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Wednesday,
August 24, 2005
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12:00 p.m.
5:00
- 6:00 p.m.
6:00 - 8:30 p.m.
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Golf
at Fairmont Le Manoir Richelieu Golf Club
Speaker Presentation rehearsals in Malbaie
A
Opening Reception on the Garden Terrace
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Thursday,
August 25, 2005
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7:00 - 8:00 a.m.
8:00 - 8:15 a.m.
8:15 - 9:00 a.m.
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Breakfast in the St-Laurent Dining Room
Opening Remarks
Session One – Keynote speech
Derivatives—Sizzle or Sorrow?
[Download the presentation]
Investment
leverage is a double-edged sword: used properly, it can offer pension funds
a chance to enhance returns or synthesize cash flows at a relatively low
cost. Used to excess, it can wreak havoc on a plan's funding gap, inviting
litigation and regulatory problems. A pension plan may already be using
derivatives indirectly by investing in asset-backed securities or hedge
funds that employ futures, options, and swaps. This session will address
"must know" issues for every investment fiduciary.
Presenter: Susan Mangiero, Managing
Member, BVA LLC and Founder, Pension Governance LLC
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9:00 - 9:45 a.m.
9:45 - 10:15 a.m.
10:15 - 12:00 p.m.
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Session Two – Transition Management
Innovations in Risk-Based Research for Transition Management
[Download the presentation]
This session
will examine the ways in which transition management partnerships can
enhance and preserve value. It will pay particular attention to strategies
for navigating global markets and techniques for calculating risk-adjusted
implementation shortfall.
Presenter: Sebastién Page, State Street Associates
Speaker photos and coffee break
Session Three – The Least-Risk Portfolio
Risk allocation within the asset structure
[Download the presentation]
Pension plans
have an increasingly large impact on the financial well-being of plan
sponsors, as external stakeholders become increasingly focussed
on the pension iceberg. Sponsors
struggle to find an appropriate balance between the need to simultaneously
generate returns and control financial risk. This session will outline a framework for
appropriately allocating financial risk across the different investments of
the pension fund.
Presenter: David Service, Towers Perrin
Liability-based investing strategies
[Download the presentation]
Liability-driven investment has become a hot topic in recent years with
investment banks, managers and consultants all pitching in with holistic
investment solutions for pension funds. This session discusses the key
aspects of these solutions and the factors behind the increasing interest
in this area.
Presenter: Mike Brooks, Baillie Gifford
Assessing
credit risk in derivatives
[Download the presentation]
Risk management and risk
capital allocation requires accurate risk measurement. Many fund managers
gain exposure to asset classes and leverage through total return swaps.
This talk will focus on these products and how to measure the credit risk implict in these bilateral contracts. We will review
both how to calculate the "deemed risk" or loan equivalent
exposure for a TRS, and the effective rating / expected loss in secured and
unsecured transactions.
As a particular case, we will review total return swaps linked to
portfolios of bonds and loans, as well as total return swaps linked to
portfolios of hedge funds.
Presenter: Daniel Moore, Scotia Capital
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12:00
- 1:00 p.m.
1:00 - 2:15 p.m.
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Lunch in Bistro Le Bellerive
Session Four – Risk Aware Practices and
Procedures, Part 1
Risk Adjusted Returns and Securities Lending
[Download the presentation]
Plan sponsors can now use risk adjusted returns to more accurately assess
the performance of their securities lending program thanks to improvements
in risk methodologies, investments in technology and regulatory initiatives
like Basel II. This presentation will describe how advances in performance
measurement and risk assessment can be applied to your program.
Presenter: James Slater, senior vice-president, capital markets,
CIBC Mellon
Risk and Seasonal Effects
[Download the presentation]
SAD is an
extensively documented medical condition whereby the shortness of the days
in fall and winter leads to depression for many people. Experimental
research in psychology and economics indicates that depression, in turn,
causes heightened risk aversion. Building on these links between the length
of day, depression, and risk aversion, we provide international evidence
that stock market returns vary seasonally with the length of the day, a
result we call the SAD effect.
Presenter: Mark Kamstra, York University
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2:15 - 3:30 p.m.
