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Alternative Investment Conference
2002
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Is Alpha the Answer?
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November 13 - 15,
2002 • Queen's Landing Inn, Niagara-on-the-Lake, Ontario
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| Wednesday, November 13th (see below for details) | |
| Welcome - Reception, registration and light buffet dinner | |
| Thursday, November 14th | |
| Opening Session - Alpha At Any Cost? | |
| Session 1- Hedge Fund Strategies | |
| Session 2 - Hedge Funds and Risk | |
| Session 3 - Alternatives and Asset Allocation | |
| Friday, November 15th | |
| Session 4 - In Search of Alpha: Brainstorming Session | |
| Session 5 - From Venture Capital to Private Equity | |
| Session 6 - Real Estate | |
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Wednesday, November 13th
- Welcome
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| Reception, registration and light buffet dinner | |
| Please join us for an informal reception to pick up your registration package and to meet your colleagues. (Atrium) | |
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Thursday, November 14th
- Day One
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7:00 - 8:30 a.m.
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Breakfast in the Tiara Dining Room |
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8:30 - 8:45 am.
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Opening Remarks |
| Opening Session: Fees on Fees in Funds of Funds | |
| Alpha At Any Cost? [Download PDF (7.4MB)] | |
| This presentation reviews
recent hedge fund research, arguing the case for investing in funds
of funds. They yield superior returns at a risk not exceeding the
S&P500. Some fiduciaries are concerned about excessive fees. Professor
Brown examines an alternative fee arrangement that may provide a better
outcome at lower cost to the investor. Professor Stephen J. Brown, Stern School of Business, New York University |
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10:00 – 10:30 a.m.
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Coffee Break |
| Session 1: Hedge Fund Strategies | |
| Building Your Hedge Fund Investments: Do It Yourself or Hire a Contractor? [Download PDF (88K)] | |
| This presentation looks
at what to consider when building a hedge fund investment program.
Factors such as cost, time, experience, philosophy, resources, transparency
and size will be detailed to help plan sponsors decide whether to
implement a program internally or through consultants or fund of funds.
The presentation will also compare funds of funds and consultants,
including what to take into account when evaluating these service
providers. Ken Stemme, American Express Asset Management |
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| Market Neutral Strategies [Download PDF (728K)] | |
| Dr. Schmitz will describe the structure,
implementation and management of the market neutral equity investment
strategy. He will also discuss the inherent assumptions necessary
for the strategy to generate positive returns. Finally, Dr. Schmitz
will discuss and describe the risks to which the strategy is implicitly
exposed and how these risks should be measured, managed and controlled. Dr. John Schmitz, on behalf of RBC Global Services |
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| Designated Respondents: | |
| 1. David Finstad, Alberta Revenue | |
| 2. Terri Troy, Royal Bank and Royal Trust Pension Plans | |
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11:45 – 1:15 p.m
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Lunch in the Tiara Dining Room |
| Session 2: Hedge Funds and Risk | |
| Arbitrage in Equity Markets [Download PDF (190K)] | |
| Money managers refer to
arbitrage strategies as “market neutral” due to low beta
estimates. Although the risk/return tradeoff is attractive, these
strategies expose investors to both systematic and idiosyncratic risks.
Betas are large in depreciating markets but not in appreciating markets.
Diversification, low leverage, and long investment horizons mitigate
both types of risk. Todd Pulvino, Kellogg School of Management, Northwestern University |
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| Risk by Any Other Name [Download PDF (329K)] | |
| While many hedge fund investors look
to historical standard deviation when forecasting future risk, other
investors dismiss volatility among hedge funds that have only had
positive returns as “upside volatility.” This presentation
evaluates the usefulness of standard deviation versus three downside
risk measures for predicting future losses. David Gordon, Glenwood Capital Investments, L.L.C. |
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| Designated Respondents: | |
| 1. Josephine Marks, Maritime Life | |
| 2. Philip Falls, IWA Forest Industry Pension Plan | |
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2:30 – 3:00 p.m.
