Contact Laurie Asuncion at 416-764-4144.
The Rosseau, A JW Marriott Resort and Spa
August 24-26, 2010
Who Should Attend this Event?
The conference is an exclusive, educational forum that brings together senior representatives of Canadian pension plan sponsors, as well as representatives from the academic, custodial and money management communities.
How Do I Attend?
Participation at the Risk Management Conference is by invitation only. For more information on the Risk Management Conference, please email Garth Thomas, Executive Publisher of Canadian Investment Review, for consideration.
InvestmentReview.com is Canada's leading forum for academics, institutional investors and industry practitioners to exchange ideas on the capital markets, investment and economic theory and the related sociology and demographics. To that end, it publishes articles that offer original ideas based on existing literature and brings new insight to relevant themes and practices within the institutional investment community.
Academic Partner
Known as Canada’s Global Business School™, the Schulich School of Business in Toronto is ranked among the world’s leading business schools by a number of global surveys. Schulich's MBA program is ranked #1 in the world by the Aspen Institute (a Washington, DC-based leadership think tank) in a global survey that identifies which schools are doing the best job of preparing future business leaders for the environmental, social and ethical complexities of modern-day business.
The 2008-2009 financial crisis was a game-changer for risk management. While plan sponsors in the past focused on tools and metrics to measure investment risk, they now want to fully understand all of the risks they face, on both the asset and the liabilities side. Today, pension funds want risk management strategies that can help manage all areas of risk and exposure within their pension fund, across the board. As liability-driven investing and other strategies evolve along with the needs of plan sponsors, you could call today’s risk management approaches revolutionary. Hence, it’s only fitting that the theme of this year’s event is Risk Revolution: Plan Sponsors and the Future of Risk Management.
The event is an exclusive, educational forum that brings together senior representatives of Canadian pension plan sponsors, as well as representatives from the academic, custodial and money management communities, to discuss strategies for measuring and managing risk in their defined benefit pension portfolios.
AUGUST 25
8:00 – 9:00 am
Breakfast and Registration
9:00 – 9:15 am
Introduction and Opening Remarks
9:15 – 10:15 am
Keynote Session
Risk Management Lessons from the Credit Crisis
Risk management, even if flawlessly executed, does not guarantee that big losses will not occur. Big losses can occur because of business decisions and bad luck. Even so, the events of 2007 and 2008 have highlighted serious deficiencies in risk models. For some firms, risk models failed because of known unknowns. These include model risk, liquidity risk, and counterparty risk. In 2008, risk models largely failed due to unknown unknowns, which include regulatory and structural changes in capital markets. Risk management systems need to be improved and place a greater emphasis on stress tests and scenario analysis. In practice, this can only be based on position-based risk measures that are the basis for modern risk measurement architecture. Overall, this crisis has reinforced the importance of risk management. This session will discuss this reinforcement and how pension fund sponsors can learn from this recent market experience.
Presenter:
Philippe Jorion, professor of finance, Paul Merage School of Business, University of California, Irvine
10:15 – 10:45 am
Session Two
Investment Risk Management: A Sly Fox for the Black Swan
Over the past few years, headlines have been dominated by the highs and lows experienced in the markets, coupled with the need to propose resolutions. Markets experienced levels of risk unfamiliar to most and models were tested. In this session, we will address questions such as: What is Risk Management? What do you mean by Risk? What are the obstacles to assessing Risk? We will discuss the key lessons learned in 2008 and 2009 and what pension plans are doing to mitigate future risks.
Presenter:
Ian Baker, vice-president, derivatives and risk management, Pyramis Global Advisors
10:45 – 11:15 am
Networking Break
11:15 – 11:45 am
Session Three
Risk Management- More Important than Ever
Risk management is primary to alpha generation. Anomalous – or “black swan” – events occur more frequently than thought making an investment process without tight risk management more vulnerable to large relative losses. So how should an investor evaluate an investment process to determine whether or not a reasonable level of risk management exists and if a manager has real skill? It is surprising how often investors underestimate the frequency with which a manager, whose process is working normally, will actually underperform. This presentation will explore the quantitative and qualitative considerations that investors may wish to more fully explore to gain a high level of confidence in a manager’s ability. Because for plan sponsors who need alpha risk management matters.
