EDHEC
       Institutional Days 2009
         Bringing research insights to institutional investors

                     ...
EDHEC Institutional Days 2009
DAY 1 - Synopsis

                   7:15
                                                  ...
26-27 May - Paris




                                                                                                    ...
Conférence annuelle de la gestion
institutionnelle française
mardi 26 mai
10:45-12:00 Les fonds ISR tiennent-ils leurs    ...
ETF and Indexation Summit
Tuesday, 26 May
7:15-8:00 Registration, morning coffee and tea                                  ...
EDHEC-Wall Street Journal Europe Global
          Institutional Investment Conference
                                    ...
Global Event Partners



Gold Sponsors




Silver Sponsor




EuroPerformance–EDHEC Alpha League Table Forum




Exhibitor...
Industry surveys: comparing research
                                                                                     ...
EDHEC Institutional Days 2009
26-27 May 2009 - Paris - CNIT La Défense
                                                   ...
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EDHEC

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  1. 1. EDHEC Institutional Days 2009 Bringing research insights to institutional investors 26-27 May 2009 - Paris - CNIT La Défense ETF Indexation Summit What developments have been observed in institutional investment in ETFs? Organisation of the investment process, risk budgeting and ETFs conference What are the advantages and disadvantages of ETFs in comparison with other passive investment media? What are the new forms of indices that make it possible to optimise passive investment? EDHEC WALL STREET JOURNAL EUROPE Global Institutional Investment Conference Financial management of sovereign wealth funds Incorporation of regulatory constraints into management of European pension funds How to make equity structured products an integral part of institutional management Conférence annuelle de la gestion institutionnelle française Les fonds ISR tiennent-ils leurs promesses ? Comment tenir compte des contraintes IFRS et Solvabilité II pour la gestion institutionnelle ? Quelles leçons à tirer de la crise pour la gestion institutionnelle ? L’impact de Solvabilité II sur la gestion des compagnies d’assurance EDHEC Institutional Days 2009 l 1 l Bringing Research Insights to Institutional Investors
  2. 2. EDHEC Institutional Days 2009 DAY 1 - Synopsis 7:15 Registration, morning coffee and tea 8:00 EDHEC Institutional Days 2009 Opening Address Conférence annuelle p5 p5 de la gestion EuroPerformance– institutionnelle ETF and Indexation Summit EDHEC Alpha League française p4 Table Forum or 8:30 ETFs in Institutional Investment EDHEC European ETF Survey 2009 10:00 Break 10:45 Stream 1 Stream 2 Session 1 Les fonds ISR tiennent-ils leurs New Forms of Equity Using Dynamic Core Alpha League Table promesses ? Indices Satellite Techniques in an Forum Absolute Return Context 12:00 Access to workshops Access to workshops Workshops and exhibition area and exhibition area 13:00 Lunch 14:15 Access to workshops Access to workshops Workshops and exhibition area and exhibition area 15:15 Break 16:00 Comment tenir compte Stream 3 Stream 4 Stream 5 Session 2 des contraintes IFRS et Solvabilité II pour la Property Indices Optimal Risk New Forms Alpha League Table gestion institutionnelle ? Management of Bond Indexing Forum with ETFs 17:15 p5 EDHEC-Robeco-Journal of Portfolio Management Award 2009 Unveiling and presenting the research paper published in the Journal of Portfolio Management in 2008 with the most relevance for the European institutional investment industry. 18:30 Day 1 19:30 Sponsored Drinks Reception EDHEC Institutional Days 2009 l 2 l Bringing Research Insights to Institutional Investors
  3. 3. 26-27 May - Paris Day 2 - Synopsis 7:45 Registration, morning coffee and tea Conférence annuelle p6 p6 de la gestion p4 EDHEC-Wall Street Journal Europe Global EuroPerformance– institutionnelle Institutional Investment Conference EDHEC Alpha League Table Forum or 8:30 française ALM and Risk Management for Sovereign Wealth Funds 10:00 Break 10:45 Stream 6 Stream 7 Stream 8 The Impact Target-Date Exploiting the Quelles leçons of the Regulatory Funds Credit Market Session 3 tirer de la crise Environment Recovery pour la gestion on the Financial Alpha League Table institutionnelle ? Management Forum of European Pension Funds 12:00 Access to workshops Access to workshops Workshops and exhibition area and exhibition area 13:00 Lunch 14:15 Access to workshops Access to workshops Workshops and exhibition area and exhibition area 15:15 Break 16:00 Stream 9 Stream 10 Stream 11 Session 4 L’impact de How to Reconcile The Performance The Place of Alpha League Table Solvabilité II sur la Short-Term and Risk Equity Structured Forum gestion des compagnies Constraints Reporting Needs Products in d’assurance and Long-Term of Institutional Institutional Objectives? Investors Investment Day 2 17:15 EDHEC Institutional Days 2009 l 3 l Bringing Research Insights to Institutional Investors
