8th Annual Risk Management Conference

August 23-25, 2006 • Fairmont Mont Tremblant, Quebec

Conference Agenda

Conference dress is business casual.
Dinner on Thursday is business attire.

THEME: Asset-Liability Risk Management

Day 1 – Wednesday August 23rd
4:00 p.m. – 5:00 p.m.	Speaker Rehearsals in the Mali III Room
6:00 p.m.	Shuttles Leave for Tennis Club from hotel Lobby
6:00 p.m. – 9:00 p.m.	Registration and Opening Reception in Tennis Club

Day 2 – Thursday August 24th

DAY TWO: Revisiting the Foundations of Risk Management
7:00 a.m. – 8:00 a.m.	Breakfast in the Windigo Dining Room
8:00 a.m. – 8:15 a.m.	Opening Remarks
8:15 a.m. – 9:15 a.m.	Session 1: Keynote Address Reconceptualizing Market Risk – New Thoughts on Risk Assessment and Management [Download the presentation] I. Factorization of market risk, meltdown risk, and impossibility of assessing risk; II. Extending the concept of risk to include long-cycle risk; and III. Rethinking the “asset/liability management” debate from scratch—taking into account the economic and moral illegitimacy of many existing liabilities. Presenter: Dr. Horace W. ("Woody") Brock, founder and president, Strategic Economic Decisions Designated Responders: Paul Pugh, senior vice-president, Ontario Municipal Employees Retirement System and Barbara Miazga, treasurer/director pension fund, University of Ottawa
9:15 a.m. – 10:00 a.m.	Session 2: Managing Long-term Risk in a Short-term World [Download the presentation] This presentation will recognize the common "disconnect" – that there is too much focus on returns and too little focus on risk management. Human nature is to focus on short-term, but asset management for long-term liabilities needs long-term focus. Plan governance doesn’t recognize this: In the 1990s, surpluses were spent on reduced contributions and increased benefits. This left plans unprepared for funding deficits of this decade. It wouldn’t be so bad if periods of surplus and deficit alternated every year or so, but they tend to occur in streaks, thus the need for a long-term outlook. Even with the recovery in higher-risk assets used to fund liabilities (i.e., equities), the funding gap has stayed wide because low interest rates have also driven up liability values. This has led some plans to look to hedge funds and immunization as a solution, but there are alternatives which this presentation will explore. Presenter: Leo de Bever, MFC Global Investment Management Designated Responder: Anca Drexler, Managing Director, Investment Operations, Research & Risk OPTrust and John Poos, director, global pensions, Nortel
10:00 a.m. – 10:30 a.m.	Speaker Photos and Coffee Break
10:30 a.m. – 12:00 a.m.4th	Session 3a: Pension Finance Issues [Download the presentation] Plan sponsors are increasingly forced to deal with the impact of their pension subsidiary. Changes to accounting rules and funding regulations are increasingly integrating pension plans into corporate financials. In the public sector, pension plans are causing financial issues for both the employer and employee stakeholders and raise increasing concerns about intergenerational transfer of cost. Plan maturity makes the impact of plan performance more levered for the sponsored organizations. The presentation will set out frameworks that plan sponsors can use to better define the financial objectives, as an integral step in better managing this critical subsidiary. Presenter: David Service, Towers Perrin Session 3b: A Case Study on Pension Risk Management CAAT’s Risk Management Objectives (Julie) [Download the presentation] An overview of some of the challenges that CAAT faces, how management and the Board became convinced of the need for a risk framework and their objectives in implementing such a framework. Pension Risk Management Trends and Barriers (Valter) [Download the presentation] Some pension funds are focusing on liability-driven investment strategies. Other funds are focused on risk budgeting. Some funds, like CAAT, plan to do both. Knowing what to do is not enough because there are significant barriers on the road to pension risk management excellence. Getting the sequence right, however, is a step in the right direction. Presenters: Julie Cays, chief investment officer, CAAT and Valter Viola, president, Holland Park Risk Management Inc. Designated Responder: Daniel Apel, head of Business and Administration Partnering, and chief financial officer, Bayer Inc. and Debera Tomalty, treasurer, IBM Canada Limited
12:00 p.m. – 1:00 p.m.	Group Photos and Lunch
1:00 p.m. – 1:45 p.m.	Session 4: The Role of Hedge Funds: Revisiting Fiduciary Responsibility [Download the presentation] Are Hedge Funds “Weapons of Mass Destruction”?  Les Marton will examine the role of hedge funds in fulfilling fiduciary responsibilities of pension fund sponsors.  He will provide some insight on hedge fund myths and misconceptions and highlight ways in which hedge funds can assist plan sponsors create absolute returns and meet alpha requirements while maintaining their standard of care obligations to the fund. Presenter: Les Marton, managing director, Scotia Capital Designated Responders: Jennifer Grabmann, investment research officer, Nova Scotia Pension Agency and Nikki Keating, senior financial analyst, Bell Aliant
1:45 p.m. – 2:15 p.m.	Coffee Break
