How to Improve the Liquidity of the ETF Market coerece€¦ · Amy Resnick, Executive Editor, Pensions & Investments Q&A session with the audience 10:00-10:30 Break PLENARY SESSION

EDHEC-Risk Days North America 2013

Bringing Research Insights to Institutional Investment Professionals

8-9 October, 2013 — New York

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Indexation and Passive Investment Conference Comparing the Performance of Indices

Advantages and Limitations of New Forms of Equity IndicesAlternative Bond Benchmarks

Managing ETP RisksHow to Improve the Liquidity of the ETF Market

How to Invest Passively in Commodities?Can Proprietary Indices Be Trusted?

Investing in Low Vol Strategies

Global Institutional Investment Conference Who Seriously Cares about Inflation? Is Inflation Risk Predominant in

Hedging the Real Interest Rate of Liabilities?

Constructing Liability Hedging Portfolios: Real Assets, Corporate Bonds or TIPS?

The Convergence between Long-Only Investment and Hedge FundsHow to Arbitrate between the Performance and Risk of

an Asset within an ALM Approach?

Reconciling Long-Term Life Cycle Investing with the Ratio Constraints of Short-Term Funding

The Role of Infrastructure in an Institutional Investor’s AllocationFrom Asset Allocation to Risk Allocation

Organized by an academic research center for the benefit of professionals, EDHEC-Risk Days North America presents the research conducted by EDHEC-Risk Institute and discusses it with the institutional investor and fund manager communities.

As such, the Institute wishes to enable participants at EDHEC-Risk Days North America 2013 to have access to the latest in the application of academic research and to debate and discuss these issues with researchers who not only have cutting-edge knowledge of analytical and research methods in finance but are also fully aware of the consequences of these methods for the financial industry.

The event is structured to appeal to institutional investors, traditional and alternative investment managers and policy-makers. The conference includes two major events that will allow professionals to review major industry challenges, explore state-of-the art investment techniques and benchmark practices to research advances.

On the first day, the Indexation and Passive Investment Conference will focus on equity investment management, incorporating portfolio construction and risk management, indexing and passive investment, and equity structured products. The conference will also be the occasion to evaluate the use of passive investment vehicles and their impact on the market. Results of exclusive surveys of European, Asian and North American asset owners will highlight the latest trends in ETF usage. The roundtable will address questions about regulation and governance linked to the development of new indices.

On the second day, the Global Institutional Investment Conference will focus on global asset allocation and alternative investment for institutional investors and private wealth managers. It will present the results of EDHEC-Risk research on themes of great interest to institutional investors, including the construction of new liability-hedging portfolios for institutional investors, the convergence between long-only investment and hedge funds, new research on infrastructure investing, liability-hedging portfolios and risk allocation.

EDHEC-Risk Days North America 2013 l 2 l Bringing Research Insights to Institutional Investment Professionals

Passive Investment & ETFs Roundtable: Governance and Transparency of Indices > Understanding regulation: the accuracy of track records; the transparency and governance of indices > What level of transparency do investors expect? > What is needed, in terms of regulation, to improve the quality of indices? > Presentation of a survey carried out by EDHEC-Risk Institute

The development of passive investment in North America, Asia & Europe > How are the new forms of indices perceived by institutional investors? > What are the consequences, in terms of asset allocation, of the multiplication of new forms of beta? > What is the role of indices in this search for new benchmarks? > Presentation of the results of EDHEC-Risk ETF Surveys in North America, Asia & Europe

Liquidity in ETFs: What Really Matters > Beyond the liquidity of underlying stocks: What is the link between the liquidity of ETFs and the construction of indices? > What specific measures are required for the liquidity of ETF markets?

New Frontiers in Passive Investment: From Asset Allocation to Risk Allocation > From asset allocation to risk allocation: Beyond risk parity and equal risk contribution > Measuring the effective number of bets > Managing diversification to risk factors

New Indices and Benchmarks Choose Your beta: How to Appreciate the Performance and Risks of New Forms of Equity Benchmarks > Explicit choice of exposure to risks, and risks produced by the index construction method > Systematic risk, model risk: Risk control in new forms of indices > Diversifying the risks of new indices

Can Track Records of Indices be Trusted? > What are the main difficulties encountered by investors when choosing indices and testing their performance? > What due diligence in terms of accuracy and robustness drives the performance of strategy indices and alternative equity indices? > Towards the benchmarking of the accuracy of indices?