  4. 4. Conférence annuelle de la gestion institutionnelle française mardi 26 mai 10:45-12:00 Les fonds ISR tiennent-ils leurs 16:00-17:15 Comment tenir compte des promesses ? contraintes IFRS et Solvabilité II pour la gestion > Comment évaluer les performances des fonds ISR ? institutionnelle ? > Les fonds ISR commercialisés en France produisent-ils de > Quelles sont les avancées depuis QIS4 en matière de mise l’alpha ? en œuvre de la Directive Solvabilité II ? > Les fonds ISR protègent-ils les portefeuilles des investisseurs > La mise en œuvre des bonnes pratiques de risk management contre les risques extrêmes ? est elle compatible avec Solvabilité II et le cadre comptable > Un premier bilan des bénéfices de l’investissement ISR pour IAS ? les investisseurs institutionnels français. > Comment mettre en œuvre une gestion financière de qualité dans un cadre Solvabilité II et avec des contraintes IFRS ? > Les propositions de l’EDHEC pour l’évolution du dispositif 12:00-15:15 Accès aux ateliers et à l’espace réglementaire de la gestion institutionnelle française. d’exposition mercredi 27 mai 10:45-12:00 Quelles leçons tirer de la crise pour la 16:00-17:15 L’impact de Solvabilité II sur la gestion institutionnelle ? gestion des compagnies d’assurance > Hedge funds et fair value : les faux coupables de la crise > Optimisation de la gestion des passifs : impact de financière. Solvabilité II sur la politique stratégique et commerciale, la > Les limites du dispositif prudentiel. tarification et la conception des contrats. > Comment construire des régulations moins pro-cycliques ? > Gestion des groupes et conglomérats financiers : quels > Remise en cause des modèles traditionnels de moyens pour optimiser des profils de risques naturellement gestion actif-passif, questionnement sur l’intérêt de la déséquilibrés? diversification, limites de la gestion des budgets de VaR > Quelles possibilités les mutuelles doivent-elles exploiter ? et nouvelles approches du risk management : quelles sont les conséquences de la crise pour la gestion financière des investisseurs institutionnels ? > Quelles leçons tirer de l’affaire Madoff pour la gestion collective européenne ? Responsabilité du dépositaire, passeport européen, réglementation de la gestion et de la multigestion alternative : une nouvelle donne. 12:00-15:15 Accès aux ateliers et à l’espace d’exposition EDHEC Institutional Days 2009 l 4 l Bringing Research Insights to Institutional Investors
  5. 5. ETF and Indexation Summit Tuesday, 26 May 7:15-8:00 Registration, morning coffee and tea 15:15-16:00 Break 8:00-8:30 EDHEC Institutional Days 2009 Opening 16:00-17:15 Stream 3 - Property Indices Address > The significance of indices and index derivatives for property portfolio management. > Unlisted property: the challenges of index construction. PLENARY SESSIONS > Introducing the EDHEC/IEIF Commercial Property Index 8:30-10:00 ETFs in Institutional Investment – (France). EDHEC European ETF Survey 2009 > Unveiling the results of an exclusive survey of 200 top European Investors. 16:00-17:15 Stream 4 - Optimal Risk Management > New trends in ETF usage. with ETFs > Perceived benefits and drawbacks of ETF vis-à-vis other > How to build an efficient benchmark from a total risk/ indexing products. return standpoint. > Adoption of ETFs and the core satellite framework across > Optimising the performance of a portfolio of ETFs while the various asset classes. controlling for the risk of ‘negative’ tracking error. > Optimal risk budget management for alternative investment-based ETFs. 10:00-10:45 Break 10:45-12:00 Stream 1 - New Forms of Equity 16:00-17:15 Stream 5 - New Forms of Bond Indexing Indices > Limits and shortcomings of traditional bond indices. > What makes a good index for institutional investors? > Assessing new forms of fixed-income indices. > What are the weaknesses of market indices in terms of > Understanding new research directions and their promises. diversification? > How to build truly efficient indices? 16:00-17:15 EuroPerformance–EDHEC Alpha League Table Forum or 10:45-12:00 Stream 2 - Using Dynamic Core- Satellite Techniques in an Absolute Return Context > Limits to diversification and tactical allocation in an absolute return management context. PLENARY SESSIONS > Principles and relevance of the core-satellite approach for 17:15-18:30 EDHEC-Robeco-JPM Award 2009 absolute return strategies. Unveiling and presenting the research paper published in > Accounting for investor preferences and investment the Journal of Portfolio Management in 2008 with the horizon in fund design. most relevance for the European institutional investment > Using ETFs to implement a dynamic core-satellite absolute industry. return fund. 18:30-19:30 Sponsored Drinks Reception 10:45-12:00 EuroPerformance–EDHEC Alpha League Table Forum or 12:00-13:00 Workshops 13:00-14:15 Lunch 14:15-15:15 Workshops EDHEC Institutional Days 2009 l 5 l Bringing Research Insights to Institutional Investors
