12:00 p.m.

5:30 - 6:30 p.m.

6:00 - 8:30 p.m.

Golf at the Algonquin Golf Course & Academy

Presentation rehearsals in the Upper Casino room (for speakers only)

Opening reception and buffet dinner at the Roof Top Garden

Breakfast in the Passamaquoddy Dining Room

Opening Remarks

Session One - Keynote speech

An Innovative Foundation for a Sustainable Future
[Download the presentation]
The five-year-old Canada Pension Plan Investment Board has developed a unique and innovative risk management culture focused on its long-term mission. Using a risk management framework anchored on sound investment beliefs, the CPP Investment Board is successfully diversifying the Canada Pension Plan reserve portfolio to ensure the plan's sustainability for future generations.
Valter Viola, CPP Investment Board

Session Two – Big Picture: Valuations and assumptions

The Long and Short of Liabilities
[Download the presentation]
Pension fund assets are intended to provide for the plan's liabilities. This session will discuss the importance of the approaches taken to value liabilities, and how this should influence the structure of the asset side of the balance sheet. It will cover key issues related to plan funding, accounting and investment policy in a risk management framework.
Steve Bonnar, Towers Perrin

Coffee break and speaker photos.

Session Three – Managing assets and liabilities

Pension Fund Investment Strategy: The Optimal Approach for a Well-Structured Portfolio
[Download the presentation]
Determining a pension fund's investment strategy should not be an either/or proposition between an asset-liability matching vs. total return approach. Our analysis shows that plan sponsors have a spectrum of alternatives that can balance the risks and opportunities of both approaches to form a well-structured portfolio for superior long-term performance.
Nelson Wicas, Vanguard Group

Optimizing Total Portfolio Returns with Timber
[Download the presentation]
Historically, timberland investments have generated relatively good returns, with low correlation with most financial assets and real estate. Timberland can greatly improve the risk-efficiency of a large, mixed asset portfolio. Because timberland is a rather obscure asset class, plan sponsors take a relatively long time to make meaningful allocations, and this delay diminishes the potential benefits. Case studies from two Canadian institutions that have invested in timberland—Manulife Financial and Ontario Teachers'—are presented.
Clark Binkley and Leo de Bever, Manulife Financial

Designated Respondents:
1. Eleanor Marshall, Aliant Inc.
2. John McNair, Aurion Capital Management Inc.

11:30 a.m. - 11:50 a.m.

11:50 a.m. - 1:15 p.m.

1:15 p.m. - 2:45 p.m.

Group photo

Lunch in the Shaugnessy Dining Room

Session Four – The alpha vs. beta debate

The Behavioural Challenges of Long-Term Mandates
[Download the presentation]
Portfolios with a long-term horizon and a focus on absolute diversification offer conceptual risk/return benefits over traditional portfolios constructed relative to a market index. However, these portfolios also have higher potential for regret and are therefore not appropriate for many investors. This session discusses these issues and suggests possible ways of addressing the behavioural challenges.
Nick Wood, Baillie Gifford

More Alpha, More Transparency, or Both?
[Download the presentation]
Market volatility plus frequent lack of transparency in active processes lead to an escalating chatter around 'separation of alpha from beta'. This presentation highlights modern approaches that help the pension officer understand the manager's skill (separating alpha from beta) — ranging from information statistics, diversified alpha concepts and multivariate attribution.
Eric Sorensen, Putnam Investments

Risk Management Using Index Futures
[Download the presentation]
This session will focus on how to use futures (for example, Russell index futures) to supply the beta while deploying the underlying cash to alpha strategies. Additionally, the presentation will show how futures can be used to add alpha through tactical asset allocation by using the style-based futures to tilt an existing portfolio to growth or value.
Gary Knapp, New York Board of Trade, for CIBC Mellon

Designated Respondents:
1. John Clarke, Syncrude Canada Ltd.
2. David Long, Hospitals of Ontario Pension Plan

Understanding the Risk of the Pension Portfolio: Public and Private Pension Plans
[Download Alan White's presentation]
[Download Paul Halpern's presentation]
What is the optimum level of funding for a defined benefit plan and what is the optimum investment policy? The answers depend on the nature of the plan, who is responsible for funding the plan, who owns the contributed surplus, and the nature of the tax regime. This session will examine these issues from a risk perspective.
Alan White/Paul Halpern, University of Toronto

