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Risk Management Conference 2002
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Will Plan Sponsors
Be Able to Meet Their Liabilities?
Risk Management in Tough Times |
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| Wednesday, August 21st | |
| Golf Day | |
| Welcome - Reception & Registration | |
| Thursday, August 22nd | |
| Opening Session - Asset Allocation and Risk - Back to Basics | |
| Session 2 - The Risk Management Forum - What Are Your Top Risks? | |
| Session 3 - Assessing and Measuring Risk | |
| Session 4 - Is Fixed Income the Solution? | |
| Friday, August 23rd | |
| Session 5 - Manager Style and Risk | |
| Session 6 - Absolute Return Strategies - Where do they fit? | |
| Session 7 - Session Two Survey Results | |
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Wednesday August 21st -
Welcome
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9:00 a.m.
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Golf (shuttle service available to the course) |
| Reception and Registration | |
| Please join us for an informal reception to pick up your registration package and to meet your colleagues. (Upper Casino Verandah) | |
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Thursday August 22nd -
Day One
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7:00 - 8:30 a.m.
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Breakfast in the Passamaquoddy Dining Room |
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8:30 - 8:45 am.
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Opening Remarks |
| Opening Session - Back to Basics: Asset Allocation and Risk | |
| Security Risk and Asset Allocation [Download PDF (116K)] | |
| This session will discuss
achieved returns on equities and bonds in the US and Canada over the
last 75 years. The discussion of these achieved risk premiums will
then consider the uncertainty attached to equity returns and what
this means in terms of meeting return targets with different asset
allocations. Professor Laurence Booth, Rotman School of Management, University of Toronto |
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| Plan Sponsors: What Lies Ahead [Download PDF (416K)] | |
| This presentation examines
the consequences for pension plan sponsors if risk premiums over the
next five to ten years are not those that have been seen historically.
How much more painful could pension plans become for plan sponsors?
How will this be viewed by different stakeholders? David Service, Towers Perrin |
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| Designated Respondents: | |
| 1. Larry Johnson, Abitibi-Consolidated Inc. | |
| 2. Josephine Marks, Maritime Life Assurance Company | |
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10:00 – 10:30 a.m.
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Break |
| Session 2 - Risk Management Forum - What Are Your Top Risks? | |
| Plan Sponsor Panel | |
| A panel of three plan sponsors
will discuss their 5 main risk management challenges in the future,
long- and short-term, and what the possible solutions are. Following
the discussion, delegates will be asked to consider this question
by filling out a survey in groups. Survey results will be shared and
discussed at the end of the conference. Julie Cays, Director, External Managers, HOOPP Mike Keenan, Director, Policy and Research, Bimcor Paul Owens, Plan Manager and CEO, CAAT Pension Plan |
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| Designated Respondents: | |
| 1. Terri Troy, Royal Bank and Royal Trust Pension Plans | |
| 2. Blake Walker, Local Authorities Pension Plan (Edmonton) | |
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11:45 – 1:00 p.m
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Lunch in the Passamaquoddy Dining Room |
| Session 3: Assessing and Measuring Risk | |
| Asset Allocation versus Security Selection: Evidence from Global Markets [Download PDF (104K)] | |
| One of the most debated
investment management issues is the relative importance of asset allocation
and security selection. The overwhelming consensus is that asset allocation
is more important. This presentation argues that many investors have
a false impression of the relative importance of these activities. Sébastien Page, State Street Global Markets |
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| Global Risk Management - A New Approach to Portfolio Management [Download PDF (389K)] | |
| This presentation will provide a pragmatic
demonstration of how a multi-asset class portfolio can be managed
to improve its risk/return performance. Key questions will be addressed
such as “How can benchmark risk be measured?” and “How
much relative risk is adequate for a pension plan?” The presentation
will also show how to manage risk concentration at the total fund
level. Pierre Jetté, CDP Capital |
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| Designated Respondents: | |
| 1. Tom Phelps, Brascan Financial Corporation | |
| 2. Johnny Quigley, Fondation Lucie et André Chagnon | |
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2:15 – 2:45 p.m.
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Break |
| Session 4 - Is Fixed Income the Solution? | |
| The Investment Management Implications of Structural Change in the Canadian Fixed-Income Market [Download PDF (32K)] | |
| This presentation looks
at the investment management impact of various structural changes
on the Canadian fixed-income market and its composition. It will also
detail the increasing difficulties associated with the use of indexing
and rate-anticipation active strategies to add risk-adjusted value
to bond portfolios. An emphasis will be placed on the growing importance
of credit risk analysis in bond portfolio selection and risk management. Professor Lawrence Kryzanowski, Concordia University/Elliott & Page |
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| Credit Derivatives as Risk and Investment Management Tools [Download PDF (603K)] | |
| In the last 5 years we
have seen the emergence of a new class of derivatives: credit derivatives.
