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  • 1. monitoring all of MIT’s hedge fund managers. Kathryn holds a PhD from Global ARC 2007 Yale University. Charles Woodhouse, Head of Alpha Investments, Queensland Investment Corporation – Australia www.global-arc.net A Government owned corporation, QIC invests AUD 50 billion (USD 42 billion) for the Queensland Government and its superannuation schemes. As Head of Alpha Investments for QIC, Charles Woodhouse is Program updated October 11th 2007 responsible for independently assessing current and future active return (alpha) strategies across QIC's internal management capabilities and external managers. He and his team also provide research and support portfolio construction recommendations to QIC's Alpha Committee. Wednesday 17th October 2007 Charles was previously a Principal at Stonebridge Capital Management in California for over 11 years where he held a number of roles including Director of Research and Portfolio Manager. 7.30am Welcome address on behalf of AIMA 8.20am Panel: Hedge fund portfolio construction: the Phil Schmitt, Chairman, Alternative Investment Management Association – Canada institutional investor perspective. Active in 46 countries, AIMA is the world’s leading not-for-profit Trustees new to hedge funds often tend to view them as alternative investments association. Phil Schmitt is a leading Canadian homogeneous investment vehicles or a distinct asset class. By hedge fund executive with more than 25 years experience in the implication, hedge funds are regarded commonly as return investment industry. Phil was elected as Chair of AIMA Canada in enhancement products and not differentiated strategies. More October 2006. Phil is President and CEO of Summerwood Group Inc., experienced investors tend to argue that a more multi-faceted previous to which he was President of Polar Securities. approach is required. In the context of portfolio construction, hedge fund portfolios should be viewed discretely according to their different components and objectives, uncorrelated return streams, 7.35am Chair of morning session and the benefits they may offer in balancing downside risk and protection within traditional asset classes. Giovanni Beliossi, Chair of the Investor Risk Committee International Association of Financial Engineers – UK Our panelists will examine how this deconstruction can best be Giovanni Beliossi co-chairs the Investor Risk Committee (IRC) of the achieved, and whether this should influence the structure of the staff International Association of Financial Engineers (IAFE); IAFE is a non- allocated to monitor hedge fund investments. For example, does the profit research organisation which benefits from work and contribution by creation of a dedicated internal hedge fund specialist or specialist prominent institutional investors; specifically the IRC promotes work and team within the investor organization only serve to reinforce trustees’ research on valuation and risk management in traditional and alternative tendency to lump hedge fund together? If so, what are the pros and assets for institutions. Giovanni is Managing Partner of the hedge fund cons of distributing the different hedge fund strategies amongst pre- FGS Capital LLP. Prior to FGS, he was with First Quadrant and was a existing asset classes’ internal teams or specialists (e.g. low volatility tenured Research Fellow with the Economics Department of the fixed income based hedge fund strategies allocated to the pre University of Bologna in Italy. existing fixed income specialist, or illiquid hedge fund strategies to the pre-existing private equity specialists(s) etc.) Dominic Garcia, Deputy Director of Investments, New Mexico Public Employees Retirement Association – How To Handle Hedge Funds USA Dominic Garcia is the Deputy Director of Investments for the USD 13 billion New Mexico Public Employees Retirement Association (PERA). In 7.40am Panel: “Strategic asset allocation is going to be the summer of 2006, PERA adopted a plan to invest 15% of its assets in the most important determinant of your institutions alternative asset classes. Since then, Dominic has overseen the performance in the hedge fund space. Yet in many ways implementation, selection, and monitoring of all of PERA’s alternative it gets the least discussion.” Discuss. allocations, including its 5% allocation to direct hedge fund managers. Peter Jarvis, Chief Investment Officer, Henrik Franck, Chief Investment Officer, BIMCOR (Bell Canada Pension Plan) – Canada PFA Pension Fund – Denmark BIMCOR manages CAD 13 billion (USD 13 billion) in assets on behalf of With over Euro 30 billion (USD 40 billion) in assets and approximately employees of Bell Canada. Previous to joining BIMCOR, Peter Jarvis one million members PFA is one of Denmark’s largest pension funds. was a Vice President Strategic Research & Investment Risk Prior to becoming Chief Investment Officer of PFA Pension, Henrik Management at OMERS responsible for asset allocation, risk Frank was Chief Investment Officer at the Danish Lawyers and management, policy and compliance and new product introduction. Peter Economists Pension Plan and before that Chief investment Officer of is a CFA and past president of the Toronto Society of Financial Analysts. BankInvest. Henrik holds a Master's degree from Tufts University’s Fletcher School of Law & Diplomacy. Kathryn Crecelius, Chief Investment Officer, Johns Hopkins University Endowment – USA Sindo Oliveros, Director, Kathryn Crecelius is Chief Investment Officer of Johns Hopkins World Bank Pension Plan – USA University’s USD 2.5 billion endowment. Previous to Johns Hopkins, Gumersindo Oliveros is Director of the World Bank Pension Plan. The Kathryn served as Managing Director of Marketable Alternative World Bank Pension Plan manages approximately USD 12 billion in Investments for Massachusetts Institute of Technology’s Endowment assets on behalf of employees of the World Bank and has been investing and Retirement Plan, where she was responsible for hiring and in hedge funds since the late 80s. Previous to The World Bank, 1
  • 2. Gumersindo taught macroeconomics at the University of Minnesota and managed institutional size assets for private family fortunes. In 1996, worked at the International Monetary Fund. Jeffrey founded Altvest, one of the hedge fund industry’s largest databases and analytic systems. Altvest was sold to InvestorForce in 2000. The Alpha Hunt Is On Rod Barker, Director, RAB Capital – UK Founded in 1999, RAB Capital PLC has grown into a global absolute 9.00am Generating alpha in a period of growing return asset management firm with USD6.7 billion of assets under systematic risks. management, managing a diverse array of hedge fund strategies. Rod Barker is director and a member of the executive board of RAB Capital The current market environment presents many challenges to plc as well as chair of RAB’s independent risk management committee. institutional investors seeking absolute returns. Building a good He joined RAB in 2005. Prior to joining RAB, Rod was a managing alpha portfolio will require that investors have a thorough director of Credit Suisse First Boston and before that a managing understanding of the risks involved. Expected returns are low across director of Morgan Stanley. asset classes, and many absolute return managers have leveraged up substantially to meet their return targets. Many of these strategies Stephen Harper, Chief Executive Officer, have a significant systematic risk component, which may reduce Strathmore Capital – UK diversification in particular market environments’. In this discussion, Strathmore Capital is a London based firm investing in European we explore hedge fund managers' systematic biases, their effect on alternative investments on behalf of institutional investors. Prior to the current market environment, and what investors can do to founding Strathmore Capital in 2003, Stephen Harper was Chief protect themselves. Operating Officer of a European hedge fund. Previously, he was a James L. Haskel, Director of Portfolio Strategy, partner of Bankers Trust, where he held various positions including Bridgewater Associates – USA president of BT Bank of Canada and Chief Operating Officer of Global In addition to selected research responsibilities, Jim Haskel is one of the Risk Management. research department’s conduits to the firm’s clients and prospects, explaining the rationale behind Bridgewater’s portfolio positions, advising 10.10am Morning Coffee on portfolio structuring, and describing how Bridgewater’s strategies work. Before joining Bridgewater, Jim worked at Goldman Sachs both as a Fixed-Income Portfolio Manager and a Senior Investment Strategist. 10.35am Portable alpha and the new pension regime. With the changes in accounting and pension regulatory standards sweeping major developed markets and a greater awareness by the 9.30am Panel: The diversification implosion: has alpha “C-suite” for their risk taking appetite relative to their liabilities, many been ‘squeezed out’ of the market? plans are asking themselves what the new “60/40” is and how do Investors’ expectations of returns from hedge funds are more they get there. This session will introduce a roadmap of how to best modest than in years’ past. Their move into hedge funds is move to a new portfolio structure, with particular focus on the key increasingly driven by the desire for diversification of returns, with role played by the mechanics of portable alpha. uncorrelated return streams, rather than significant out performance. Stephen Foote, Vice President, In such a context, the increasing correlation of returns, itself a product of the growing commonality of many firms position is a Northwater – Canada cause of grave concern to investors. Stephen Foote is a Vice President at Northwater Capital Management Inc., an employee owned company with offices in New York, London and Is this convergence a temporary phenomenon or does it threaten to Toronto. It seeks low-cost market exposure (beta) through a variety of undermine the raison d'être for investing in hedge funds: derivative-based investment products and high-quality, diversified alpha uncorrelated alpha? Does the speed and abundance of market data through its market-neutral fund of hedge