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10th Annual
Global Investment Conference
"Ten
Years After: Building a fully global pension portfolio."
April 6-9, 2005 •
Whistler, British Columbia
Dress for the conference is business casual.
Dinner on Thursday evening is business attire.
All sessions will be held in the Frontenac
Ballroom C.
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Wednesday,
April 6, 2005
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4:30 p.m.-5:30 p.m.
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Speaker presentation rehearsals – Frontenac Ballroom C
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5:30 p.m.-8:30 p.m.
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Registration
and Opening Reception: Tenth Anniversary Olympic Ceremony at the
Macdonald Ballroom E & F
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Thursday, April 7, 2005
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7:00 a.m.-8:00 a.m.
8:00 a.m.-8:15 a.m.
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Breakfast in the Portobello Restaurant
Opening Remarks
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8:15 a.m.-9:00 a.m.
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Session One: Keynote presentation
The Miracle of
Chinese Growth: Implications for Institutional Investors
[Download
Presentation (790KB)]
Tracing the underlying trends resulting in the high
rates of macro-economic growth in China, this presentation will
dispense with the myth of Chinese immunity from business cycles or
risks. It also discuss the implications of Chinese growth for global commodity
markets and for certain vulnerable sectors in Western economies, and
review why investing in China
is still difficult for the outside investor.
Howard Balloch,
former Canadian ambassador to China and chair of the Canada-China
Business Council
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9:00 a.m.-9:15 a.m.
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Coffee
Break
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9:15
a.m.-10:45 a.m.
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Session Two: Global risks, global opportunities
Fear and
Greed: Cycles of Risk Tolerance in Global Markets
[Download
Presentation (2,218KB)]
Roughly two years have passed since global equity markets bottomed, and
equities have rebounded dramatically. While the environment has clearly
improved, the indiscriminate nature of the rally, the strong
correlation across markets and the outperformance
of the riskiest parts of the capital markets imply that much of the
rally was liquidity-driven. Many strategies currently being employed
implicitly depend on a sustained period of low equity volatility but
signs of corporate managers becoming more aggressive in using their
built-up cash may lead to more leverage and greater equity volatility.
Patrick Ryan, Lazard
Asset Management
Embracing
Risk in Global Markets
[Download
Presentation (779KB)]
Increasingly, Canadian pension plans are choosing to allocate their
investment dollars beyond Canada’s
borders--often in non-traditional asset classes. While these new forays
present opportunities for enhanced returns, they also present a host of
new challenges for managing risk. This presentation will review several
key risk management methods of the recent past, and explore the burning
question: Where do we go from here?
Andrew Waters, RBC Global
Services
Global Growth
Opportunities and Market Integration
[Download
Presentation (585KB)]
Viewing each country’s growth potential as the growth potential
of its mix of industries has led to an exogenous growth opportunity
measure for different countries which employs price-earnings ratio
information from world market equity data. This presentation will show
that this measure indeed predicts growth, even in emerging markets. By
simultaneously using local and global PE ratios, the paper provides a
novel test of both market integration and market segmentation.
Stephan Siegel, Columbia University
Designated Respondents:
1. Louise Koza
2. Gerry Wahl
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10:45 a.m.-11:15 a.m.
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Break
and Speaker Photos
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11:15
a.m.-12:30 p.m.
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Session Three: Asset allocation in a global context
Capitalizing
on Alpha Strategies to Reach a New Frontier
[Download
Presentation (994KB)]
Institutional investors are increasingly vulnerable when returns fail
to meet expectations. Globalization, along with the end of a declining interest
rate environment, and other fundamental and broad-based forces are
reshaping financial markets. This evolution means we must take a
different approach to asset allocation, exposing various sources of
return in our search for alternative ways to deliver value.
Luc de la Durantaye,
TAL Global Asset Management
GTAA Portable
Alpha Overlays: Philosophy and Process
[Download
Presentation (228KB)]
In the next 15 years markets are expected to give low, volatile total
returns. Portable alpha has conceptual appeal in such markets, but
implementation is difficult. Overlay portable alpha strategies have
straight-forward implementation. A global asset allocation overlay, for
instance, exploits global market inefficiencies without
“beta” risk. In this talk we will examine future market
characteristics, and implementing GTAA overlay to cope.
Ed Peters, Integra Global
Advisors/PanAgora Asset Management
Designated Respondents:
1. Julie Cays
2. Claire Kyle
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12:30 p.m.-1:45 p.m.
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Group
photo followed by lunch in the Wildflower Restaurant
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1:45
p.m.-3:00 p.m.
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Session Four: Spotlight: Asia
Japan: The
Turnaround is Real
[Download
Presentation (875KB)]
Japan is again
a major focal point in the minds of global investors. After hitting a
20-year low in April 2003, the Japanese equity market has been on an
upward trend, helped by export strength, improving corporate
profitability and robust foreign investor inflows. Many investors are
now debating whether the “turnaround” will be a short-lived
cyclical upswing or the beginning of a longer-term trend.
Chris Ryder, Capital Guardian
China: Is the World Really Prepared?