Alternative bond benchmarks > What justifies the construction of alternative bond benchmarks? > What are the choices in terms of methodology and limitations of new forms of sovereign and corporate bond indices? > How to appreciate the risks of investing in new forms of fixed income indices

What are the New Methods of Investing Passively in Commodities? > The fundamentals of backwardation and contango > Moving from first to second generation commodity indices: The importance of liquidity > Long-short third generation commodity indices

Advanced Portfolio Construction Investing in Low Volatility Strategies > Conditionality versus anomaly: What is the rationale for investing in low volatility strategies? > Low volatility, minimum volatility, low beta: What is the best defensive investment strategy for stocks? > What state-of-the-art for low volatility portfolio construction?

Day One: Indexation and Passive Investment Conference



Day One: Indexation and Passive Investment Conference7:30-8:00 Registrations, Morning Tea and Coffee

8:00-8:15 Opening Address Speakers: Christopher Ailman, Chief Investment Officer, California State Teachers’ Retirement System and Member of the International Advisory Board, EDHEC-Risk Institute (tbc) Noël Amenc, Professor of Finance, EDHEC Business School, and Director, EDHEC-Risk Institute

ROuNDTABLE8:15-10:00 Roundtable: Governance and Transparency of Indices

The development of more sophisticated forms of indices and notably strategy indices raises questions in terms of understanding regulation, the accuracy of track records and more globally the transparency and governance of indices,

which are essential components of the investment process and its inherent risks.

Introductory Presentation> What level of transparency and accuracy do investors expect?> Presentation of a survey carried out by EDHEC-Risk Institute

Speaker: Frédéric Ducoulombier, Professor of Finance, EDHEC Business School, and Director, EDHEC Risk Institute—Asia

Confirmed roundtable panellists

Moderated by:Amy Resnick, Executive Editor, Pensions & Investments

Q&A session with the audience

10:00-10:30 Break

PLENARY SESSION10:30-11:45 The Development of Passive Investment in North America, Asia & Europe> How are the new forms of indices perceived by institutional investors?> What are the consequences, in terms of asset allocation, of the multiplication of new forms of beta? > What is the role of indices in this search for new benchmarks? > Presentation of the results of EDHEC-Risk ETF Surveys in North America, Asia & Europe


Speaker: Felix Goltz, Head of Applied Research, EDHEC-Risk Institute

MORNING STREAM SESSIONS11:45-12:45 Choose your Beta: How to Appreciate the Performance and Risks of New Forms of Equity Benchmarks > Explicit choice of exposure to risks, and risks produced by the index construction method> Systematic risk, model risk: Risk control in new forms of indices> Diversifying the risks of new indices


Speaker: Noël Amenc, Professor of Finance, EDHEC Business School, and Director, EDHEC-Risk Institute Felix Goltz, Head of Applied Research, EDHEC-Risk Institute

John Graves, Investment Officer Asset Allocation, Washington State Investment BoardJohn T. Grier, Director of Internal Equity, Virginia Retirement System

Darau Johnson, Senior Economist Fellow, Securities and Exchange Commission (SEC)Kurt Schacht, Managing Director, Standards and Financial Market Integrity Division, CFA Institute


11:45-12:45 Liquidity in Equity ETFs: What Really Matters> Beyond the liquidity of underlying stocks: What is the link between the liquidity of ETFs and the construction of indices?> What specific measures for the liquidity of ETF markets?


Speaker: Laurent Deville, Affiliated Professor, EDHEC Business School

11:45-12:45 Can Track Records of Indices be Trusted? > What are the main difficulties encountered by investors when choosing indices and testing their performance?> What due diligence in terms of accuracy and robustness drives the performance of strategy indices and alternative equity indices?> Towards the benchmarking of the accuracy of indices?