Presenter:
Robert Garvy, chairman and chief executive officer, INTECH
11:45 am – 12:15 pm
Session Four
Hidden and Unexpected Risks
The crashes of 2001 and 2008 took many market participants by surprise. When such events occur, it is often an exogenous event that provides the tipping point. Events that can’t be predicted, or Black Swans as they are often referred to these days, are more frequent than we expect, and have the power to change everything. How should plan sponsors address unexpected risks going forward? What are the signs? What role could macro-factors play in assessing and identifying risk? How can decision making frameworks be adjusted to accommodate such events?
Presenter:
Janet Rabovsky, senior investment consultant, Towers Watson
12:15 – 1:30 pm
Lunch Break
1:30 – 2:00 pm
Session Five
Tomorrow’s Risk Management
The recent financial crisis has served to highlight the failure of traditional economic approaches in explaining how markets really work. Fortunately, developments in behavioural economics, cognitive studies, and complexity theory can enhance our understanding of markets and economies. This session will explore how these diverse fields of study will help to enhance financial risk management practices in the future, by providing deeper insight into human and market behaviour.
Presenter:
Dr. Damian Handzy, chairman and chief executive officer, Investor Analytics
2:00 – 2:30 pm
Session Six
The Effect of S&P Credit Rating Initiation on Emerging Market Firms
Prior to 1994, Standard and Poor’s had initiated credit ratings for only 12 firms from 18 emerging market countries. By 2009, 553 ratings had been initiated in these same countries. In this presentation, I’ll explore the consequences of this explosive growth in ratings and in particular the impact that a rating from Standard and Poor’s has on the information provided by the rated firms. I suggest that in emerging markets where local accounting standards may be weak, S&P will demand credible, conservative financial reporting as an input to their rating process. I’ll show evidence of a positive equity market reaction to credit rating initiation and demonstrate that the magnitude of this reaction is related to the change in financial reporting.
Presenter:
Lynnette Purda, Associate Professor of Finance, Queen's University School of Business
2:30 – 3:00 pm
Networking Break
2:45 – 3:15 pm
Session Seven
Back to Fundamentals
Can Fundamental Equity Investment Approaches Offer a Better Risk Profile?
Presenter:
Wayne Wilson, Vice President, Lincluden Investment Management
3:15 – 3:45 pm
Session Eight
Strategic Asset Allocation in a Fast Moving Market
Dr. Menzly will present an adaptation of the Black-Litterman portfolio optimization framework that seeks to mimic aspects of the strategic investment process left out by conventional asset allocation models. The Markowitz model, for example, maximizes the expected return of a portfolio given a target risk level. While elegant, it ignores the challenges of measuring expected returns and covariances and accounting for measurement error, issues that have been the focus of Black and Litterman and others. Even still, the Black-Litterman model and its extensions are rarely used in practice as they correspond poorly with real-world investment processes. A global-macro portfolio manager first determines the current economic backdrop and likely future scenarios. Next, she decides which investment themes, factors and assets will most benefit from such scenarios and chooses the appropriate investment style, such as relative value, reversal, or momentum. Finally, she picks individual securities that represent an alpha opportunity after hedging their aggregate risk exposure. Dr. Menzly will discuss how an adaptation of the Black-Litterman framework that includes macro-economic scenarios and factor analysis can enhance the return potential of investors’ strategic risk allocations.
Presenter:
Dr. Lior Menzly, Director of Quantitative Research, Nomura Asset Management
3:45 pm
Closing Remarks
5:45 pm
Meet in at the docks to board the boat.
6:00 - 7:00 pm
Gala Cocktail Reception
7:00 - 9:00 pm
Gala Dinner
AUGUST 26
8:00 – 9:00 am Breakfast
9:00 – 9:15 am Opening Remarks and Housekeeping
9:15 – 9:45 am Session Nine
Exploring Interest Rate Overlay Strategies
Interest rate overlay programs are garnering greater attention from Canadian pension plan sponsors wanting to improve the match between the duration of their plan’s assets and the interest rate risk inherent in their plan’s liabilities. With an overlay, the plan sponsor can continue to pursue higher potential returns from “risk” assets, while using derivatives to manage the additional interest rate mismatch risk incurred by those physical risk assets. Overlay strategies may also result in an improved risk/reward profile for the plan, but not without introducing new risks. This presentation will highlight the potential uses of interest rate overlay strategies and discuss the associated benefits, risks and trade-offs that they may require a plan sponsor to consider.
