Presentations

Note: The PowerPoint presentations are available as downloadable /pdfs. If you do not have a PDF viewer on your computer you can download Adobe Acrobat Reader here .

Session One: Setting a Risk Management Framework

The Impact of Single Digit Returns on Plan Sponsors
[Download PDF (96 k)]
Given a market climate characterized by single-digit returns, how will plan sponsors continue to control the impact that the pension plan can have on their financial statements? Using a simple framework for financial risk management, the role of various new and old strategies will be examined. The discussion will focus on the linkages between different asset strategies and the financial welfare of the plan sponsor.

Presenter: David Service, Towers Perrin

Governance: A Plan Sponsor Case Study
[Download PDF (212 k)]
Governance is a key factor in the risk management process. Richard McAloney, chief executive officer of the Nova Scotia Association of Health Organizations Pension Plan, will discuss governance issues and share his own experiences.

Presenter: Richard McAloney, NSAHO

Session Two: Examining Money Manager Structure to Manage Risk

Managing Operational Risks from an Investment Manager's Perspective
[Download PDF (56 k)]
With the increasing pace of change in regulations, industry restructuring and technology, investment firms must now focus on the wide variety of operational risks they face. A strong, integrated risk management framework needs to be in place so that operational risk can be proactively measured and managed. In future, clients and consultants will expect firms to be able to demonstrate the use of such frameworks.

Presenter: Alison Warden, Baillie Gifford

Establishing a Framework to Manage Operational Risk
[Download PDF (2.8 MB)]
How does a plan sponsor ascertain the operational strengths and weaknesses of its external managers? The lack of proper risk quantification techniques and a lack of data have made it difficult to model operational risk. This session will focus on identifying a framework to examine and quantify the risk inherent in investment manager organizations. It will also provide plan sponsors and money managers with an introduction to the critical components of the operational risk environment and define the criteria used to evaluate control procedures for the investment management industry.

Presenter: Chris Cockburn, CIBC Mellon

Session Three: Absolute Returns: Fad or Asset Class?

Two Paths in the Road Less Travelled
[Download PDF (180 k)]
This presentation examines the theory and the reality of absolute return strategies as a risk management tool. What has the record been so far and how should absolute return funds be performing in view of expected returns, covariances, and standard deviations? The presentation provides a taxonomy of absolute return funds and ranks funds according to their degree of market exposure in order to give us the good news and the bad news about these strategies.

Presenter: Eric Kirzner, University of Toronto

An Economic Rationale for Long/Short Strategies
[Download PDF (548 k)]
Given recent equity market performance and the prospects for single digit returns in the future, investors are showing more interest in long-short strategies. These are strategies that have little or zero (in the case of a market neutral strategy) market exposure. Why should plan sponsors expect long-short managers to have any better performance? To answer this question we need to analyze the implications of being able to short stocks on a manager's alpha.

Presenter: Harindra de Silva, Analytic Investors

Session Four: Evaluating and Integrating the Absolute Return Class

Beyond Mean Variance: A New World of Risk Management
[Download PDF (324 k)]
The CAPM assumes that returns are normally distributed and correlations are invariant. While these assumptions are debatable, in the world of Absolute Returns the return distributions can vary significantly from normality and the correlations are notoriously volatile. Considerably more advanced techniques are required to manage risk in this environment.

Presenter: Tristram Lett, YMG

Assessing Risk in Individual Strategies
[Download PDF (100 k)]
Examination of a number of high profile situations will be used to illustrate how and why due diligence for alternative asset strategies is a unique and fluid process. Learn how to assess the level of due diligence your organization requires and then select from the variety of tools and techniques presented to ensure that unnecessary risks are eliminated or avoided.

Presenter: Stephen Philp, Scotia Capital

Incorporating Absolute Return Strategies in Individual Portfolio Construction
[Download PDF (196 k)]
Hedge Fund managers utilize a number of strategies and styles. Some styles correlate to a meaningful extent with traditional asset classes while others are more strictly skill-based and correlate little with traditional asset classes or each other. For plan sponsors, low correlations with traditional asset classes offer an opportunity to obtain meaningful improvements in overall portfolio efficiency. In this session, we will examine the portfolio construction issues that arise when building an efficient fund-of-hedge-funds, or funds-of-funds with traditional asset classes.

Presenter: Adrian Hussey, Elliott and Page

Session Five: Trends in Fixed Income

Fixed Income: A Plan Sponsor Experience
[Download PDF - coming soon]
Given a future of single digit returns, what are the implications for fixed income in a plan structure? In this presentation, Laurie Lawson discusses some of the issues involved in developing and implementing an approach to fixed income.

Presenter: Laurie Lawson, University of Toronto Asset Management

Migration Behavior of Long-term Bond Ratings of Canadian Corporate Issuers
[Download PDF (168 k)]
As individual investors and asset managers bear more risk in their bond portfolios, either to achieve higher expected returns or due to a decline in the supply of high quality bond issues, they need a better understanding of how bond ratings migrate over time. Using Canadian data, this presentation examines the migration of bond ratings for Canadian corporate issuers.

Presenter: Lawrence Kryzanowski, Concordia University

Session Six: Using Foreign Exposure to Manage Risk

How to Manage Risk in an International Investment Portfolio
[Download PDF (128 k)]
Investors typically measure risk as the probability of a given loss or the amount that can be lost with a given probability at the end of their investment horizon. This view of risk only considers the result at the end of the investment horizon, whether the horizon lasts for one day, one week, one year, or many years. It ignores what might happen along the way. However, investors care about exposure to loss throughout their investment horizon and not just at its conclusion. This presentation introduces two new risk measures: within horizon probability of loss and continuous value at risk. These new risk measures reveal that exposure to loss is substantially greater than investors normally assume.

Presenter: JF Courville, State Street

Foreign Exchange Risk - Recent Experience from a Canadian Perspective
[Download PDF (124 k)]
What are some of the issues that plan sponsors must consider when developing an approach to foreign exchange risk? In this presentation, Michael Keenan, director of policy and research at BIMCOR, will review recent experience with exchange rate risk from a Canadian perspective and discuss potential implications for the future.

Presenter: Michael Keenan, BIMCOR