funds. Northwater currently has in today’s economy render investors expectations of sustained alpha assets under management of over USD 9.2 billion, including USD 4.4 obsolete? Is the answer to find managers who make alpha bets that billion in its market-neutral fund of hedge funds, most of which is used in are qualitatively different than everybody else? If so, how do you portable alpha structures isolate such managers? Larry Kochard, Chief Investment Officer, Georgetown University Endowment – USA 11.05am Beyond ‘one size fits all’ alpha solutions: a case In addition to serving as CIO at Georgetown, Larry Kochard teaches study. investment courses for the McDonough School of Business at This case study we will examine how San Bernadino County Georgetown. Previously, Larry was Managing Director of Equity and Employees Retirement Association (SBCERA) and their hedge fund Hedge Fund Investments for the Virginia Retirement System and Adjunct alpha partner successfully worked together to craft an alpha product Professor of Finance for the McIntire School of Commerce at the that satisfied SBCERA’s unique concerns without sacrificing the University of Virginia. He currently serves on the Investment Committees return characteristics of the alpha strategy. of St. Louis University and the College of William & Mary. Larry co- It will analyse what SBERA sought to accomplish with their pool of authored Foundation and Endowment Investing: Philosophies and capital; how they chose their consultant; what they focused on in their Strategies of Top Investors and Institutions, which will be released in search for an alpha provider; and the RFP process and the RFP early 2008. Larry holds an Economics PhD from the University of Virginia. selection criteria, including the RFP manager qualifications SBCERA were looking for and how they then applied these criteria to choosing Jeffrey Tarrant, Chief Executive Officer and Chief Investment their alpha partner. Finally, the case study will examine how SBERA and Officer, its alpha partner worked together to customize a solution that met Erisa Protégé Partners – USA concerns; dealt with gross negligence standards and provided the Jeffrey Tarrant is CEO & CIO of Protégé Partners, a USD 2.6 billion fund requisite organizational guarantees. that invests in smaller and specialized hedge funds on an “arms length” as well as “seed” basis. Prior to founding Protégé in 2002, Jeffrey Frank Jordan, Partner, 2
  • 3. GoldenTree Asset Management – USA Chun Lai oversees all investment strategies, asset allocation and Frank Jordan is a Partner and a member of GoldenTree's Investment portfolio management for Rockefeller Foundation’s entire USD 3.7 billion Committee. GoldenTree Asset Management, a Registered Investment portfolio. Before this, he managed the Foundation’s hedge funds, Advisor which manages USD 6.8 billion of absolute return strategies distressed debt, real assets and fixed income portfolios. Chun joined The which invest in bank debt, high yield bonds, distressed debt, middle Rockefeller Foundation in 1996 after four years at the State of market loans, equities and real estate. Prior to joining GoldenTree, Frank Connecticut Retirement and Trust Funds. was a Managing Director at Wasserstein Perella (Grantchester Securities, Inc.). 12.20pm Lunch Donald Pierce, Investment Officer, San Bernadino County Employees Retirement Association – 1.25pm Chair of afternoon session USA Tristram Lett, Managing Director, Donald Pierce has served as the Investment Officer for the SBCERA since 2001. He is responsible for the day-to-day operation of the Integra Capital Management – Canada investment division for the USD 5 billion pension fund. He directly assists Tris Lett has been heavily involved in the hedge fund industry for well the Executive Director with developing policy and investment goals, over a decade. For 5 years he was Chair of the Board of Governors of implementing investment objectives and the selection of investment the Toronto Futures Exchange. As well as being the current Deputy managers. Previously, Don was with Watson Wyatt as an actuarial Chair of AIMA Canada, Tris is a member of the Board of Directors of the analyst. Fields Institute for Research into the Mathematical Sciences, and a member of the editorial advisory board of the Canadian Investment Review. 11.40am Panel: Alpha investing is a zero sum game: so what is your pension fund or endowment’s competitive advantage? Hear From The Institutional investors appear to have no problem with conceptualizing zero sum alpha models when they apply to hedge ‘Father of Modern Portfolio Theory’ fund managers Yet, too often overlook an additional dimension to the zero sum alpha game: the inter-investor dimension? Just as the 1.30pm On portfolio theory, hedge funds, Adam Smith zero sum nature of alpha strategies means that every skillful hedge and the financial wisdom of rabbits… fund manager that benefits from an alpha transaction has do so at the cost of a slightly less skillful losing party, so to every institutional In response to feedback from past delegates, Harry Markowitz will investor investing in and profiting in an alpha strategy does so at the not only deliver a keynote presentation on the current and future of expense of another slightly less skillful institutional investor. By portfolio theory and its implications for hedge fund investing, but also investing in such strategies, an institutional investor is implicitly engage a comprehensive question and answer session with the stating that he/she believes that the speed, skill or risk tolerances of audience; providing Global ARC delegates with the rare opportunity their decision structure or investments policies give them an to hear from and asks questions of the ‘father of modern portfolio investment edge over the majority of their rivals. theory This roundtable will discuss how your organization can begin to Professor Harry M. Markowitz, objectively assess where your competitive advantages lie and how Nobel Laureate, and Professor of Finance, to best leverage these to access alpha generating investments. University of California, San Diego – USA Opportunities between the asset ‘silos’ The structure of most (Live Via Satellite) endowments and pensions, whereby one dedicated team examines Harry Markowitz is one of best known minds in finance, famous as the fixed income, another equities and another real estate means that ‘father of modern portfolio theory.’ A Professor of Finance in the Rady strategies that straddle traditional asset ‘silos’ are often relatively School. University of California San Diego, he won the Nobel Prize in overlooked and thereby alpha rich. Economic Sciences in 1990, for his work on portfolio choice. In his distinguished career, Harry Markowitz has won innumerable awards and Mario Therrien, Vice President, served in various academic posts at many universities, including Baruch Caisse de dépôt et placement du Québec – Canada College, London School of Economics, London Business School, The Caisse de dépôt et placement du Québec is owned by the Provincial University of Tokyo, Rutgers University, Hebrew University, the Wharton Government of Quebec. With CAD 140 billion (USD 140 billion) of assets School and UCLA. He is also a board member and former president of it is the largest pension fund in Canada. It has been investing in hedge the American Finance Association and was a fellow of the Econometric funds since 2002. Its main depositors include government organizations Society. He also recently received the Man of the Century award from such as RREGOP and FARR. Mario Therrien oversees a team whose Pensions & Investments Magazine for his life's work in the field of mandate is to develop strategies using hedge funds. investments. Tim Mitchell, Head of Public Markets, New Zealand Superannuation Fund – New Zealand Created by the New Zealand Government in 2003, the NZSF is a not-for- Alternative Beta profit fund to help provide for the future cost of superannuation for New Zealand as a nation. The New Zealand Government is allocating over NZD 2 billion a year to the Fund which is currently NZD 12 billion (USD 9 2.30pm Panel: Integrating alternative beta into your asset billion) and will grow to around NZD 115 billion (USD 85 billion) by 2025. allocation strategy. Prior to NZSF Tim Mitchell was Principal Advisor at the New Zealand Alternative beta is the hottest phrase on investors’ lips. Like many Treasury. new terms alternative beta seems to mean different things to Chun Lai, Managing Director, different people. Our panelists will discuss how they define alternative beta, what role the see it playing in their portfolio and how The Rockefeller Foundation – USA 3
  • 4. this may impact upon their investment decisions. How much of Sterling Professor of Mathematical Sciences, Emeritus, alternative beta is merely disguised traditional beta? Yale University – USA Best known as the "father of fractal geometry” Professor Benoît B. David Finstad, Director External Management, Mandelbrot is one of the outstanding mathematics visionaries of modern Alberta Investment Management – Canada times. Benoît has emphasized the use of fractals as realistic and useful Alberta Investment Management (AIM) manages CAD 52 billion (USD 52 models of many phenomena in the real and man-made that can be billion) in assets on behalf of the Province of Alberta. Dave Finstad is viewed as rough, such as stock market prices and financial risk models. Director of External Fund Management at AIM. Leading a team of five He has won innumerable awards, including: the 1993 Wolf Prize for investment professionals who manage AIM’s CAD 12 billion external Physics; the 2000 Lewis Fry Richardson prize; the 2003 Japan Prize; the hedge fund and traditional equity maager program. Dave has written a 2006 Einstein Lectureship; the 1988 Humboldt Preis; and the 1994 number of published articles on manager selection and institutional fund Honda Prize; and is author of the financial bestseller, The Misbehavior of management. Markets: A Fractal View of Risk, Ruin, and Reward, which applies fractal Laura Männistö, Portfolio Manager Alternative Investments, geometry to the stock market. Ilmarinen Mutual Pension Insurance Fund – Finland Ilmarinen is a mutual pension insurance