Presenter:
Bruce Geddes, Vice President, Phillips, Hager & North Investment Management Ltd.
9:45 – 10:30 am Session Ten
Leverage: the Good, the Bad and the Benign
In the midst of the 2008 credit crises, the NSAHO Pension Plan dramatically added leverage to improve their asset-liability matching. Calvin Jordan, CEO with the NSAHO Pension Plan, will share experience that demonstrates such techniques and how they are within the reach of smaller pension plans. Come hear the unconventional view that leverage can increase expected returns while reducing risk.
Presenter:
Calvin Jordan, Chief Executive Officer, NSAHO Pension Plan
10:30 – 11:30 am Open Forum
Town hall-like discussion where plan sponsors can ask any questions they have brainstormed over the course of the event, of any of the speakers who presented at the event.
Moderated by Zev Frishman, OTPP
11:30 – 11:45 am Closing Remarks
11:45 am Closing Luncheon
***This is a preliminary agenda and is subject to change at any time.***
For more information on the agenda, please contact Laurie Asuncion, Editor of Conferences and Online Events.General Activities
Tuesday August 24th
Risk Management Conference Golf Tournament at THE ROCK
Tee times beginning at 11:00 a.m.
The Rock Golf Club, designed by legendary golfer Nick Faldo, has been artfully sculpted on the shores of one of Muskoka's premier lakes, Lake Rosseau. Utilizing the site's dynamic topography, the 6649-yard course is carved tight with narrow tree-lined fairways and sloping greens that wind through rock outcroppings, hardwood trees and rolling hills.
Opening Reception and Dinner
Lake Rosseau Pub Night
6:00 – 9:00 p.m. - Rooftop Terrace
Wednesday August 25th
Gala Dinner
Dinner Cruise & Bonfire Nightcap
6:00 – 10:00 p.m. -
Meet at the Dock
Nothing says Muskoka like discovery. Hop aboard and launch your curiosity on Wenonah II with all its modern conveniences. It's the one-of-a-kind way to experience Muskoka.
Cocktails and dinner will be served aboard this amazing ship as you cruise
around the beautiful Lake Rosseau.
For dessert join us for S'mores and liqueurs around the campfire.
Spousal Activities
Please note that along with the activities, breakfast (at your leisure) is included on Wednesday and Thursday.
Tuesday August 24th
Opening cocktail reception and bbq buffet dinner
6:00 - 9:00 p.m.
Dress for this evening is casual. (e.g. Nice jeans, kaki pants/ shorts, etc).
Wednesday August 25th
The Rock Golf Clinic
Each attendee will receive Golf lessons including long game, short game, and course management. Please bring running or golf shoes.
Meet at the hotel lobby at 10:00 a.m.
Followed by lunch at the clubhouse.
Cocktails and dinner (dress is business attire)
Meet at the Dock for private boat cruise on Lake Rosseau. Dessert will be served following the cruise on the dock complete with liqueurs and smores.
6:00 – 10:00 p.m.
Thursday August 26th
Guided Nature Hike
Step into The Rosseau's backyard and discover birds, animal tracks, beaver ponds and more on this naturalist guided hike.
Meet in the Lobby at 9:30AM
Please wear comfortable walking shoes.
Discover an Ontario resort like no other. Guests are welcomed to natural, unspoiled surroundings overlooking Lake Rosseau, making this resort the first of its kind as it is located only hours north of Toronto, within the beautiful resort community of Red Leaves.
Enjoy an unpretentious resort in Canada featuring classic, sophisticated design. Sample scrumptious Italian cuisine at Teca, recognized by media as one of Canada's top 10 new restaurants in 2009. Take pleasure in thoughtful staff, dedicated to helping guests enhance their stay at this Muskoka, Ontario resort. Relax in front of an exquisite stone fireplace located in each brand new guest room.
Hotel Address
P.O. Box 31, 1050 Paignton House Road
Minett, Ontario P0B 1G0 Canada
Phone: 1 705 765 1900
Toll-free: 1 866 240 8605