Speakers: Noël Amenc, Professor of Finance, EDHEC Business School, and Director, EDHEC-Risk InstituteFrédéric Ducoulombier, Professor of Finance, EDHEC Business School, and Director, EDHEC Risk Institute—Asia

12:45-13:45 Lunch Break

AFTERNOON WORKSHOPS13:45-14:45Sponsor-led sessions presenting technical innovations in the use of passive investment

14:45-15:15 Break

AFTERNOON STREAM SESSIONS15:15-16:15 Alternative Bond Benchmarks> What justifies the construction of alternative bond benchmarks?> What are the choices in terms of methodology and limitations of new forms of sovereign and corporate bond indices?> How to appreciate the risks of investing in new forms of fixed income indices


Speaker: Felix Goltz, Head of Applied Research, EDHEC-Risk Institute

15:15-16:15 What are the New Methods of Investing Passively in Commodities? > The fundamentals of backwardation and contango> Moving from first to second generation commodity indices: The importance of liquidity> Long-short third generation commodity indices


Speaker: Joëlle Miffre, Professor of Finance, EDHEC Business school

15:15-16:15 Investing in Low Volatility Strategies > Conditionality versus anomaly: What is the rationale for investing in low volatility strategies? > Low volatility, minimum volatility, low beta: What is the best defensive investment strategy for stocks?> What state-of-the-art for low volatility portfolio construction?


Speaker: Lionel Martellini, Professor of Finance, EDHEC Business School, and Scientific Director, EDHEC-Risk Institute

16:15-16:45 Break

PLENARY SESSION16:45-18:00 New Frontiers in Passive Investment: From Asset Allocation to Risk Allocation> From asset allocation to risk allocation: Beyond risk parity and equal risk contribution> Measuring the effective number of bets > Managing diversification to risk factorsQ&A session with the audience

Speaker: Attilio Meucci, Research Associate, EDHEC-Risk Institute, and Chief Risk Officer, Director of Portfolio Construction, Kepos Capital LP

18:00 End of the Indexation and Passive Investment Conference



Inflation-Linked Investment Hedging Long-Term Inflation-Linked Liabilities without Inflation-Linked Instruments > Inflation risk versus liability risk: Measuring the true impact of inflation risk within liability risk > Expected inflation risk versus realised inflation risk > Diversifying versus hedging expected inflation risk in nominal bond portfolios

Infrastructure Finance Infrastructure Debt for Institutional Investors > Infrastructure finance and the endogenous nature of credit risk > Construction risk and portfolio construction > Investment structures and governance

Asset Allocation and Alternative Diversification The Convergence Between Long-Only Investment and Hedge Funds > What hedge fund techniques can be transposed into the long-only world? > Comparing the performance of UCITS and non-UCITS hedge funds > Measuring the level of convergence between long-only funds and hedge funds

What if the Regulation of Long-Term Investors Were Not as Costly as They Think? Reconciling Long-Term Optimal Investing Strategies with Short-Term Funding Risk Constraints > Using insurance and not hedging to optimally manage short-term constraints > Benefitting from mean-reversion in equity returns > Reducing the opportunity costs of short-term constraints

Commodity Prices: Does Speculation Matter? > Should speculators have a minority role in commodity futures markets? > The difficulty of ascribing causality during commodity price spikes > Commodity futures trading in a “Risk ON / Risk OFF” environment

Fixed-Income Investment Beyond the Separation Theorem in ALM: How to Evaluate the Contribution of a Category of Asset Class to the Performance and Risk of Global Asset Allocation? > From fund separation to fund interaction theorems > Performance-seeking portfolios with improved liability-hedging properties > Marginal contribution of an asset class to performance and hedging benefits

Fixed-Income Return Attribution Analysis > The important role played by performance attribution in the management of fixed income portfolios > Methodologies used for fixed income performance attribution analysis > Practical considerations in the implementation of performance attribution analysis > Dealing with multi-currency portfolios, derivatives and leverage

Operational Risk and Performance From Asset Allocation to Risk Reporting > The limits of traditional concentration measurements and portfolio diversification > Improved techniques for measuring diversification using risk contribution approach > How to measure and report the portfolio exposure to uncorrelated factors