company owned by its policy holders and the owners of its guarantee capital, whose task is to arrange statutory earnings-related pension services for their customers. Ilmarinen Institutional Investor Great Debate currently manages over Euro 24 billion (USD 32 billion) in assets. Laura Männistö joined Ilmarinen in early 2002 and is responsible for Ilmarinen’s 4.55pm Institutional Investor Great Debate: This house hedge fund investments, tactical asset allocation and commodity believes that in order to maximize returns and alpha, that investments. institutional investors should allocate the vast majority Dr. Jerome Abernathy, Chief Investment Officer, of their hedge fund allocations to sub-billion dollar Stonebrook Capital Management LLC – USA hedge funds. Jerome Abernathy is the Chief Investment Officer of Stonebrook Capital In order to challenge the biases of the audience and stimulate Management LLC, a New York-based hedge fund firm. Prior to forming debate, our two teams of panelists - two institutional investors Stonebrook, Jerome was director of research at Moore Capital arguing in favor and two in opposition to the motion - will Management, a New York based hedge fund. He holds a M.S. and Ph.D. purposefully adopt contrasting absolutist positions. from MIT where he specialized in information and decision systems. He also attended the Sloan School of Management at MIT. In favour of the proposal: David Weiderecht, Vice President, 3.10pm Alternative beta and hedge fund replication. General Electric Asset Management – USA Unique strategies for alternative beta and alpha opportunity. With approximately USD 200 billion in assets GE Asset Management is Structured hedge funds as the efficient way to access traditional one of the largest institutional investors in the United States. David hedge fund beta. The positive implications for Institutional Investors. Wiederecht is Vice President- Alternative Investments for GE Asset Management, where he co-heads the absolute return strategy team and George Main, CEO and CIO has portfolio management responsibilities for various private equity and Diversified Global Asset Management –Canada real estate investment strategies. George Main is the founder of DGAM and is responsible for the firm’s management leadership and investment decision-making. DGAM is a Matt Stone, Director of Absolute Return Investments, fund of fund and structured hedge fund manager based in Toronto and University of Chicago – USA New York with USD 1.8 billion in assets under management. George University of Chicago’s has an approximately USD 5 billion endowment. Main has been a leader and innovator in fund of hedge funds Matthew Stone joined the University of Chicago's Office of Investments management for over a decade. staff as Portfolio Manager in July 1999. He advanced to Director of Absolute Return Investments in July 2001. From 1995 to 1999, he was Vice President of the Portfolio Services Group at Arbor Research & Trading in Barrington, Illinois. Extreme Market Behaviour In opposition to the proposal: 4.05pm Why financial markets are far more prone to Richard Grottheim, Chief Investment Officer, extreme behavior than commonly thought. AP7 Pension Fund – Sweden AP7 is the default fund for Sweden’s premium pension system Institutional investors' common assumptions on risk are unwarranted employees. With assets of more than Euro 6 Billion (USD 8 billion) under and over-optimistic. For example, "ten sigma" events have a management and growing at Euro 1 Billion per year it is one of Europe’s probability of a millionth, of a millionth, of a millionth, of a millionth. fastest growing pension funds. AP7 currently has a 4% asset allocation Yet such events occur all the time. That is, the financial markets are to hedge fund of funds. Prior to AP7, Richard Grottheim was Head of the far more prone to extreme behavior than commonly thought. Instead Monetary and Foreign Exchange Policy department at the Swedish of the conventional "bell curve," they are governed by curves with Central Bank. long fat tails. The speaker's fractal and multifractal mathematical models — the Matthew Strube, Principal External Public Markets alternative since 1963 — represent the actual prices' behavior far Teacher Retirement System of Texas - USA more closely. Simple procedures always available today create Matthew Strube is Principal for External Public Markets at Teachers "synthetic" records that can be used in stress testing. Development Retirement System (TRS.) Founded in 1937, TRS is the largest public of realistic mathematical solutions is increasingly rapid and should retirement system in Texas in both membership and assets. The agency be strongly encouraged. currently serves over 1.1 million participants and has net system assets totaling approximately USD 100 billion Professor Benoît Mandelbrot, 4
  • 5. James L. Haskel, Director of Portfolio Strategy, th Bridgewater – USA Thursday 18 October 2007 Please refer to Wednesday 9.00am session for Frank’s bio. Frank Jordan, Partner, 7.35am Chair of the morning session GoldenTree Asset Management – USA Please refer to Wednesday 11.05am session for Frank’s bio. Craig Asche, Executive Director, Chartered Alternative Investment Analyst (CAIA) Robert Cultraro, Director of Investments, Association – USA Hydro One Pension Plan – Canada CAIA was founded in 1999, under the guidance of The Center for Hydro One is the largest electricity generating and delivery company in International Securities and Derivatives Markets (CISDM) and the the Province of Ontario. Hydro One Pension Plan manages CAD 5 billion Alternative Investment Management Association (AIMA), committed (USD 5 billion) of assets on behalf of Hydro One employees. Robert industry leaders undertook the task of creating a professional Cultraro is responsible for all of Hydro One’s investments, including designation exclusively for alternative investment specialists. Craig alternative investments, as well as operations and management. Asche is the Executive Director for CAIA. Prior to joining the CAIA Previous to Hydro One, Robert was a Senior Consultant for AON Association, Craig worked at as Director of the Asia Pacific Foreign Consulting. Exchange Department Jim Tomeo, Chief Operating Officer, SSARIS Advisors – A State Street Company - USA James Tomeo is Chief Operating Officer and Senior Portfolio Manager at 130/30 Strategies SSARIS Advisors, LLC. He is responsible for all facets of the firm's business including portfolio management and strategic planning. He heads the firm's Fund of Funds Investment Committee. James is a 7.40am The critical role of beta targeting. member of the Center for International Securities and Derivatives Markets ('CISDM") and is the US representative to the Education and What is behind the surge of interest in 130/30 strategies? How can Research Committee of the Alternative Investment Management long/short managers tap into the appeal of the 130/30 approach? Association ("AIMA"). How does beta targeting relate to the 130/30 concept? How much active risk capacity is needed to pursue 130/30 or beta targeting Michael Aked, Managing Director – Hedge Funds strategies? How should asset owners evaluate the different forms of University of Virginia Endowment – USA active risk? Michael Aked is Managing Director of hedge fund investments for Dr. Martin L. Leibowitz, Managing Director, University of Virginia’s USD 4 billion endowment. Prior to which, he was Morgan Stanley and former CIO, TIAA-CREF – USA the Portfolio Manager for Alternative Investments at SunSuper, a not- Prior to joining Morgan Stanley, Martin Leibowitz was CIO of TIAA-CREF forprofit Australian superannuation fund with AUD 9 billion (USD 7 from 1995 to 2004 with responsibility for the management of over USD billion) in assets and before that Head of Asset Allocation for UBS Global 300 billion in equity, fixed income, and real estate assets. . Martin has Asset Management. been the single most frequent author published in the history of both the Financial Analysts Journal and in The Journal of Portfolio Management. Ten of his articles - an unprecedented number - have received the 9.05am Panel: How do you achieve the correct time and Graham and Dodd Award for excellence in financial writing and he was resource balance between monitoring current managers the first inductee into The Fixed Income Analyst Society’s Hall of Fame. and searching out new managers? Martin serves on the investment advisory committee for the Harvard One of the dangers of hedge fund investing is complacency with Management Corporation, The University of Chicago, and the existing managers. Adopting a disciplined approach whereby one Rockefeller Foundation. He is also a trustee and vice chairman of the always devoting a set percentage of resources to finding and Carnegie Corporation and the Institute for Advanced Study at Princeton assessing new managers is key to keeping a fresh perspective and as well as a member of the Rockefeller University Council and the Board active management of portfolio. Many institutional investors feel that of Overseers of New York University’s Stern School of Business. investors are best off investing in small and mid sized hedge funds, as larger hedge funds tend to suffer from mediocre performance once they grow beyond a certain size due to their increasing preoccupation with capital preservation and their carry. Hedge Fund Investing for the Leaner What special skills to investors need in order to successfully invest Institutional Investor in smaller hedge funds? How can institutional investors ensure that smaller hedge funds produce strong returns through methodical 8.10am Panel: The ‘how to’ guide to hedge fund strategies rather than through taking outsize risks (with investors’ money) in the desire to develop a strong track record? investing: for the pension fund or endowment with less than eight investment staff. Ephraim Grunhard, Portfolio Manager, Hedge fund case studies tend to focus on the largest and most ARIA (Commonwealth Public Service Pension Plan) – deeply resourced of the North American and European pension Australia funds: but, what about the vast bulk of institutional investors that do ARIA - Australian Reward Investment Alliance - is one of the largest not- not have the luxury of a large investment staff? Hedge fund investing for-profit superannuation schemes in Australia, with over AUD17 billion poses unique challenges to these mid sized pension funds and in funds. ARIA has 350,000 Australian Commonwealth Public Service endowments. Our panel, composed of two institutional investors - employee members. It has been investing in hedge funds since 2001 each of whom have less than eight investment staff – and three and has built a hedge fund portfolio of over AUD3 billion. Ephraim hedge fund providers will offer practical suggestions as to how even Grunhard was previously a consultant with the Towers Perrin Group. the leanest pensions and endowments can successfully manage Harold Yoon, Portfolio Manager, and monitor hedge fund investments in a resource efficient manner. ING Investment Management – USA 5