  6. 6. EDHEC-Wall Street Journal Europe Global Institutional Investment Conference Wednesday, 27 May 7:45-8:30 Registration, morning coffee and tea 10:45-12:00 EuroPerformance–EDHEC Alpha League Table Forum or PLENARY SESSIONS 12:00-13:00 Workshops 8:30-10:00 ALM and Risk Management for Sovereign Wealth Funds > Designing a formal investment management model for 13:00-14:15 Lunch sovereign wealth funds. > Accounting for the (risks of) variability of state contributions in asset allocation. 14:15-15:15 Workshops > Identifying the liabilities of sovereign funds and their consequences for investment management. 15:15-16:00 Break > Reconciling optimal asset allocation and concentrated portfolios of strategic holdings and large-stake financial investments. 16:00-17:15 Stream 9 - How to Reconcile Short-Term Constraints and Long-Term Objectives? > The financial cost of short-termist regulation for a 10:00-10:45 Break pension fund. > Reducing the economic burden of regulation through dynamic asset allocation. 10:45-12:00 Stream 6 - The Impact of the > Assessing static vs. dynamic ALM in the presence of Regulatory Environment on the Financial funding ratio constraints – case studies. Management of European Pension Funds > Regulatory and accounting constraints on the asset- liability management of pension funds. 16:00-17:15 Stream 10 - The Performance and Risk > How will the reforms of International Accounting Reporting Needs of Institutional Investors Standards impact investment management within European pension funds? > Unveiling the results of an exclusive EDHEC survey of top > The pitfalls of focusing on short-term risks: looking at European investors. wage indexation. > Performance and risk reporting expectations in terms of > What should the consequences of the crisis be for the alternative investment funds. solvency regulation of pension funds? > Lessons from the crisis for performance and risk reporting. > Are investor expectations compatible with manager capabilities and intentions? 10:45-12:00 Stream 7 - Target-Date Funds > What is the specificity of target-date funds investment management? 16:00-17:15 Stream 11 - The Place of Equity > What are the limits of target-date funds with Structured Products in Institutional Investment progressively more conservative profiles? > A formal model of the place of equity structured products > The benefits of a state- and time-dependent ALM in an institutional portfolio. approach for target-date funds. > Measuring the impact of equity structured products on > Case study: target-date retirement funds. global portfolio risk. > Finding the optimal weight of equity structured products in the global portfolio. 10:45-12:00 Stream 8 - Exploiting the Credit Market Recovery > Applying the dynamic core-satellite model to fixed- 16:00-17:15 EuroPerformance–EDHEC Alpha League income management. Table Forum or > Implementing optimal substitution of Treasury securities by investment-grade bonds. > Case studies. EDHEC Institutional Days 2009 l 6 l Bringing Research Insights to Institutional Investors
  7. 7. Global Event Partners Gold Sponsors Silver Sponsor EuroPerformance–EDHEC Alpha League Table Forum Exhibitors Research Chair Sponsors Media Partners With the endorsement of EDHEC Institutional Days 2009 l 7 l Bringing Research Insights to Institutional Investors
  8. 8. Industry surveys: comparing research advances with industry best practices EDHEC regularly conducts surveys on the state of the European asset management industry. These specifically look at the application of recent research advances within investment management companies and at best practices in the industry. Survey results receive considerable attention from professionals and are extensively reported by the international financial media. With 110 permanent professors and over 5,000 students spread Recent industry surveys conducted by over three campuses in Lille, Paris and Nice, the EDHEC Group the EDHEC Risk and Asset Management is the largest provider of business education in France and one of Research Centre: the leading business schools in Europe. EDHEC Business School has been offering management training and development programmes since 1906 and is a member of the select group of academic institutions worldwide to have earned the triple crown of international accreditations (AACSB, EQUIS, Association of MBAs). EDHEC Business School set up the EDHEC Risk and Asset Management Research Centre to conduct