These contracts allow banks and corporations to manage their credit
risk, the risk of default by a counter party. Through cooperation
with Moodys and GFInet, the world's largest broker of credit derivatives,
we have created a database that allows us to explore these derivatives
as both risk management tools and investment opportunities. Professor Alan White, Bonham Centre for Finance, University of Toronto |
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| Designated Respondents: | |
| 1. Dr. William Rentz, University of Ottawa | |
| 2. Pierre Drolet, Domtar Inc. | |
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4:00 – 4:15 p.m.
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Wrap-up: Professor Paul Halpern, University of Toronto |
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6:30 p.m.
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Cocktail reception. The Roof Top Garden |
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7:15 p.m.
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Dinner in the Shaughnessy Room |
| Speaker: Frank McKenna | |
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Friday August 23rd - Day
Two
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7:00 - 8:00 a.m.
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Breakfast in the Passamaquoddy Dining Room |
| Session 5 - Manager Style and Risk | |
| Active Management -- Risk Allocation versus Asset Allocation [Download PDF (230K)] | |
| Hedge funds and other actively
managed strategies contain two fundamental sources of risk-systematic
and active. However, the conventional asset allocation approach employed
by most plan sponsors and consultants fails to integrate these two
sources of risk. This presentation will propose a risk allocation
framework that focuses on risk exposures instead of asset class exposures. Harindra de Silva, Analytic Investors/Integra Global Advisors |
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| What Style is Your International Equity Portfolio? [Download PDF (80K)] | |
| Style investing helps plan sponsors
to effectively build and monitor manager mixes. Monitoring style risk
at the plan level is the responsibility of the sponsor, with the help
of their consultant. During the selection process, plan sponsors can
also look for certain characteristics, depending on how they wish
to build a multi-manager portfolio. This presentation will explore
the various sources of risk in a portfolio and highlight what plan
sponsors need to be aware of when building a manager structure. Ravi Mantha, Fidelity Investments |
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| Style: Not just the latest investment fashion [Download PDF (759K)] | |
| In recent years growth and value style
biases have had an increasing impact on international portfolio risk
and returns. This presentation will outline growth and value philosophy
and review the performance of these styles internationally over time.
It will also discuss how index providers are looking to develop better
measures of growth and value and consider the implications for appropriate
style strategies. Mike Brooks, Baillie Gifford |
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| Designated Respondents: | |
| 1. James Donegan, Ontario Municipal Employees Retirement System | |
| 2. Philip Falls, IWA Forest Industry Pension Plan | |
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9:30 - 10:00 a.m.
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Break and speaker photos |
| Session 6 - Absolute Return Strategies: Where do they fit? | |
| Risk Assessments of Absolute Return Strategies [Download PDF (190K)] | |
| Risk measures should be able to confirm
that the overall objectives of an investment in hedge funds are being
met. This presentation will highlight the issues, explain how they
arise and present solutions to help plan sponsors properly assess
their absolute return strategy from a risk perspective. Andrew Lapkin, Measurisk/CIBC Mellon |
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| Accessing Absolute Return Strategies [Download PDF (95K)] | |
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When considering an investment that utilizes absolute return strategies, institutional
investors should be aware of the different ways in which such strategies can be
accessed and combined with other investment objectives. This presentation will
provide an overview of how to access this asset class and will highlight some
of the legal issues involved in the process. Gary Ostoich, McMillan Binch/Scotia Capital |
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| From Alpha to Omega [Download PDF (259K)] | |
| The Omega function is a
new tool for financial performance analysis. It captures all of the
higher moment information in a returns distribution and incorporates
sensitivity to return levels. The presentation will include the intuition
behind Omega, its implications for fund management and examples taken
from real fund data. Dr. William F. Shadwick, Finance Development Centre, London/YMG Capital Management |
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| Designated Respondents: | |
| 1. Claire Kyle, Bank of Montreal | |
| 2. Elizabeth Vandenberg, Province of Nova Scotia | |
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11:30 - 12 noon
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Group photo (location to be announced) |
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12:00 - 1:00 p.m.
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Lunch in the Passamaquoddy Dining Room |
| Session 7 - Session Two Survey Results | |
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1:30 - 1:45 p.m.
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Wrap-up: Paul Halpern, University of Toronto |
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1:45 - 1:50 p.m.
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Closing Remarks |
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1:50 - 3:00 p.m.
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Closing Reception |