2:15 p.m. – 3:00 p.m.	Session 5: Time-weighting vs. Money-weighting – You’re Probably Calculating Your Returns Wrong! [Download the presentation] This session contrasts money- and time-weighted performance. Although many of the attendees will already be somewhat familiar with the differences, they may not have fully grasped why money-weighting is actually the better approach to measure their performance. This session will hopefully prove insightful and serve to challenge your beliefs. Presenter: Dave Spaulding, president, the Spaulding Group Designated Responders: David Long, portfolio manager, Hospitals of Ontario Pension Plan
3:00 p.m. – 3:15 p.m.	Day One Closing Remarks
	Dinner in the Marquis Tent
Day 3 – Friday August 25th
DAY THREE: Tools and Strategies for Asset-Liability Risk Management
7:00 a.m. – 8:00 a.m.	Breakfast in the Windigo Dining Room
8:00 a.m. – 8:15 a.m.	Opening Remarks
8:15 a.m. – 9:45 a.m.	Session 6a: Fixed Income Market Expansion – Is your Fixed Income Manager Ready? [Download the presentation] The investment opportunities within the Canadian fixed income market are expanding rapidly, driven by a combination of regulatory changes, global issuance patterns and growth in securitized market sectors. How will the traditional tools of fixed income management need to be combined with broader research, trading and portfolio construction skills to successfully identify opportunity and measure risk in such a dynamic market environment? Co-Presenters: Andy Windmueller, director, institutional fixed income, Fidelity Investments and David Prothro, portfolio manager, Fidelity Investments Session 6b: Fixed Income and Asset-Liability Risk Management: Are long duration bonds out there? [Download the presentation] Many pension plans are considering or already investing in long duration bonds and strips and real return bonds to hedge liabilities. We’ll discuss the challenges faced when implementing this strategy. Switching from shorter to longer term bonds when rates are low and rising seems to leave money on the table – should that stop you? How concerned should you be about supply and liquidity of long term and real return bonds in Canada? The corporate market in Canada is poorly diversified in the long end. Should a long mandate include credit, or should that be managed another way, e.g. in global markets? Are there alpha opportunities in the long end of the Canadian market? What benchmarks make sense? Presenter: Marlene Puffer, Managing Director, Twist Financial Corp. Session 6c: Global Bonds: Coping with the Expanded Opportunities to Add Alpha While Managing Portfolio Risk [Download the presentation] We will explore global strategies across the risk spectrum and the full array of investment opportunities now being considered by Canadian institutional investors with a particular focus on combining global fixed income with alpha porting strategies to control risk while experiencing a wider opportunity set. This provides practical solutions to overcoming home biased benchmark concerns with a range of strategies for specific investment needs. Presenter: Raman Srivastava, senior vice-president, portfolio construction specialist, Putnam Investments Designated Respondent: Marie Pouliot, pension fund investment manager with the City of Montreal
9:45 a.m. – 10:00 a.m.	Coffee Break
10:00 a.m. – 10:45 a.m.	Session 7: Canada Unbound: Implications for Currency Management [Download the presentation] Historically Canadian investors have not benefited from currency hedging as much as European, Japanese and U.S. investors because currency exposure diversifies the domestic assets of Canadian portfolios. With the removal of the 30% rule, efficiency requires that Canadian investors invest most, if not all, of their portfolios’ assets outside of Canada; hence they should now hedge most of their currency exposure. Presenter: Mark Kritzman, managing partner, Windham Capital Management, LLC Designated Respondants: Bruce Grantier, managing director, Pension Assets, Scotiabank and Martin Bélanger, associate director, Human Resources, University of Western Ontario
10:45 a.m. – 11:30 a.m.	Session 8: American Depositary Receipts [Download the presentation] This presentation will examine the benefits of investing with ADRs. The discussion will include the risks when investing directly in the overseas markets, the advantages of settling in North America and company requirements with respect to their ADR program. Presenter: Julio Lugo, vice-president, Depositary Receipts, The Bank of New York Designated Responders: Joan Wright, manager, pensions and insurance, Alberta Local Authorities Pension Plan and Claire Kyle, senior manager, Bank of Montreal
11:30 a.m. – 12:15 p.m.	Session 9: The Capital Asset Pricing Model: A Practical Evaluation [Download the presentation] The presentation describes the form of the Capital Asset Pricing Model (CAPM) and discusses why it has enjoyed such widespread use. The main implications of the model are explored, as are the practical uses. The evaluation of the model provides details on its advantages and disadvantages, and a few promising alternatives to the CAPM are addressed. Presenter: Jim Davis, vice-president, Dimensional Fund Advisors Inc Designated Responders: Sylvie Charest, vice-president, global pensions and benefits, Manulife Financial and Ted Leonard, director, finance, Independent Electricity System Operator
12:15 p.m. – 1:45 p.m.	Session 10: Interactive Luncheon Session
1:45 p.m. – 2:45 p.m.	Closing Cocktail Reception

Last Updated: Wednesday, August 16, 2006