world-class academic research and highlight its applications to the industry. The centre’s team of 46 researchers carries out six industry-sponsored programmes focusing on asset allocation and risk management in EDHEC Alternative Indexes the traditional and alternative investment universes. www.edhec-risk.com/indexes The different hedge fund indexes available on The EDHEC Risk research chairs involve a close partnership with a the market are computed from different data, sponsor and a commitment from EDHEC over three years leading according to diverse fund selection criteria and to international academic publications and position papers index construction methods; unsurprisingly, aimed at professionals, institutional investors and regulators. they tell very different stories. Challenged by The research chairs include three types of actions: carrying out this heterogeneity, investors cannot rely on the research; organising the dissemination of the research and competing hedge fund indexes to obtain a “true presentation at conferences. The research topics and associated and fair” view of performance and are at a loss plans are drawn up by EDHEC and validated by the sponsor. The when selecting benchmarks. To address this issue, marketing actions are validated and carried out by a steering EDHEC, as early as 2003, was the first to launch committee comprising the marketing director of the EDHEC Risk composite hedge fund strategy indexes. and Asset Management Research Centre and a representative from These indexes are built as the best one- the sponsor. dimensional summaries of the information conveyed by competing indexes for a given style. To optimise exchanges between the academic and business worlds, Consequently, the EDHEC Alternative Indexes the EDHEC Risk and Asset Management Research Centre maintains tend to be very stable over time and are thus a website devoted to asset management research for the industry easily replicable. These non-investable indexes (www.edhec-risk.com), circulates a monthly newsletter to over are widely used by funds of hedge funds and 235,000 practitioners, conducts regular industry surveys and institutional investors for benchmarking and consultations, and organises annual conferences for the benefit performance evaluation. of institutional investors and asset managers. EDHEC’s Research for Business Online The centre’s activities have also given rise to the business offshoot www.edhec-risk.com EDHEC Asset Management Education. EDHEC Asset Management The EDHEC Risk and Asset Management Research Education helps investment professionals to upgrade their skills Centre’s website is aimed at professionals with advanced risk and management seminars and its PhD in who wish to benefit from EDHEC analyses Finance programme. and expertise in the field of applied portfolio management research. The site provides detailed 393-400 promenade des Anglais summaries, from a business perspective, of BP 3116 - F - 06202 Nice Cedex 3 the latest academic research on risk and asset Tel. +33 (0)4 93 18 78 19 allocation as well as the most recent industry Fax +33 (0)4 93 18 78 44 www.edhec-risk.com news assessed in the light of the results of the research@edhec-risk.com EDHEC research programmes. EDHEC Institutional Days 2009 l 8 l Bringing Research Insights to Institutional Investors
  9. 9. EDHEC Institutional Days 2009 26-27 May 2009 - Paris - CNIT La Défense Delegate Fee VAT at French Rate Delegate Fee VAT Included Registration fee €1,000 €196 €1,196 Early bird - 40% discount - before March 30 €600 €117.60 €717.60 Representatives of pension schemes, charities, endowments, foundations, insurance companies (third-party asset management excluded), single family offices and non-financial companies attend free of charge; to register, these representatives should contact: eid2009@edhec-risk.com or +33 493 187 819. The registration fee includes buffet lunch, refreshments and full conference documentation. Delegates may be refused admission if payment is not received prior to the conference. CANCELLATION POLICY Given the moderate conference fee, we do not accept cancellations; invoiced sums will remain payable in full. If a registered delegate is unable to attend, a substitute delegate from the same organisation is welcome at no extra charge. Conference documentation designed by EDHEC Business School will be made available online to all delegates. EDHEC Business School reserves the right to alter the programme without notice. ENQUIRIES REGISTER NOW Email: eid2009@edhec-risk.com www.regonline.com/eid2009 Phone: +33 493 187 819 EDHEC Risk and Asset Management Research Centre 393-400 promenade des Anglais - BP 3116 06202 Nice Cedex 3 - France Tel.: +33 (0)4 93 18 78 19 - Fax: +33 (0)4 93 18 78 41 E-mail: research@edhec-risk.com Web: www.edhec-risk.com

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