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Coffee Break |
| Session 3: Alternatives and Asset Allocation | |
| Investing in Hedge Funds: Strategic Asset Allocation or Shelter from the Markets? [Download PDF (99K)] | |
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Many institutional investors have been contemplating investments
in hedge funds for the past several years. After spending significant
time on the education of plan sponsors and their boards, they are
now on the verge of investing. Yet some are now asking, is now the
right time to be investing in hedge funds? |
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| High Yield Bonds — Uncorrelated Returns within a Traditional Asset Class Structure [Download PDF (572K)] | |
| High yield bonds provide
impressive returns over long time horizons and are attractive today
compared to historic valuation parameters. They have also provided
a superior return per unit of risk compared to investment grade bonds
or large or small cap stocks. This presentation will demonstrate how
this risk-adjusted return along with their remarkably low correlation
with traditional asset classes make high yield bonds an important
portfolio diversification tool. Steve Michaels, Financial Management Advisors Inc. |
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| Designated Respondents: | |
| 1. Janet Greenwood, Aurion Capital Management Inc. | |
| 2. Johnny Quigley, Fondation Lucie et André Chagnon | |
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6:00 p.m.
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Cocktail reception and dinner |
| Speaker: Margaret Wente | |
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Friday, November 15th -
Day Two
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7:00 - 8:00 a.m.
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Breakfast in the Tiara Dining Room |
| Session 4: In Search of Alpha - Brainstorming Session | |
| In Search of Alpha - Brainstorming Session | |
| A chance for delegates to
have their say, discuss key issues, and share solutions. Moderators: William Rentz, University of Ottawa and Steve Foerster, Richard Ivey School of Business, University of Western Ontario |
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9:15 - 9:45 a.m.
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Coffee Break and speaker photos |
| Session 5: From Venture Capital to Private Equity | |
| Venture Capital [Download PDF (272K)] | |
| This presentation will
provide an overview of the Canadian venture capital industry and its
role as an asset class for institutional investors. The past five
years have witnessed rapid growth in the number of venture capital
managers, capital under management and interest from foreign investors.
Mr. Eckert will describe the advantages of venture investing and an
action plan for prudent participation in this asset class. John Eckert, Canadian Venture Capital Association |
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| Assessing Early Stage Ventures for Investment [Download PDF (135K)] | |
| This presentation estimates
the ability of a statistical model to forecast the probability that
an early stage venture will be commercialized based on data from 561
new ventures. The statistical model correctly predicts 82.6 per cent
of all outcomes in forward cross-validation tests. It is vastly more
accurate than venture capitalists, whose accuracy in forecasting of
similar ventures varies between 17 per cent and 40 per cent. Thomas Åstebro, University of Waterloo |
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| Exploding The Liquidity Myth: Corporate Governance and the Future of Public Equity [Download PDF (295K)] | |
| For generations, investors
have worshipped liquidity, although the presumed benefits were illusory
and fleeting. Now, shocked by gross corporate misconduct and shaken
by the wholesale destruction of shareholder value, investors are embracing
the principles of good corporate governance. Those same principles
lie at the heart of the private equity investing process. Without
the need for useless liquidity, the principles of private equity investing
merge seamlessly with public equity in PIPES. Victor Koloshuk, Integrated Asset Management |
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| Designated Respondents: | |
| 1. Tom Ulrich, Teachers' Retirement Allowances Fund of Manitoba | |
| 2. Michael Keenan, Bimcor Inc. | |
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11:15 - 11:45 a.m.
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Group photo (location to be announced) |
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11:45 - 1:00 p.m.
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Lunch in the Tiara Dining Room |
| Session 6: Real Estate | |
| Why REITs? [Download PDF (188K)] | |
| Why is real estate now
a good alternative investment? This presentation will explain what
REITs are and how they operate, illustrating their correlation with
other asset classes. It will also discuss the ways in which REITs
can generate stable, long-term returns, including dividend yields
that are secure and have grown faster than inflation. Reagan Pratt, Heitman Real Estate Investment Management/Integra Global Advisors |
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| Real Estate As An Alternative Asset Class [Download PDF (4.9MB)] | |
| What place does real estate have in
a pension fund asset mix and what types of investment should you look
for in the current economic environment? This presentation will cover
the investment types, sectors, vehicles and services that can help
plan sponsors develop the strategic approach that best fits your needs. Pierre Gamache, CDP Capital Global Asset Management |
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| Designated Respondents: | |
| 1. Wally Hassenrueck, CanWest Global Communications Corp. | |
| 2. Bob Kamp, TELUS Corp. | |
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2:15 - 2:25 p.m.
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Closing Remarks |
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2:25 - 3:30 p.m.
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Closing Reception in the Atrium |