  • 6. Harold Yoon is portfolio manager for the funds of hedge funds offered by 11.15am Panel: Opportunities in Canadian commodity ING Investment Management. Prior to joining ING, Harold was portfolio and energy based strategies manager for a long/short equity hedge fund at Kendall Square Capital Canada is widely perceived as a primarily commodity and energy driven Management, LLC, where he was a managing partner. From 1994-2000, economy, due to its deep and liquid commodity and energy financial he was responsible for the trading risk function for ING Barings in the markets. As a consequence, Canadian alternative investment Americas. He received his B.S. in electrical engineering and his M.B.A. managers are often less correlated to other markets. Whilst, the from MIT. Canadian alternative market has grown explosively over the last couple of years opportunities still abound, as hedge fund strategies in Canada have not yet experienced the ‘crowding out’ that is increasingly common 9.40am Panel: When are customized funds of funds a in other first world countries. necessity and when are they unnecessary luxuries? Do too many investors go with more expensive customized funds of (Chair) Peter Haynes, Managing Director, funds, when they don’t need to? How can you best gauge whether your TD Newcrest – Canada needs are sufficiently unique to justify the extra costs of customization? Peter Haynes joined TD Securities Inc. in 1995. Since 2005, Peter has been responsible for relationship management role with a few key Graham Thouret, President, institutional investors in addition to continuing to run TD Newcrest’s top Diversified Global Asset Management – Canada ranked index and portfolio trading research. Prior to joining TD Securties, Graham Thouret has 26 years of diverse experience in corporate Peter worked for Credit Lyonnais Canada and the Toronto Stock financial management, including the management of pension fund and Exchange. corporate investment pools for 18 years. He directed CAD 11 billion of corporate financings in a wide range of capital markets for companies in David Fawcett, CEO and Portfolio Manager, diverse economic sectors. Prior to joining DGAM, Graham was a Epic Capital Management – Canada financial executive at a global public company providing electronics David Fawcett, CEO and CIO, founded Epic Capital in December 2000. manufacturing services to original equipment manufacturers. He holds a David has a proven 6+ year track record of generating alpha by investing M.Sc in Management from M.I.T. in a broad array of sectors and strategies. Today, he is responsible for managing over $300 million in funds with his team at Epic. By utilizing a Stephen Foote, Vice-President, fundamental value based approach, the flagship Canadian long short Northwater – Canada equity fund has returned a +28% net CAGR to investors. Prior to Please refer to the Wednesday 10.35am session for Stephen’s bio. forming Epic Capital Management Inc., David was a research analyst at Deutsche Bank Securities Inc. covering senior Canadian oil and gas Reid Bernstein, Chief Executive Officer, companies as part of their global oil team. One Capital Partners –USA Reid Bernstein has over twenty-three years of alternative investment and Gary Selke, President and CEO, merchant banking experience. In 1996, he formed the predecessor to Front Street Capital – Canada OneCapital Management Partners to focus exclusively on Alternative Gary Selke co- formed Front Street Capital in 1996. From 1981 until Investment businesses. In such capacity, Reid has been an advisor to 1996, Gary was employed by RBC Dominion Securities Inc. During that financial institutions including Citigroup, Investcorp, and HSBC Republic, period, he was a managing director in the investment banking and to several Multi-Strategy hedge funds department where he concentrated on public and private financings for three years, debt restructurings for two years, worked in the firm’s equity Matthew Wright, Chief Investment Officer, syndication area for three years, worked in the capital markets group for Vanderbilt University Endowment – USA two years, and headed the firm’s corporate finance team in the United Matthew Wright is Chief Investment Officer at Vanderbilt University. With States and managed the securitization team. USD 3.5 billion in assets, Vanderbilt’s endowment is one of the largest endowments in the United States. Prior to joining Vanderbilt, Matthew Brad Dunkley, Portfolio Manager, worked as Director of Investments at Emory University’s endowment and Gluskin Sheff & Associates – Canada before that for Bank of America Capital Management’s Quantitative Brad Dunkley is a Portfolio Manager focusing on Canadian equities and Strategies Group, where he was responsible for portfolio management income trusts, and is the portfolio manager of two proprietary hedge and equity trading. funds. Brad received an Honours BBA from Wilfrid Laurier University and was the recipient of the Gold Medal for the business program. He earned his Chartered Financial Analyst (CFA) designation in 2001. Brad has 10.45am Energy and commodities as portfolio worked closely with Ira Gluskin since first joining the firm full-time in diversifiers: the evidence. 1998. Why ‘commodities’ do not constitute a unified asset class. Analyzing the risk reduction properties of energy and other major commodity Kevin Bambrough, Chief Executive Officer, sectors. Examining the economics of futures markets term Sprott Resource Corporation – Canada structures. What are the threats and opportunities from term Kevin Bambrough joined Sprott Asset Management in 2002 and structure optionality? Exposing the most common myth of subsequently assumed the role of Market Strategist in 2006. In 2007 commodity index investing. Kevin took on a dual role when he was appointed President and CEO of the Sprott Resource Corp. Since 2003, Kevin has focused his analysis Dr. Bob Biolsi, Vice President of Quantitative Research, for SAM on the coal and uranium-mining sectors, making instrumental New York Mercantile Exchange – USA contributions to the firm’s investments in these areas. In his role as Bob Biolsi joined the Exchange in 1990. His primary areas of Market Strategist, he also spends a significant portion of his time responsibility include risk management for the Exchange Clearinghouse, examining global economic activity, geopolitics, and commodity markets, maintenance and development of new option products, and development as he strives to identify new trends and investment opportunities. of financial products. He holds a Ph.D. in financial economics and Illustrating his work in this regard, in May 2006, he co-authored the econometrics from the City University of NY and has served as a report entitled Investment Implications of an Abrupt Climate Change professor of economics at the University of Connecticut. 6
  • 7. 12.05pm The decoupling of the European and US Myron Scholes is co-originator of the Black-Scholes options pricing economies: what it means for hedge fund investors. model, for which he was awarded the Nobel Prize for Economics in With the decoupling of European and US economies, it is no longer 1997. This model provides the fundamental conceptual framework for possible to extrapolate European growth trajectories from US macro valuing options, such as calls or puts, and has become the standard in trends. As Euro-zone companies restructure and develop financial markets globally. Trillions of dollars of options trades are independently, quality fundamental research is essential to executed each year using this model and derivations thereof. Myron successful “bottom-up” stock selection and profitable investment currently serves as the Frank E. Buck Professor of Finance Emeritus at strategies. How to find “under-researched” and misunderstood the Stanford University Graduate School of Business and was previously investment opportunities in European small and mid-cap equities. on the faculty Princeton University and the MIT Sloan School of Investing in established and well-governed Western European Management. He also serves as Chairman of Platinum Grove Asset companies to gain exposure to fast-growing Eastern European Management, a fund specializing in liquidity provision services to the economies, circumventing the uncertainties of dealing with Eastern global wholesale capital markets. European regulatory and legal regimes. Professor Sandy Grossman, Steinberg Trustee Professor of Nigel Hart, Founding Partner and Portfolio Manager, Finance Emeritus, ReachCapital Management LLC – USA Wharton School and QFS – USA Nigel Hart is a founding partner and portfolio manager at ReachCapital Sandy Grossman earned his Ph.D. in Economics, from the University of Management, an international equity long/short investment firm Chicago. Since receiving his doctorate, he has held academic specializing in “bottom-up” stock selection. Previous to co-founding appointments at Stanford University, the University of Chicago, ReachCapital Management, Nigel Hart was Senior Vice President and Princeton University and currently serves as Emeritus Professor at the Senior Portfolio Manager of International Equities at Putnam Wharton School. Sandy’s research has spanned the analysis of Investments. Prior to Putnam, Nigel was Portfolio Manager at Hill information in securities markets, corporate structure, property rights, Samuel Investment Advisors. and optimal dynamic risk management. He has published