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9th Annual Global Investment Conference
"Is it time for Canadian pension funds to move to a fully global portfolio?"
April 14-16, 2004 • Whistler, British Columbia

Dress for the conference is business casual. Dinner on Thursday evening is business attire.
All sessions will be held in the Empress Room.

Please note: The PowerPoint presentations will be available as downloadable PDFs one week before the conference. If you do not have a PDF viewer on your computer you can download Adobe Acrobat Reader here.

Wednesday, April 14 - Welcome >>
3:00 - 5:00 p.m. 5:30 - 6:00 p.m. 6:00 - 8:30 p.m.	Open registration - Frontenac Windows Presentation rehearsals in the Empress Room. Please join us for an informal reception and buffet dinner at Monks Steakhouse and Bar, located directly beside the Chateau Whistler.
Thursday, April 15 - Day One >>
7:00 - 8:00 a.m. 8:00 - 8:15 am. 8:15 - 9:00 a.m.	Breakfast in the Wildflower Restaurant Opening Remarks Session One - Keynote Speech Growing Pains: Emerging Markets in Asia [Download Presentation (1.9MB)] This keynote will focus on two major issues: firstly, the emergence of the Asian economies and their integration into the global economy, including a review of economic and financial developments in the region and their spillover effects in other regions and markets; and secondly, major issues concerning exchange rates, such as the risks associated with large, unexpected movements. John Murray, Bank of Canada
9:00 - 9:15 a.m. 9:15 - 10:30 a.m.	Break Session Two – Why Should Pension Funds Consider a ‘Global’ Portfolio? This session will present recent research on global portfolios. Is there an ‘optimal portfolio’ for Canadian pension funds? This session may also include a discussion on the ‘global risk premium.’ The Impact of Macroeconomic and Financial Variables on Market Risk: Evidence from International Equity Returns [Download Presentation (0.4MB)] This presentation will examine the time and cross-sectional variation in the world and foreign exchange exposures (betas), and in the risk-adjusted excess returns (alphas), of country equity indexes. These results are consistent with economic theory, and as a result may be used to predict changes in the risk of equity index returns. John Wald, Rutgers University Why Pension Funds Should Consider a Global Portfolio [Download Presentation (0.8MB)] Canadian funds operate under a number of constraints, most notably the 30% foreign content cap. This presentation will present a non-Canadian perspective on the benefits of foreign diversification, including a review of the optimal utilization of global equity in a Canadian portfolio. The outlook for non-Canadian and Canadian equities will be discussed, and the risks and potential returns assessed. John Chisholm, Acadian Asset Management/Integra Global Advisors Designated Respondents: 1. Emilian Groch, Alberta Teachers' Retirement Fund Board 2. Michel Lizée, Université de Québec à Montréal
10:30 - 11:00 a.m. 11:00 - 12:15 p.m.	Coffee break and speaker photos Session Three – Options for Moving to a Global Portfolio How can pension funds structure a global portfolio? Strategies for ‘going global’ will be discussed, including management structure, style-based vs. regional, currency management, mandate issues, benchmarking, foreign content rule, market correlations. Going Global From the Ground Up [Download Presentation (1.1MB)] Economies throughout the world have become more interdependent, with multinational companies competing in many local markets globally. It is more important where and how companies do business than where they are headquartered and which market is their primary listing. As such, bottom-up security selection and sector and industry analysis will continue to lead global investment decisions. John Reinsberg, Lazard Asset Management Options for Moving to a Truly Global Portfolio [Download Presentation (0.4MB)] Economic globalization and cross border trade has created an opportunity that pension funds and their managers should exploit in the search for returns, but how? We will discuss the foreign content rule and the role of benchmarks versus a total return portfolio. We will also explore “country effect” which, even in a world dominated by stock pickers, cannot be ignored. Peter Harrison, JPMorgan Fleming Designated respondents: 1. Laurence Waring, Alberta Revenue 2. Ladis Vegh, ATCO Group
12:15 - 1:30 p.m. 1:30 - 3:00 p.m.	Group photo followed by lunch in the Wildflower Restaurant Session Four – Currency and Foreign Exchange What are the key currency management issues of a global portfolio? Currency Management: The Key to Performance [Download Presentation (0.5MB)] Currency movements have dominated the investment landscape over the past year, and will likely continue to do so. This presentation will address three key questions: how will the currency environment change for Canadian plan sponsors? What will be the impact on portfolio return and risk? Should—and can—anything be done about it? Maxime Tessier, TAL Global Asset Management The Case for Active Currency [Download Presentation (0.7MB)] Currency movements can have a large effect on the returns of international investments, yet many investors fail to consider currency issues when they plan their investment strategies. We will discuss common strategies and rationales for currency management as a way to both enhance returns and reduce risk. Richard Meese, Barclays Global Investors Asymmetric Exchange Rate Exposure [Download Presentation (0.2MB)] To date, the identification of significant foreign exchange exposures has been met with limited success. This presentation will summarize the past and current approaches to estimating foreign exchange exposure; elaborate on reasons for asymmetric exposure over appreciation-depreciation periods; and present an investigation of asymmetries for nine sectors across four countries. Anna Martin, Fairfield University Designated respondents: 1. John Sinclair, New Brunswick Investment Management Corporation 2. Gary Tramer, Saskatchewan Healthcare Employees' Pension Plan