Day Two: Global Institutional Investment Conference



7:30-8:00 Registration

PLENARY SESSION8:00-9:45 What if the Regulation of Long-Term Investors were not as Costly as they think?- Reconciling Long-Term Optimal Investing Strategies with Short-Term Funding Risk Constraints > Using insurance and not hedging to optimally manage short-term constraints> Benefitting from mean-reversion in equity returns> Reducing the opportunity costs of short-term constraints


Chairman: William De Vijlder, Chief Investment Officer, Strategy & Partners, BNP Paribas


Panel: Emily Berger, Director, Investments Office, The Rockefeller Foundation Russell Hiscock, CEO, Investment Division, CN Investment Division (tbc)Geoffrey Rubin, Vice President and Head of Portfolio Management, Canada Pension Plan Investment Board (tbc)

9:45-10:15 Break

PLENARY SESSION10:15-11:45 Hedging Long-Term Inflation-Linked Liabilities without Inflation-Linked Instruments > Inflation risk versus liability risk: Measuring the true impact of inflation risk within liability risk> Expected inflation risk versus realised inflation risk > Diversifying versus hedging expected inflation risk in nominal bond portfolios


Chairman: James Davis, Vice President, Investment Planning & Economics, OTTP


AFTERNOON WORKSHOPS11:45-12:45 Sponsor-led sessions presenting best practices into the key themes of institutional asset management

12:45-13:45 Lunch Break

AFTERNOON STREAM SESSIONS13:45-15:00 PhD Forum Presentations from EDHEC-Risk Institute PhD in Finance candidates


Chairmen:Frank Fabozzi, Professor of Finance, EDHEC Business School René Garcia, Professor of Finance, EDHEC Business School, and Academic Director, PhD in Finance, EDHEC-Risk Institute

13:45-15:00 Infrastructure Debt for Institutional Investors> Infrastructure finance and the endogenous nature of credit risk> Construction risk and portfolio construction> Investment structures and governance Q&A session with the audience

Chairman:Benjamin Sirgue, Global Head of Aircraft, Export & Infrastructure Finance Structured & Asset Finance, Natixis

Speaker: Frédéric Blanc-Brude, Research Director, EDHEC Risk Institute—Asia

13:45-15:00 The Convergence Between Long-Only Investment and Hedge Funds > What hedge fund techniques can be transposed into the long only world?> Comparing the performance of UCITS and non-UCITS hedge funds> Measuring the level of convergence between long-only funds and hedge funds


Chairman:James Skeggs, Head of Research, EMEA, Newedge

Speaker: Robert Kosowski, Affiliate Professor of Finance, EDHEC-Risk Institute

15:00-15:30 Break

AFTERNOON STREAM SESSIONS15:30-16:30 PhD Forum Presentations from EDHEC-Risk Institute PhD in Finance candidates


Chairman:René Garcia, Professor of Finance, EDHEC Business School, and Academic Director, PhD in Finance, EDHEC-Risk Institute


15:30-16:30 Commodity Prices: Does Speculation Matter?> Should speculators have a minority role in commodity futures markets?> The difficulty of ascribing causality during commodity price spikes> Commodity futures trading in a “Risk ON / Risk OFF” environment


Speaker: Hilary Till, Principal, Premia Capital, and Research Associate, EDHEC-Risk Institute

15:30-16:30 Fixed-Income Return Attribution Analysis> The important role played by performance attribution in the management of fixed income portfolios> Methodologies used for fixed income performance attribution analysis> Practical considerations in the implementation of performance attribution analysis> Dealing with multi-currency portfolios, derivatives and leverage


Speaker: Frank Fabozzi, Professor of Finance, EDHEC Business School

15:30-16:30 From Asset Allocation to Risk Reporting > The limits of traditional concentration measurements and portfolio diversification> Improved techniques for measuring diversification using risk contribution approach> How to measure and report the portfolio exposure to uncorrelated factors


Chairman:Jean-Marc Eyssautier, Chief Compliance Officer, CACEIS


15:30-16:30 Infrastructure Equity: Long-Term Investment and Time Consistency > The nature of infrastructure assets> Known investment vehicles and performance characteristics> Implications of long-term investment solutions