widely in leading economic and business journals. Sandy has been the recipient of numerous awards including, the prestigious John Bates Clark Medal 1.55pm Panel: Where are the weak links in the market? of the American Economic Association, the Roger F. Murray Prize from Investors are acutely aware of potential exogenous shocks such as the Q Group for the best finance research paper, the CFA’s Graham terrorism, war related oil spikes or natural catastrophes; however and Dodd Scroll and the University of Chicago’s Leo Melamed Prize endogenous shocks are frequently underplayed by investors, and for outstanding scholarship by a professor. In 1988 he founded may ultimately prove to be more catastrophic. Issues to be Quantitative Financial Strategies (‘QFS’) a technical financial research addressed by the panel will include: the effect on the market of a and institutional asset management which develops investment models "normalizing" of currently tight spreads; whether CDS liquidity would based on his research discoveries in the field of quantitative finance. hold up in times of stress; potential difficulties arising out of the correlation assumptions embedded in structured products such as CDOs; leverage; and whether – contrary to popular perception – the 2.55pm Is your fund of funds being forced to take on weakest link in the hedge fund risk chain, and thus the most likely excessive risk? cause of a crisis, is not the hedge funds themselves but the prime In an era when there are two hedge funds for each Taco Bell, brokerages. Where possible, our distinguished panel will offer delivering pure alpha has become increasingly difficult. In fact, the suggestions on how institutional investors can best position academic literature argues that this is especially true for fund of themselves to minimize the repercussions of such market shocks. funds. With alpha drying up, funds may either downsize, or shift their exposure toward a beta oriented portfolio and keep making money (Chair) Leslie Rahl, President, by charging their management fees. However, with beta exposure Capital Market Risk Advisors – USA becoming increasingly cheap to acquire, getting beta while paying CMRA is the preeminent financial advisory firm specializing in risk hedge fund fees is detrimental to investors unless it is tied with out- management, hedge funds, due diligence, compliance, portfolio performance. Therefore, identifying which factors are driving a funds construction and risk attribution. Leslie Rahl is on the Board of Directors returns is not the real end-game, but ensuring there is low of Fannie Mae and the International Association of Financial Engineers measurability of any investable factor should be pursued. and on the Investment Advisory Committee of the USD 115 billion New York State Common Retirement Board and the MIT Investment Chad Burhance, Director of Risk Management and Analytics, Management Company Board of Directors. IFS, a State Street Company - USA Chad Burhance is the Director of Risk Management and Analytics at IFS, Dr. Mark Anson, former CEO 2006-2007 of Hermes Pensions a State Street Company, where he focuses on providing hedge fund Management UK and former CIO of CalPERS USA 2003-2005 managers and investors with proprietary risk management and portfolio Mark is former CEO of Hermes Pensions Management, which manages construction tools. Since 2002, he has overseen the building of IFS’ in- over GBP 70 billion (USD 140 billion) in assets and is owned by British house risk management expertise including financial engineering, Telecom Pension Scheme. Previously he was Chief Investment Officer quantitative development and specialized risk management personnel. of California Public Employees Retirement System (CalPERS.) Mark holds a PhD in finance from Columbia University. is a qualified Attorney, Christian Tiu, Professor of Finance, CPA, CFA, and CAIA, and serves the on Advisory and Executive State University of New York, Buffalo – USA Committees for NYSE. Mark is also the author of The Handbook of Cristian Tiu’s current research interests focus on determinants of Alternative Assets, which is the primary textbook for the CAIA program performance of hedge funds and their risk management implications for and sits on editorial and advisory boards for The Journal of Portfolio their investors. Before joining academia Cristian was part of the team Management, The Journal of Alternative Investments, The Journal of who designed the risk management system currently used by the USD Private Equity, and The Journal of Derivatives Accounting. 20 billion University of Texas Investment and Management Co. He holds a PhD in Mathematics and one in Finance from the University of Texas Professor Myron Scholes, Nobel Laureate, at Austin. Stanford University and Platinum Grove Asset Management– USA 7
  • 8. 3.25pm The systemic crises in hedge funds: What happened in August and how to avert a repeat. Dr. Raphael Douady, will discuss Riskdata’s findings about what happened to hedge fund performance in August and the correlation Friday 19th October 2007 breaks that occurred at that time. Raphael will explore the August performance crises and discuss how oversimplified risk models - though widely used in the industry - failed hedge funds. Among the 8.40am Chair of morning session other topics he will touch on are how risk models behave in a Phil Schmitt, Chairman, changing market, how classical CPAM missed correlation breaks Alternative Investment Management Association – Canada and the predictability of linear versus non linear models. In Please refer to Wednesday 7.30am session for Phil’s bio concluding, he will describe the characteristics risk models should have to properly anticipate the behavior of hedge funds during a crises market. Dr Raphael Douady, Founder & Head of Research, Japanese Investors Riskdata - France Raphael Douady is one of the founders of Riskdata, the market-leading 8.40am What do Japanese institutional investors look for provider of risk management tools for global alternative investment when choosing their hedge fund providers? community. With more than ten years experience in the banking industry Our panel of distinguished Japanese pension fund investors will (risk management, option models, trading strategies) and twenty years update delegates on hedge fund developments in the World’s research in pure and applied mathematics, Raphael is renowned for his second largest economy. What are the ongoing drivers of hedge highly sophisticated quantitative solutions and statistical analysis. He fund growth in Japan? What are the investment objectives of those created and organizes the NYU seminar of Mathematical Finance. Japanese investors who are placing money in hedge funds and which types of hedge fund strategies best align with these objectives? Which concerns, specific to Japan, do hedge fund providers need to address when offering products to Japanese Global ARC Closed Door Session: Pension institutional investors? Funds, Foundations and Endowments (Chair) Ted Uemae, Founder, ONLY Alternative Investment Products Company – Japan Hiroko Niwa, Chief Investment Officer, 4.00pm Closed door session commences Mitsubishi Corporation Pension Fund – Japan Global ARC’s Investor Education Forum will feature the Mitsubishi Corporation is one of the largest general trading companies in principals and portfolio managers of ten leading hedge funds, Japan. Hiroko Niwa is Chief Investment Officer of Mitsubishi who will be arranged into two one-hour sets, with each set Corporation’s staff pension fund. Mitsubishi was one of the first consisting of five hedge funds. Japanese pension funds to invest in hedge funds and private equity and now allocates over one third of its funds to these asset classes. Hiroko From within each set of five managers, investors will be free to Niwa holds an Economics degree from the University of Tokyo. choose two managers, with whom they will spend thirty minutes a piece. Daisuke Hamaguchi, Director of Pension Investments, Pension Fund Association – Japan Hedge funds confirmed to date include: Daisuke Hamaguchi is Director of Pension Investments for Pension Fund Association, Japan, responsible for managing its assets totaling USD AQR Capital Management 110 billion. Prior to this, he was Chief Investment Officer for Mitsubishi Corporation Pension Fund, and also worked for Mitsubishi’s Capital BlueMountain Capital Management LP Markets Group for over 20 years. He graduated from Kyoto University, Chilton Investment Company Japan, and holds a Master of Science in management from MIT. GLG Partners 9.30am Opportunities in newer commodities: CO2 Highbridge Capital Management emissions trading, alternative fuels, water, life Lansdowne Partners Limited Partnership settlements, medical and credit card receivables and micro-finance. Oxford Asset Management Many institutional investors have grown disenchanted with the Satellite Asset Management, LP crowding out, increasing correlations and long-biases exhibited by Taconic Capital Advisors LLC more ‘mainstream’ hedge fund strategies and are searching out unique hedge fund investment strategies that promise truly Trafelet Delta Funds uncorrelated returns. Strategies such as: CO2 emissions and water trading, alternative fuels, life settlements, art, freight capacity, medical and credit card receivables, film finance and securitized 6.00pm Closed door cocktails: Investors have the intellectual property rights. opportunity to mix with the ten hedge funds. Which of these strategies are likely to offer long term non-correlated returns and which offer mere transitional opportunities, soon be The closed door session is organized by arbitraged out? Do any of these of these strategies have sufficient Global ARC in association with Morgan Stanley capacity potential to absorb significant institutional investor assets or are capacity constraints likely to mean that – whilst lucrative – they 8