[Download
Presentation (696KB)]
For more than a century, China
has conjured dreams of a seemingly endless market for Western goods.
Recent rapid economic expansion has brought that dream closer to
reality. While today firms around the world are reaping the benefits of
this growth, Chinese companies will become more competitive. This will lead
to more investment challenges as well as opportunities in the future.
Scott Wallace, AllianceBernstein/Alliance Capital
Designated Respondents:
1. Dan Foster
2. Stephen Steele
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3:00
p.m.-3:15 p.m.
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Break
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3:15
p.m.-4:30 p.m.
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Session Five:
Global debt and currency assets
Quantitative
Bond Management in a Global Marketplace
[Download
Presentation (750KB)]
Bond yields are at an all-time low, credit spreads have narrowed
significantly and the corporate bond sector has increased in size and
breadth. There will be less opportunity to add value through
traditional methods. With this as a backdrop, quantitative techniques
that have been prevalent in the equity market for many years will be
discussed in managing global fixed income portfolios.
Rajiv Silgardo,
Barclays Global Investors
Information Trading in
Foreign Exchange Markets
[Download
Presentation (659KB)]
Traditional research on foreign exchange views the vast volume of
trading in financial markets as unimportant for the determination of
exchange rates. This view has not produced much empirical success in
understanding the dynamics of foreign exchange returns. By contrast, a
new literature that focuses on FX trading has had much greater
empirical success. This presentation will feature a brief overview of
this literature and discuss its implications for how exchange rates
behave.
Martin Evans, Georgetown
University/National Bureau of Economic Research
Designated Respondents:
1. John Sinclair
2. Michel Toupin
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4:30
p.m.
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Day One close
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6:30
p.m.-7:00 p.m.
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Cocktail
Reception: Winter Wonderland Gala
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7:00
p.m.-9:30 p.m.
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Dinner in the Macdonald Ballroom A
Dinner Speaker: Nancy Greene Raine
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Friday,
April 8, 2005
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7:00 a.m.-8:30 a.m.
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Breakfast
at the Portobello Restaurant
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8:30 a.m.-9:45 a.m.
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Session Six:
Alpha in a global context
When Is an
Oil Stock Not an Oil Stock?
[Download
Presentation (592KB)]
Over the past 10 years, global investing has evolved from an exercise
of exploring countries and markets around the world to one which some
assume is simply "picking good stocks." This is a gross
oversimplification, and ignores two important sources of alpha: country
and sector. In the modern era of desperately needed alpha, why would
one ignore two-thirds of the opportunity set?
Laurent Halcrow, Baring Asset Management
Re-engineering
Investment Management
[Download Presentation
(603KB)]
The
conventional approach to building portfolios of investments is
inefficient. The usual hierarchy of investment decisions imposes
constraints on active management which are, under most circumstances,
unnecessary and produce mean-variance inefficient portfolios. We
propose a new approach to portfolio design, which eliminates these
harmful constraints and is based on the concept of alpha portability
and an analogous idea, beta portability.
Sebastien Page, State State Global Markets
Designated
Respondents:
1. Janet Greenwood
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9:45 a.m.-10:15 a.m.
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Break
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10:15 a.m.-11:30 a.m.
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Session
Seven: Structuring a global portfolio
Opportunities
Without Borders: Capturing Global Alpha
[Download Presentation
(699KB)]
In a world
where alpha is being hunted relentlessly, a global portfolio provides
the widest opportunity set in which a skilled manager might discover
alpha opportunities. The perfect environment for growing alpha may be a
portfolio of uncorrelated best ideas across a broad list of companies,
unconstrained by artificial restrictions on index weight, country or
the number of securities held.
Howard Williams, JPMorgan Asset Management
The Performance of International Portfolios
[Download
Presentation (126KB)]
U.S. investors'
international equity portfolios achieved a significantly higher Sharpe
ratio than foreign benchmarks. We uncover three potential reasons for
this success: U.S. investors abstained from momentum trading and
instead sold past winners; conditional performance tests provide no
evidence that the superior (unconditional) performance owed to private
information, suggesting that successful exploitation of public
information played a role, and; the documented preference for
cross-listed and well-governed foreign firms appears to have benefited
U.S. investors.
Francis Warnock, University of
Virginia/U.S. Federal Reserve Board
Designated
Respondents:
1. Gayle McDade
2. Tom Palameta
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11:30 a.m.-12:15 p.m.
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Lunch
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12:15 - 1:30 p.m.
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Session Eight:
Plan sponsor panel
The Future
After FPR
With the recent federal budget scrapping the Foreign Property Rule,
what might global investing look like for Canadian pension portfolios
going forward? Will plans rush to embrace the maximum amount of foreign
content, or they find a lower point of equilibrium?
Scott Perkin,
President, Association of Canadian Pension Management,
Terri Troy, Royal Bank of Canada,
Joan Wright, 3M Canada [Download Scott Perkin's Presentation (126KB)]
[Download Terri Troy's Presentation (126KB)]
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1:30 – 2:00 p.m.
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Closing Remarks and Feedback Forms
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2:00 – 3:00 p.m.
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Closing:
Cake and champagne toast
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