Chairman:Thierry Déau, Chief Executive Officer, and Founder, Meridiam

Speaker: Frédéric Blanc-Brude, Research Director, EDHEC Risk Institute—Asia

PLENARY SESSION16:45-18:00 Beyond the Separation Theorem in ALM: How to Evaluate the Contribution of a Category of Asset Class to the Performance and Risk of Global Asset Allocation?> From fund separation to fund interaction theorems> Performance-seeking portfolios with improved liability-hedging properties> Marginal contribution of an asset class to performance and hedging benefits



18:00 End of the Global Institutional Investment Conference


Institute

About EDHEC and EDHEC-Risk Institute

Founded in 1906, EDHEC Business School offers management education at undergraduate, graduate, post-graduate and executive levels. Holding the AACSB, AMBA and EQUIS accreditations and regularly ranked among Europe’s leading institutions, EDHEC Business School delivers degree courses to over 6,000 students from the world over and trains 5,500 professionals yearly through executive courses and research events. The School’s ‘Research for Business’ policy focuses on issues that correspond to genuine industry and community expectations.

Established in 2001, EDHEC-Risk Institute has become the premier academic centre for industry-relevant financial research. In partnership with large financial institutions, its team of ninety permanent professors, engineers, and support staff, and forty-eight research associates and affiliate professors, implements six research programmes and sixteen research chairs and strategic research projects focusing on asset allocation and risk management.

In 2012, EDHEC-Risk Institute signed two strategic partnership agreements with the Operations Research and Financial Engineering department of Princeton University to set up a joint research programme in the area of risk and investment management, and with Yale School of Management to set up joint certified executive training courses in North America and Europe in the area of investment management.

Executive Education ActivitiesEDHEC-Risk Institute has highly significant executive education activities for professionals. In partnership with CFA Institute, it has developed advanced seminars based on its research which are available to CFA charterholders and have been taking place since 2008 in New York, Singapore and London.

EDHEC-Risk Institute has an original PhD in Finance programme which, in addition to its highly selective residential track for young talentsworldwide, has an executive track for high level professionals who already have masters degrees from prestigious universities and significant industry experience. These professionals are looking to go beyond their usual activities in order to develop research on the concepts that are relevant to their occupation. Complementing the core faculty, this unique PhD in Finance programme has highly prestigious affiliate faculty from universities such as Princeton, Wharton, Oxford, Chicago and CalTech.

EDHEC-Risk Institute Research for BusinessEDHEC provides professionals with access to its website, www.edhec-risk.com, which is entirely devoted to international asset management research. The website, which has more than 58,000 regular visitors, is aimed at professionals who wish to benefit from EDHEC’s analysis and expertise in the area of applied portfolio management research. Its monthly newsletter is distributed to more than 1.5 million readers.

As part of its policy of transferring know-how to the industry, EDHEC-Risk Institute has also set up ERI Scientific Beta. ERI Scientific Beta is an original initiative which aims to favour the adoption of the latest advances in smart beta design and implementation by the whole investment industry. Its academic origin provides the foundation for its strategy: offer, in the best economic conditions possible, the smart beta solutions that are most proven scientifically with full transparency in both the methods and the associated risks.


10:00

10:30

14:45

16:15

11:45

15:15

12:4513:45

7:30

8:00 Registrations, Morning Tea and Coffee

Opening Address

Morning Break

Lunch Break

Break

Break

ROUNDTABLEGovernance and Transparency of Indices

Day

1

Syn

opsi

s EDHEC-Risk Days North America 2013 8-9 October 2013 - New York

8:15

PLENARY SESSIONThe Development of Passive Investment in North America, Asia & Europe

MORNINGSTREAM SESSION

Choose Your beta: How to Appreciate the Performance and Risks of New

Forms of Equity Benchmarks

WORKSHOP

WORKSHOP

WORKSHOP

WORKSHOP

AFTERNOONSTREAM SESSION

Alternative Bond benchmarks

16:45

18:00

PLENARY SESSIONNew Frontiers in Passive Investment: From Asset Allocation to Risk Allocation

End of the Indexation and Passive Investment Conference


Can Track Records of Indices be Trusted?