  • 9. will remain ultimately niche or peripheral investment areas? Finally, sense of complacency in many investors. Under these if investors do decide to place money, how can they best integrate circumstances, credit model revision is the greatest risk that markets such strategies into an existing hedge fund portfolio? face, because of its implication for asset and liability valuation models. Ephraim Grunhard, Portfolio Manager, ARIA (Commonwealth Public Service Superannuation) - Are recent sub-prime issues a wake up call which if ignored, could potentially threaten larger problems in global credit and eventually, Australia equity markets? Will the recent drying up of liquidity and massive ARIA - Australian Reward Investment Alliance - is one of the largest not- widening in yield spreads signal a marked increase in defaults and for-profit superannuation schemes in Australia, with over AUD17 billion reduction in recoveries? What are the implications for high yield and (USD 14 billion) in funds. ARIA has 350,000 Australian Commonwealth leveraged loan based/dependant hedge fund strategies? Public Service employee members. It has been investing in hedge funds since 2001 and has built a hedge fund portfolio of over AUD3 billion. After delivering his presentation, Professor Altman, will answer Ephraim Grunhard was previously a consultant with the Towers Perrin. questions from the Global ARC audience; offering Global ARC’s audience the opportunity to interact with one of the World’s foremost Michelle McCloskey, Style Head for New Alternative Investments authority’s on high yield bonds, distressed debt and credit risk RMF (a division of Man Investments) – USA analysis. Michelle McCloskey is Style Head for New Alternative Investments within RMF Hedge Fund Research. She is responsible for Professor Ed Altman, Max L. Heine Professor of Finance researching and defining new and leading edge investment NYU Stern School of Business – USA opportunities for the group. Prior to joining RMF in 2006, Michelle Since 1990, Ed Altman has directed the research effort in Fixed Income worked for over twenty years in commodities trading, primarily in the and Credit Markets at the NYU Salomon Center and is currently the energy sector, at a variety of institutions including energy companies Vice-Director of the Center. Prior to serving in his present position, Ed (BP), investment banks (Goldman Sachs and UBS), and hedge chaired the Stern School's MBA Program for 12 years. He has an funds (Clinton Group and Cam Energy). Past experience also international reputation as an expert on corporate bankruptcy, high yield includes running a number of trading books, managing large groups bonds, distressed debt and credit risk analysis. He was named Laureate of traders, and launching trading desks from the ground up at a 1984 by the Hautes Etudes Commerciales Foundation in Paris for his variety of locations. accumulated works on corporate distress prediction models and procedures for firm financial rehabilitation and awarded the Graham & Brett D. Hellerman, Chief Executive Officer, Dodd Scroll for 1985 by the Financial Analysts Federation for his work on Wood Creek Capital Management – USA Default Rates on High Yield Corporate Debt. He was inducted into the In 1991, Brett co-founded Clinton Group, Inc., one of the very first fixed Fixed Income Analysts Society Hall of Fame in 2001 and elected income hedge fund firms and in 1997, founded Norfolk Management President of the Financial Management Association (2002). Ed was Group, LLC, a leading investment bank and dealmaker in alternative named one of the 100 most influential people in the world in 2005 by the investments. In 2005, he launched Wood Creek Capital Management, publication Treasury and Risk Management. Professor Altman is one of LLC, a joint venture between Norfolk and MassMutual Financial Group, the founders and was an Executive Editor of the international publication, in order to exploit opportunities in “alternative alternative”™ investment the Journal of Banking and Finance. He is the author of over 20 books: sectors. his most recent works are Corporate Financial Distress and Bankruptcy (2005); and Managing Credit Risk: The Next Great Financial Challenge (2007) He is currently an advisor to the Centrale dei Bilanci in Italy and 10.15am Do activist hedge funds create value? to several foreign central banks. New research suggests that hedge funds are better positioned to act as informed monitors - focusing the leadership of target companies 11.30am Brunch on creating shareholder value - than most other investors and that hedge fund activism forms a new middle ground between internal monitoring by large shareholders and external corporate raiders. 12.30pm Chair of afternoon session Under what conditions does hedge fund activism generate the best Christopher Holt, Founder, returns for investors? How will the returns associated with these strategies evolve as more hedge funds enter the market and the AllAboutAlpha – Canada ratio of funds to attractive targets changes? Christopher Holt is the founder of AllAboutAlpha.com, the pre-eminent hedge fund news blog, which provides daily in depth analysis of trends in Sean Cumiskey, Managing Director, the hedge fund and alternatives industry. Ivy Asset Management – USA Sean Cumiskey is Ivy’s Managing Director and heads the Investment Strategies Group. He is also a member of Ivy's Investment Committee 12.35pm Replicating and using hedge fund betas. and Investment Risk Management Committee. Sean joined Ivy Asset Professor David Hsieh started the research in hedge fund risk management in May 2004 from Meridian Capital Partners, a USD 3 factors (i.e. betas) with the first academic publication in hedge funds billion independent fund of funds. Sean holds a B.A. from the University in 1997. Since then, he has worked on understanding the replicable of California, Los Angeles and an M.B.A. from Columbia Business part of hedge fund betas (as opposed to alphas). Professor Hsieh School. will provide insights on what are hedge fund betas, how they can be replicated at low cost, and how to utilize these betas to detect alpha as well as to modify the return characteristics of a portfolio of hedge 10.50am Are the recent violent fluctuations in the credit funds. markets a short term anomaly or the beginning of a long Professor David Hsieh, Bank of America Professor of Finance, term credit market trend; and what does this herald for Duke University, Fuqua School of Business - USA institutional investors? David Hsieh’s current research interests focus on the style, risk, and Until very recently, the combination of global marketplace awash in performance evaluation of hedge funds and the dynamics of asset prices liquidity, an unprecedentedly low default rate and high recovery and their implications for financial risk management. He has won rates in the high yield and leveraged loan markets and almost record numerous awards for his work including the Smith-Breeden First Prize low credit spreads and consequent low volatility had induced a 9
  • 10. for the best paper in The Journal of Finance, the Robert J. Schwartz Memorial Prize for the best paper on hedge funds and the CFA Arguing for distressed Institute’s Graham and Dodd Award of Excellence for his paper with co- Kurt Silberstein, Portfolio Manager, author William Fung on hedge fund benchmarks. David holds a PhD in CalPERS – USA economics from the Massachusetts Institute of Technology. The California Public Employees Retirement System (CalPERS) manages over USD 200 billion in investments on behalf of 1.4 million public employees in the State of California. Kurt Silberstein is the 1.15pm Synthetic hedge funds: the (traditional hedge Portfolio Manager for CalPERS one billion USD Absolute Return fund) world versus Harry Kat. Strategies (ARS) Program. Kurt is responsible for overseeing all aspects Professor Harry Kat is a true iconoclast of the hedge fund world. His associated with building the multi-strategy hedge fund of funds within research has led him to believe that only a quarter of hedge fund CalPERS. managers add real alpha. Since few investors possess the skills or time to consistently pick the top quartile managers, he argues that Arguing for Long/short equity synthetic hedge funds offer the vast majority of investors a far better Steve Algert, Head of Hedge Funds, return along with improved liquidity, transparency and capacity. John Paul Getty Trust – USA Unlike factor models, synthetics do not attempt to generate the The J. Paul Getty Trust is an international philanthropic organization same month-to-month returns, merely returns with the same based in Los Angeles. With a USD 5.5 billion endowment, it is one of the statistical properties and risk characteristics as a given fund or largest philanthropic supporters of the arts in the world. Steve Algert has index. Not surprisingly, Harry Kat’s research conclusions are headed its hedge funds investments since 2006. Prior to which he vigorously contested by the majority of the hedge fund world. In this worked for the University of California endowment and was Director of session, the ever pugnacious Harry Kat will outline his research and Hedge fund Investments for Citigroup Alternative Investments. then offer an ‘open mike’ to hedge fund managers in the audience who are confident enough in their ‘intellectual mud-wrestling’ skills to Arguing for strategy tba attempt to challenge or disprove his assertion that the net returns of Charles Woodhouse, Head of Alpha Investments, synthetic hedge funds will in the majority of cases clearly outperform Queensland Investment Corporation – Australia those of traditional hedge funds. Please refer to Wednesday 7.40am session for Charles’s bio Professor Harry Kat, Professor Finance, City of London Business School - United Kingdom Arguing for event arbitrage Harry Kat is known for his academic and professional work in structured Michael Aked, Managing Director equity derivatives and alternative investments. He has published widely University of Virginia Endowment – USA in these areas in well-known finance journals such as The Journal of Please refer to Thursday 8.10am session for Michael bio Financial and Quantitative Analysis, The Journal of Derivatives and The Journal of Financial Engineering. His latest book is Structured Equity Derivatives. Before returning to academia, Harry was Head of Equity 2.45pm Close of congress Derivatives Europe at Bank of America in London, Head of Derivatives Structuring and Marketing at First Chicago in Tokyo and Head of Derivatives Research at MeesPierson in Amsterdam. He is a member of the editorial board of The Journal of Derivatives and The Journal of Alternative Investments. Global ARC’s Wooden Spoon Award 1.55pm Global ARC’s Wooden Spoon Award: killer 2008 strategy. Building upon the success of our inaugural Global ARC Wooden Spoon award in 2006, where four investors were required to propose competing hedge fund allocation strategies, our 2007 Wooden Spoon of Honor will address competing hedge fund single strategies. Our four investors will each argue in favor of a single hedge fund strategy – long/short, global macro, convertible arbitrage etc – which they feel investors should overweight in 2008 as it offers the best chance of out performance in the next 12 to 18 months. Global ARC’s ‘board of trustees’ – our audience – will then vote on the panelist that has made the most convincing case. The three runners up will each receive a bottle of vintage Australian wine, whilst the winner will receive the coveted Global ARC Wooden Spoon. Chair Robert Cultraro, Director of Investments Hydro One Pension Plan – Canada Please refer to Tuesday 8.10am session for Robert’s bio 10