Designated Respondent:
Philip Falls, IWA Forest Industry Pension Plan

Close of Day 1

Cocktail reception on the rooftop (weather permitting)

Dinner in the Shaugnessy Dining Room
Speaker Jack Granatstein

Breakfast – Passamaquoddy Dining Room

Session Six – Pension risk management case studies

Role of Risk Budgeting: A mid-sized plan's approach
[Download the presentation]
Portfolio management theory emphasizes both returns and risk. In many smaller plans the primary emphasis is on monitoring returns: there is little focus or understanding of the implications of 'risk'. Why does this situation exist? How does a mid-sized plan become cognizant of risk in their portfolio?
Gerry Wahl, Teck-Cominco

Risk Management at a Large Pension Plan: an overview
[Download the presentation]
Managing asset/liability risk and return in isolation is not sufficient to maintain a Plan's financial health. Providing retirement security tomorrow requires harmony between the actions of all the decision makers. An overview of the important role risk management and budgeting play, as well as a look at the issues that OTPP has tackled recently and will tackle over the next few years will be provided.
Barbara Zvan, Ontario Teachers' Pension Plan Board

Designated Respondents:
1. Andrée Mayrand, University of Montreal Pension Fund
2. Ken Bancroft, Alberta Teachers' Retirement Fund Board

9:15 - 9:30 a.m.

9:30 - 10:45 a.m.

Coffee break

Session Seven – Country spotlight: Canada and investment risks

Finding Direction: Growth, Inflation, Interest Rates, and Canadian Dollar Set to Rise
[Download the presentation]
Are we positioned to catch the next wave of global growth? Can Canada regain G7 growth leadership? Exchange markets will remain volatile, but are we poised for renewed direction? Is the best of the low inflation and low interest rates news really over?
Warren Jestin, Scotia Capital

Canada from a U.S. Investor's Perspective
[Download the presentation]
Plan sponsors have needed to broaden the scope of their risk management activities over the last couple of years. Based on a recent survey of plan sponsors, it is likely that the new area of risk management will take place at the manager level. The introduction of alternative investment strategies has brought with it a new and unfamiliar means of gauging individual manager risk. This session will focus on the understanding and identification of individual manager's alpha risk and how it might be managed within the context of the entire portfolio.
Bob Swanson, Fidelity

Designated Respondents:
1. Claire Kyle, Bank of Montreal
2. Rick McAloney, Nova Scotia Association of Health Organizations Pension Plan

10:45 a.m - 11:00 a.m.

11:00 a.m. - 12:15 p.m.

Coffee break

Session Eight – Managing investment risk at the global level

Innovations in Risk Measurement for Asset Allocation
[Download the presentation]
This session will focus on the practical applications of two innovations in risk measurement: 'regime dependent risk estimation' to identify portfolios that are more resilient to market turbulence, and 'within horizon risk measurement' to evaluate exposure to loss throughout the investment horizon and not just at its conclusion. The presentation will also show how to use risk budgeting to convert efficient portfolio allocations into value at risk assignments.
Sébastien Page, State Street Global Markets

How Global is Your Portfolio?
Investors have long realized the benefits of having a globally diversified portfolio. However, the conventional focus on country allocation can often lead to suboptimal levels of diversification. This is especially true of investors whose ability to invest globally is constrained by local regulations (for example, Canada). Using empirical analysis, we analyze the benefits of recognizing the increased integration of North American and European markets, and the continuing diversification benefits of looking beyond these markets.
Harin de Silva, Integra

Designated Respondents:
1. John Sinclair, New Brunswick Investment Management Corp.
2. Denis Larose, Colleges of Applied Arts and Technology Pension Plan

Session Nine - Crossfire lunch (with closing remarks)

To cap this year's conference, we will open the floor up for questions and comments from plan sponsors and service providers alike--here's your chance to anonymously share your innovative risk strategy with your peers, or ask your clients or investment managers about their take on risk management.

1:45 - 2:00 p.m.

4:30 p.m.

Closing remarks

Closing reception