Investing in Low Volatility Strategies


Liquidity in Equity ETFs: What Really Matters


What are the New Methods of Investing Passively in Commodities?

Day One: Indexation and Passive Investment Conference


9:45

10:15

15:00

13:45

11:45

15:30

12:45

7:30

8:00 Registrations, Morning Tea and Coffee

Morning Break

Lunch Break

Break

Break

PLENARY SESSIONWhat if the Regulation of Long-Term Investors were not as costly as they think?

Reconciling Long-Term Optimal Investing Strategies with Short-Term Funding Risk Constraints

Day

2

Syn

opsi

s EDHEC-Risk Days North America 2013 8-9 October 2013 - New York

AfTERNOON STREAM SESSION

PhD Forum


The Convergence Between Long-Only Investment and Hedge Funds


Commodity Prices: Does Speculation

Matter?


Infrastructure Debt for Institutional Investors


PhD Forum


Fixed-Income Return Attribution Analysis


From Asset Allocation to Risk Reporting


Infrastructure Equity: Long-Term Investment and Time Consistency

PLENARY SESSION

Hedging Long-Term Inflation-Linked Liabilities without Inflation-Linked Instruments

16:30

16:45

18:00

PLENARY SESSIONBeyond the Separation Theorem in ALM: How to Evaluate the Contribution of a Category

of Asset Class to the Performance and Risk of Global Asset Allocation?

End of the Global Institutional Investment Conference


WORKSHOP WORKSHOP WORKSHOP


Exhibitors

Research Chair Sponsors Present

Caceis Bank1 place Valhubert75013 Paris - France Tel.: +33 (0)1 57 78 00 00 - www.caceis.com

CACEIS is an asset servicing banking group fully dedicated to institutional and corporate clients. Through offices across Europe, North America and Asia, CACEIS offers a comprehensive range of high quality products and services covering depositary and custodial services, fund administration, middle office services, fund distribution support,capital markets services and issuer services. With assets under custody of €2.3 trillion and assets under administration of €1.1 trillion, CACEIS is one of the world market leaders in asset servicing and the largest depositary bank and the premier fund administrator in Europe (figures to 31 December 2011).

EDHEC-Risk Days North America 20138-9 October 2013 – New YorkCrowne Plaza - Times Square - Manhattan

ENQUIRIES

Email: [email protected]

Phone: +33 493 187 855

Investor rate: pension schemes, charities, endowments, foundations, insurance companies (third party asset management excluded), single family offices and financial executives from non-financial companies should contact: [email protected] or +33 493 187 855 for their registrations.

The registration fee includes buffet lunch, refreshments and full conference documentation. Delegates may be refused admission if payment is not received prior to the conference.

CANCELLATION POLICYGiven the moderate conference fee, we do not accept cancellations; invoiced sums will remain payable in full. If a registered delegate is unable to attend, a substitute delegate from the same organisation is welcome at no extra charge. Conference documentation designed by EDHEC Business School will be made available online to all delegates. EDHEC Business School reserves the right to alter the programme without notice.

Delegate Fee

Early bird rate delegate fee until May 31st 2013 €350

Standard rate 2 days delegate fee €500

EDHEC-Risk Institute393 promenade des Anglais

BP 3116 - 06202 Nice Cedex 3France

Tel: +33 (0)4 93 18 78 24

EDHEC Risk Institute—Europe 10 Fleet Place, Ludgate

London EC4M 7RBUnited Kingdom

Tel: +44 207 871 6740

EDHEC Risk Institute—Asia1 George Street

#07-02Singapore 049145Tel: +65 6631 8501

EDHEC Risk Institute—North America1230 Avenue of the AmericasRockefeller Center - 7th FloorNew York City - NY 10020 USA

Tel: +1 212 500 6476

EDHEC Risk Institute—France 16-18 rue du 4 septembre

75002 Paris France

Tel: +33 (0)1 53 32 76 30

Institute

www.edhec-risk.com

Documents

How to Improve the Liquidity of the ETF Market coerece€¦ · Amy Resnick, Executive Editor, Pensions & Investments Q&A session with the audience 10:00-10:30 Break PLENARY SESSION