  • 11. that over the 80 months since the inception of GoldenTree's flagship Master Fund, Global ARC wishes to thank the following the Fund has outperformed one or both of its yardsticks, the Merrill Lynch High sponsors for their support: Yield Index II and the S&P 500, and/or was positive in 79 out of 80 months. It is in Bridgewater's DNA to innovate, unshackled by In Association With AIMA Canada: conventions. As a result, over the past thirty years, Bridgewater has helped pioneer investment strategies such as currency overlay management, the separation of Founded in 1990, AIMA is a not-for-profit global trade association with corporate alpha and beta, and inflation-linked bond management. membership in 47 countries. AIMA focuses specifically on Bridgewater began managing assets in its optimal alpha strategy, Pure Alpha, in hedge funds, managed futures and managed currency funds. 1991 and in its optimal beta strategy, All Weather, in 1996. Bridgewater has 390 Over 1100 corporate members, enable the Association to employees, one third of whom are engaged in research and trading. Bridgewater create global tools for the benefit of its members, institutional manages approximately $164 billion in global investments for a variety of investors and regulators. Its objectives are to increase investor institutional clients, including: foreign governments and central banks, corporate education, transparency and promote due diligence and related and public pension funds, university endowments and charitable foundations. We sound practices, and to work closely with regulators and believe the best way to manage money is to separate investment alpha (returns interested parties in order to promote the responsible use of alternative from active management) from beta (returns from passively holding a portfolio) and investments. AIMA's membership includes fund of funds managers, institutional then create optimal portfolios of each. Bridgewater's clients specify their desired investors, hedge fund managers, prime brokers, exchanges, fund administrators, targeted risk levels, we replicate that benchmark and then follow a fundamental, lawyers and other specialist service providers. Please visit us at www.AIMA.org. systematic investment process to generate alpha. A global franchise with offices in New York, Westchester, San Francisco, Chicago, London, Global ARC 2007 Sponsors: Paris, Tokyo, Hong Kong, Singapore and Sydney, we provide centralized clearance and custody, while optimizing clients' operational efficiency across multiple asset classes. We State Street Corporation is the world's leading specialist in facilitate such achievements through our full-range of services, including risk providing institutional investors with investment servicing, analytics, consolidated reporting, client service, capital introductions, financing and investment management and investment research and trading securities lending. We are differentiated in having a dedicated asset owner group, services. With US$11.9 trillion in assets under custody and which focuses on assisting institutional investors in a variety of roles: these include US$1.7 trillion in assets under management, State Street hedge fund education, a centralized documentation process and an aggregated operates in 26 countries and more than 100 geographic account client service model. For two consecutive years, both Global Custodian markets worldwide. Through its acquisition of International and Institutional Investor have ranked Morgan Stanley the number one overall Fund Services (IFS) in 2002, State Street significantly expanded its hedge fund prime broker, the latter adding that "Morgan Stanley's Prime Brokerage unit servicing and risk management capabilities for hedge fund managers and remains the industry's gold standard." investors, currently administering more than $200 billion assets. State Street Global Advisors, State Street's investment management arm, has two decades of absolute return investment expertise and offers an array of strategies focused on generating The New York Mercantile Exchange, Inc. is the alpha. State Street Global Markets, State Street's investment research and trading largest physical commodity futures and options arm, is recognized by hedge fund managers for setting industry standards in exchange and clearinghouse in the world and the foreign exchange trading and for providing unique investment research. preeminent energy and precious metals futures and options trading forum, providing liquidity and market transparency. Its physically delivered futures contracts for crude oil, heating oil, gasoline, natural gas, gold, Founded in 1989, Northwater Capital Management Inc. is an employee-owned silver, platinum, palladium, and copper are used as global pricing benchmarks. company with offices in Toronto, New York and These futures contracts are available for trading through the CME Globex® Chicago. Northwater seeks low-cost market exposure electronic trading system for over 23 hours a day, including side-by-side with the (beta) through a variety of derivative-based investment trading floor. The CME Globex slate also includes financially settled futures for products and high-quality, diversified alpha through its energy, metals, and soft commodities. NYMEX also lists more than 250 natural gas market-neutral fund of hedge funds. Northwater's basis, electricity, coal, other energy, and related futures and options contracts that Portfolio Platform™ is a proprietary system that allows institutional clients the ability can be transacted off-exchange and submitted to the clearinghouse through the to port their choice of alpha to their preferred asset classes or investment policy NYMEX ClearPort® clearing electronic platform. The Exchange has received and mix. In addition, the Northwater intellectual property fund was launched in early maintains an AA counterparty credit rating from Standard & Poor's. 2006 to provide investors with a wide exposure to IP opportunities. As of December 31, 2006, Northwater had assets under management of over U.S. $9.2 billion, TD Securities Prime Brokerage Services is one of including U.S. $4.4 billion in its market-neutral fund of hedge funds, most of which Canada’s leading service providers to the alternative is used in portable alpha structures. investment industry. Our clients include a large number of Alternative Investment Managers with a Diversified Global Asset Management, or DGAM, is a North American focus. Our Prime Brokerage professionals are able to offer fund-of-hedge fund and hedge fund manager based in customized hands-on support and guidance with trade execution, margin financing, Toronto and New York. Since inception in January securities lending, settlement and clearance, custody and technology. We can also 2004, DGAM has partnered with a range of provide introductions and work with other areas of the firm such as trading, institutional clients located in the United States, Europe and Canada, including both structured products, FX, tax structuring and investment banking. Our large internal public and corporate pension funds and endowments. The firm is skilled at holdings as well as the strong relationships we maintain with an extensive network identifying and accessing high quality hedge fund managers globally and in building of securities lenders can guarantee both low borrowing costs and excellent access diversified portfolios to meet the specific requirements of our clients. Many of to difficult-to-borrow securities. The Toronto-Dominion Bank and its subsidiaries are DGAM's clients have direct and indirect hedge fund programs and rely on DGAM collectively known as TD Bank Financial Group (TDBFG). TD Bank Financial Group for its unique ability to identify, originate and customize new and emerging hedge offers a full range of financial products and services to more than 14 million fund strategies and to incorporate these strategies into portfolios that are designed customers worldwide. As of January 31, 2007 , TD Bank Financial Group had CDN to exhibit low levels of volatility and high information ratios. DGAM recently $ 408 billion in assets. TD Bank Financial Group ranks as one of the top on-line launched a structured hedge fund designed to access an optimized portfolio of financial services providers in the world with more than 4.5 million on-line traditional hedge fund strategies in an efficient and scalable manner. customers. GoldenTree Asset Management, a Registered Ivy Asset Management Corp (Ivy), a wholly Investment Advisor with offices in New York, owned subsidiary of the Bank of New York London, Los Angeles, Chicago and Dallas, manages Mellon Corporation and a Registered $6.8 billion of absolute return strategies which invest Investment Advisor, is recognised as one of the in bank debt, high yield bonds, distressed debt, middle market loans, equities and leading multi-manager alternative investment specialists. Since our inception in real estate. GoldenTree is a bottom up value investor with more than 140 1984, Ivy's clients have participated in niche styles and sophisticated strategies not employees. As absolute return investors, we actively use short positions, hedges typically available to the general investing public. We offer a range of innovative and leverage to create alpha, manage beta and optimize our investments. Over multi-manager hedging products and customised portfolios developed to meet many years and market cycles, GoldenTree has demonstrated an ability to produce specific client objectives. As of July 2007, the firm manages approximately USD distinguished returns in all funds and products. A statistic which demonstrates the 15.9 billion of investor capital, Ivy's objective is to offer a range of investment consistency of performance and downside protection of the investment process is products and services that provide investors with consistent risk adjusted 11