6:00 p.m. 7:00 p.m.	Cocktail Reception in the Frontenac Foyer Dinner - Frontenac Ballroom
Friday, April 16 - Day Two >>
7:00 - 8:00 a.m. 8:00 - 9:30 a.m.	Breakfast in the Wildflower Restaurant Session Five – The Risks of Going Global What unique investment risks emerge when a pension fund adopts a global portfolio? How can these risks be mitigated? Is Your Cash at Risk? [Download Presentation (0.8MB)] Sudden and dramatic declines in credit quality can pose a serious risk for the short-term investor, and a recognized name is no guarantee of creditworthiness. Cash management in a global framework demands low-risk, low-cost alternatives to traditional money market vehicles, some of which will be explored in this presentation. Fred Francis, RBC Global Services Emerging Markets Risks for Canadian Pension Plans [Download Presentation (0.5MB)] For Canadian pension plans operating with a limited amount of non-Canadian assets, the primary risk posed by emerging markets is ensuring enough exposure. This presentation will explain how the diversification benefits offered by emerging markets can be compromised by modest market capitalization and the manager strategies used to access these markets. C. Hayes Miller, Baring Asset Management Higher Moments [Download Presentation (1.0MB)] Investors are now including assets whose returns are not normally distributed, such as hedge funds, in their portfolios. This presentation will address the issue of using mean-variance optimization to determine efficient asset exposures in portfolios that include such non-traditional assets. Mark Kritzman, Windham Capital Management/State Street Global Markets Designated respondents: 1. Bruce Grantier, Scotiabank 2. Diane Fulton, University of British Columbia Faculty Pension Plan
9:30 - 10:00 a.m. 10:00 - 11:15 a.m.	Coffee break Session Six – Country Spotlight—China & India What are the demographic/political/economic forces at work that are helping to redefine China and India, and their roles in the global economy? How can institutional investors gain from their economic growth? How might the emergence of the two nations as economic powers influence other countries/sectors within the Pacific Rim, and the rest of the world? Do Bulls and Bears Swim Across Oceans? Market Information Transmittal Between Greater China and the Rest of the World [Download Presentation (0.5MB)] This presentation will investigate returns and volatility transmission across China’s four emerging stock markets and compare them with three developed international markets: Tokyo, London and New York. The findings are taken from a research paper that found correlation between overnight returns on Chinese stock exchanges, and the daytime returns of the three international exchanges mentioned. Steven Wang, Hong Kong Polytechnical Institute China and India: Twin Pillars of Asian Growth [Download Presentation (0.4MB)] On the surface, China and India look similar in terms of growth prospects and investment opportunity. But underneath, the countries are very different in terms of what may drive that growth, and what challenges each face. The discussion will compare and contrast the two countries and provide insights into each as an investment opportunity and risks that investors need to be wary of. Prem Manjooran, Capital International Research Inc. Designated respondents: 1. Helen Bain, Air Canada 2. Tom Palameta, DaimlerChrysler Canada Inc.
11:15 - 11:30 a.m. 11:30 - 12:15 p.m.	Break Session Seven – Fixed Income: A Global Case Study What pension funds are leaders in going global? We offer practical examples of funds that have global portfolios, and their experience with them so far. Where have they invested? How have they managed currency and risk? The Role of Global Bonds in Managing Your Fund in this Challenging Environment [Download Presentation (1.4MB)] The collapse of the Internet bubble and the concurrent drop in interest rates contributed to a dramatic and adverse change in the funded status of many pension plans. This presentation will present a case study on how a global bond portfolio, managed against a client-specific liability base benchmark, helped reduce surplus volatility and long-term pension funding costs. Ivan Rudolph-Shabinsky, AllianceBernstein Designated respondent: 1. Denis Larose, Colleges of Applied Arts and Technology Pension Plan
12:15 - 1:45 p.m.	‘Going Global’ Crossfire Interactive Session/Working Lunch [Download the Powerpoint slides (76KB)] A chance for plan sponsors and service providers to field questions and provide answers/comments about issues surrounding whether or not Canadian pension funds should adopt a global portfolio.
2:15 - 2:30 p.m. 4:00 – 6:00 p.m.	Closing remarks Closing reception