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Session Five – Risk Aware
Practices and Procedures, Part 2
Managing Hedge Fund Risk – The Quest for
Institutional Quality
[Download the presentation]
While
allocations to hedge funds by institutional investors have been on the
rise, the impact of hedge funds on overall portfolio risk and return has
not been well understood. This presentation explains why measuring the
potential contribution of hedge fund exposures is only possible with
“institutional quality” hedge funds and how institutional
quality hedge funds can be incorporated into the portfolio.
Presenter: Fred Dopfel, Barclays Global
Investors
Living on a Risk Budget
[Download the presentation]
This presentation offers some perspective on the high
cost of retirement, and offers insight as to how to effectively manage risk
and improve our budget consciousness in order to ensure pension plans can
deliver on their retirement promise.
Presenter: Leo de Bever, MFC
Global Investment Management
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3:30 - 3:45 p.m.
3:45 - 4:30 p.m.
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Break
Session Six - The FPR and Risk
Managing Risk Across Borders
[Download the presentation]
This
presentation will review the different types of risks in cross-border
portfolios-stock specific risk versus sector risk versus country (currency)
risk-to incorporate emerging market portfolios, where macro risk seems to
be greater than in developed market portfolios.
Presenter: Patrick Ryan, Lazard Asset
Management
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4:30 - 4:45
p.m.
6:00
- 7:00 p.m.
7:00 p.m.
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Day One Closing Remarks
Cocktails at the Garden Terrace
Dinner in the Richelieu Ballroom B
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Friday,
August 26, 2005
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7:30
- 8:15 a.m.
8:15 - 8:30 a.m.
8:30 - 9:45 a.m.
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Breakfast in the St-Laurent Dining Room
Opening Remarks
Session Seven – The Future of DB Plans
Moderator: Phil Evans, Lincluden Investment
Management
Funding of Defined Benefit Pension Plans – Time for Change
[Download the presentation]
If defined benefit
(DB) pension plans are to continue to play an important role in
Canada’s retirement income system, significant change is needed to
improve the financial management and health of these plans. Recognizing
this need for change, the ACPM’s Advocacy
and Government Relations Committee commissioned a report to look
specifically at the challenges around funding of DB plans. This
presentation will examine the key issues facing DB plans and review the
recommendations put forward in the report.
Presenter: Scott Perkin, President,
Association of Canadian Pension Management (ACPM)
DB Fund Dynamics
[Download the presentation]
This session
will explore some of the dynamics a pension fund faces as a result of
investment return uncertainty. We have created a simulation to model the
behavior and management of a typical fund. The primary simplification in
the simulation is to remove all uncertainty except the uncertainty about
investment returns. These simplifications may seem to all the interesting
elements of running a pension plan and yet we will find out that there are
interesting things to be learned from studying the impact of our single
source of uncertainty. The main conclusion is that it appears that defined
benefit pension plans probably cannot succeed.
Presenter: Alan White, University of Toronto
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9:45 - 10:00 a.m.
10:00
- 11:15 a.m.
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Break
Session Eight – Downsides and Diversification
Downside Risk
[Download the presentation]
Economists
have long recognized that investors care differently about downside losses
versus upside gains. Agents who place greater weight on the downside risk
than they attach to upside movements demand additional compensation for
holding assets with high sensitivity to downside market movements. We show
that the cross-section of stock returns reflects a premium for downside
risk and estimate that the downside risk premium is approximately 6% per
annum.
Presenter: Andrew Ang, Columbia University
Improving Portfolio Risk and Return with International Small Cap Equities
[Download the presentation]
International
small cap equities have emerged as an independent asset class over the last
decade. We review the potential for using a strategic international small
cap equity allocation to increase portfolio return opportunities and
maintain risk diversification against a backdrop of increased globalization
among larger cap equities.
Presenter: Rob Feldman, Fidelity Investments
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11:15 a.m. - 1:15 p.m.
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Session Nine – Interactive Session and Working Lunch
Securities Regulators Concerned with Risk Management Reform
Best practices
in Risk Management will be submitted before a mock panel of securities
regulatory bodies about best practices in risk management.
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1:15 p.m. - 1:30 p.m.
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Closing Remarks and Feedback Forms
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1:30 p.m.
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Closing
reception in the Tea Room
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