  • 12. performance in varying market conditions. In addition, Ivy has built and maintains a Advisor with the US Securities and Exchange Commission and is licensed as a strong infrastructure in order to provide quality research, superior client service, Commodity Trading Advisor and Commodity Pool Operator with the National and a full range of accounting and other supporting services. In addition to Futures Association. Stonebrook was founded in 1993 by Jerome Abernathy, commingled multi-manager investment funds, Ivy also offers the option of portfolio Ph.D., Chief Investment Officer. Dr. Abernathy is the former Head of Research of customisation. Moore Capital Management and co-authored the seminal paper on Alternative Beta and the character of hedge fund returns. Dr. Abernathy received his B.S. degree from Howard University and both a M.S. and Ph.D. from the Massachusetts ReachCapital Management LLC, an SEC-registered investment advisor, Institute of Technology. specialises in long/short international equity investment. Founded seven years ago, ReachCapital is a recognised leader and consistent top-quintile performer in European Wood Creek has built an asset management firm small and mid-cap equities. Today, Reach dedicated exclusively to alternative alternative manages over USD 3 billion in assets across investments™. Wood Creek offers an absolute four different strategies, emphasising bottom-up stock selection driven by in-depth return focused, multi-asset platform with low fundamental research. The strategies include the Reach International funds as well correlation to a portfolio of strategies involving financial securities and access to as the European-focussed Lucerne funds. ReachCapital leverages its extensive investments at the cutting edge of the alternative investment business. The network of longstanding global relationships and maintains offices in New York and strategies within Wood Creek's investment mandate involve either direct ownership The Netherlands. The dedicated team of nine investment professionals allows of real assets or lending to holders against the value of those assets. Wood Creek Reach to continuously identify and research new opportunties. Building upon also focuses on strategies that trade and invest in non-financial sectors. The firm decades of global experience, the team posesses a deep understanding of the was founded in 2005 as a joint venture between Norfolk Management Group, LLC, international equity markets and has developed long-term relationships with an investment holding company specializing in alternative investments, and financial leaders, company executives and senior managers throughout Europe MassMutual Financial Group. and Asia. Overlaying the foundation of fundemental research and stock selection is thoughtful portfolio construction and rigorous risk management. OneCapital Management Partners, based in New York, is a diversified alternative investment Riskdata is the leading provider of expert risk management company that develops and manages management solutions developed specifically single-advisor hedge funds, multi-advisor funds of hedge funds, and related for the global alternative investment structured solutions. In addition to its OneCapital-branded funds of hedge funds, community. Riskdata's comprehensive the firm has developed the proprietary OneCapital Multi-Advisor Platform. This solutions enable investment managers to proactively manage and control credit modular structure allows the firm to configure and manage investments in the and market risk, while mitigating systemic and model risk through and independent, manner best suited to a client/partner's goals. The Platform can be used by both efficient and objective approach. Riskdata's FOFiX system specifically developed direct investors, and by other financial institutions in partnership with OneCapital, to for investors in hedge funds. FOFiX is a complete hedge fund risk profiling solution address investment and business needs, and to solve problems and meet combined with a risk based portfolio construction tool. It enables investors to challenges in alternative investments. Specifically, OneCapital can create niche structure and apply a risk budgetting approach consistently throughout the entire portfolios and funds of hedge funds customized by strategy, sub-strategy, investment process. FOFiX uses state-of-the-art methodologies that account for geography or mathematical parameter. Using the Platform, OneCapital can offer non-linear and extreme behaviour of hedge fund strategies. Riskdata has offices in full transparency and any desired level of client/partner involvement in the New York, London and Paris and more than 100 clients worldwide. For more investment process. information please visit www.riskdata.com Founded in 1987, Integra Capital Management is a Canadian investment management firm that partners with leading, world-class investment management organizations from Canada and around the world to provide institutional and individual investors with an exceptional level of investment Global ARC 2007 Associate Sponsors: expertise and client servicing. Integra Alpha Beta Strategies (Integra ABS) a division of Integra, provides a diverse array of absolute return strategies driven by a combination of our internal resources and the demonstrated strengths and Specialists in European alternative investments for institutional investors experience of our international investment partners. These strategies include: Strathmore Capital LLP invests in European alternative investments on behalf of Liability Driven Investment Solutions; -Pure Alpha Solutions; Risk Management institutional investors. Based in London, we focus on Solutions; and Short Enabled Strategies. Strategic solutions are specific to the the growing universe of hedge funds and niche return needs and the degree of risk management required by each institutional investment strategies in Europe. Our highly skilled investor. They bridge both Beta (policy) and Alpha (strategy) in creating the team of investment professionals draws on appropriate solutions for the requirements of the institutional investor. extensive experience, in-depth market knowledge and a broad network of market contacts in an unrelenting search for alpha. We target managers whose returns demonstrate persistent alpha and are independent of market factors. We search for ING Investment Management is the primary investment opportunities across a wide spectrum of alternative strategies, from the investment arm of ING Group, one of the largest conventional to the esoteric. We do not pay alpha fees for beta performance. We financial services companies in the world. ING offer our clients a range of solutions including bespoke portfolio management on a Investment Management manages over USD 197 billion in equities, asset managed account basis, providing a highly transparent investment process and allocation, fixed income and alternative investments. Our mission is to build an reporting information tailored to their requirements. All of our processes and information advantage through original reearch dedicated toward development and operations have been structured to meet the rigorous standards demanded by delivery of customised client investment solutions. Towards that end, ING offers institutional investors. separate accounts, mutual funds, annuities and structured asset products to a diverse client base including public, corporate and Taft-Hartley pension funds, Man Investments is a global leader in alternative investments. It endowments and foundations, insurance companies, and mutual funds. In every has spent two decades understanding investor requirements, aspect of our business we apply ING core values of professionalism, integrity and identifying opportunities, and developing leading edge products teamwork to respond to changing markets and client needs. and tailor-made solutions for private and institutional investors. Each of Man's core investment managers - AHL, Glenwood, Founded in 1999, RAB Capital PLC has grown into Man Global Strategies, Pemba and RMF - has distinct a global absolute return asset management firm expertise in one or more alternative asset classes: hedge funds, leveraged finance with USD 6.7 billion of assets under management and convertible bonds. Man continues to explore opportunities across the as of 30th June 2007. RAB Capital PLC currently manages a diverse array of alternative investment spectrum in order to enhance its client offerings. Hedge hedge fund strategies, along with the AIM-quoted RAB Special Situations funds are the cornerstone of the business, and Man offers a range of risk/reward Company. RAB Capital PLC's philosophy is to find highly talented investment profiles through its funds of hedge funds, structured, style products and single managers and to provide them with the institutional infrastructure necessary to manager products. Man Investments manages over $61 billion (estimate as at 30 generate superior absolute returns. RAB capital PLC is a constituent of the FTSE March 2007) and has a powerful global distribution network. AIM UK 50 Index and is authorised and regulated by the Financial Services Authority. Stonebrook Capital Management LLC is a leading alternative investment firm specializing in Alternative Beta solutions for institutional and qualified individual investors. Since 1993, Stonebrook has structured and managed over $1 billion in asset management products for approximately fifty corporate clients. Based in New York City, Stonebrook is a Registered Investment 12