Jacqueline Elizabeth Moss, CFA, Vice President, Trees Investment Counsel, Chicago, IL, USA

2007

FinancialAnalysts

Hosted by the CFA Society of Chicago

15–20 july 2007

university of chicago

gleacher center

chicago, illinois, usa

Seminar

Documents

CFA FAS 2007 2 · Thoughts on Running Big Money for the Long Term Clifford S. Asness,Managing and Founding Principal, AQR Capital Management, ... DMJ Advisors, LLC • How changes