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PRMIA Montreal Career Day Charles Vanasse
PRMIA Montreal Career Day Charles Vanasse
PRMIA Montreal Career Day Charles Vanasse
PRMIA Montreal Career Day Charles Vanasse
PRMIA Montreal Career Day Charles Vanasse
PRMIA Montreal Career Day Charles Vanasse
PRMIA Montreal Career Day Charles Vanasse
PRMIA Montreal Career Day Charles Vanasse
PRMIA Montreal Career Day Charles Vanasse
PRMIA Montreal Career Day Charles Vanasse
PRMIA Montreal Career Day Charles Vanasse
PRMIA Montreal Career Day Charles Vanasse
PRMIA Montreal Career Day Charles Vanasse
PRMIA Montreal Career Day Charles Vanasse
PRMIA Montreal Career Day Charles Vanasse
PRMIA Montreal Career Day Charles Vanasse
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PRMIA Montreal Career Day Charles Vanasse

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  • Talisman Energy STIF (Account 41134) Bow Valley PFT (41132) Pension (41130) Pension Plan for executives (41133)
  • Laura Lindsay, CFA - contract covering for Elaine Lindhorst ended on July 24, 2009 Rachel Volynsky, CFA – left Apr 13, 2009 Sungchul Shin, CPA, CFA moved to TD Wealth Management Operations Group, Toronto as manager of risk management – April 6, 2009 Yanan Wu, CFA, Ph.D. – left Mar 18, 2009 Carlos Phillips – joined Jan 5 2008 This slide is approved and provided by Compliance. Please see next page for additional disclosures. Andrea Saadi – Joined Aug 25 Patricia Tiralongo – Move to RM effective Sep 8 Art Heginbottom – retired October 31 Julie Perks – resigned Aug 20, 2009
  • Schéma résume les processus d’investissement chez TDAM Les 3 stratégies se conforment au processus. Nous verrons comment dans les prochaines pages. Dans un premier temps, les titres ont évalués afin d’identifier ceux qui pourraient dévier de leur trajectoire estimée ou prédite. Les couts de transaction sont estimés pour chaque transaction envisagée. Portefeuilles de positions longues et de position courtes (short) sont construits en tenant compte du risque de ces positions. L’implémentation, les transactions sont réalisées par un groupe dédié de professionnels. Effort de recherche permanant : (ré-)évaluation fondamentale et quantitative de la valeur des titres, couts de transactions, risque pour s’assurer de l’optimalité des portefeuilles Tout le processus est encadré dans une discipline formelle de gestion des risques. Processus très structuré qui produits les résultats.
  • Transcript

    • 1. PRMIA Montreal Career Day Charles Vanasse Vice-President and Director 5 November 2009 TD ASSET MANAGEMENT GESTION DE PLACEMENTS TD
    • 2. Agenda
      • TDAM in general.
        • Assets
        • Structure
        • Institutional Products
      • Focusing on Quantitative Portfolio Management
        • Quant strategies
        • Philosophy, processes, roles.
        • Products cycle.
        • Tasks and tools
        • Skills
    • 3. TD Asset Management Inc. ASSETS
      • Established in 1987: Long and distinguished history
      • One of Canada’s largest asset managers 1 , with C$172.7 billion 2 in assets under management (over C$106 billion in fixed income)
      • Culture of operational and risk management excellence
      • Broad and diversified client expertise
      • Strength and stability of TD Bank
      Expertise, track record and risk-management focus 1 “The Top 40 Money Managers (as of December 31, 2008)” Benefits Canada, May 2009 2 As of September 30, 2009 Note: Numbers may not add due to rounding.
    • 4. Investment Management Division Organizational Structure 7-10 Research Professionals Notes: In addition to the above areas, we also have a division that focuses on high net worth clients and an Internal Distribution Management Team. TD Asset Management includes TD Asset Management Inc. and TDAM USA Inc. TD Asset Management Inc. and TDAM USA Inc. are wholly-owned subsidiaries of The Toronto-Dominion Bank (TD Bank). TDAM USA Inc. is an affiliate of TD Asset Management Inc. TD Asset Management Inc. leverages the experience of TDAM USA Inc. employees. 15-20 Portfolio Managers and Traders 8 Credit Research Professionals INVESTMENT MANAGEMENT Passive, Quantitative and Quantitative-Active Fundamental Active Investment Grade Credit Research Fixed Income Index / Quant Research Fundamental Fixed Income Fundamental Equities 20 Portfolio Managers and Analysts DISTRIBUTION MANAGEMENT 13 Relationship Managers External Distribution & Institutional Relationship Management President 3 Portfolio Managers High Yield 15-20 Portfolio Managers and Traders Index / Quant Investment Management 25 Professionals Hedge Fund & Quantitative Risk Investment Risk Policy & Operational Risk RISK MANAGEMENT Chief Risk Officer
    • 5. Institutional Products
      • Institutional Pooled Fund Trusts
        • Equity
        • Fixed Income
        • Balanced
        • Alternative
      • Customized Solutions
        • Policy Management (Currencies, Asset-Mix,…)
        • Liability Driven Investment (LDI)
        • Transition Management
        • Segregated Portfolios
      • Canadian, US and Global Assets
    • 6. Quantitative Strategies
      • Equities (Canada, US, Global)
        • Passive (indexing)
        • Long-only quantitative active (benchmarked on indices)
          • Some are currency hedged
        • Quantitative Active Extensions (“130/30”, benchmarked on indices)
        • Low volatility and managed volatility
        • Long-Short Market-Neutral
      • Fixed Income (Canada, US, Global)
        • Passive (Indexing)
        • Long-only quantitative active (benchmarked on indices)
          • Some are currency hedged
      • Liability Driven
        • Min Surplus Risk
        • Duration extension
        • Portable alpha
    • 7. Quantitative Portfolio Management Group Philosophy, Processes and Roles Delivering Optimal Risk-Adjusted Returns Risk Trading Transaction Costs On-going Research Portfolio Construction/ Optimization Risk Management And Compliance Alpha
    • 8. Quantitative Portfolio Management Group … RISK
      • Different types of risk:
        • Total risk
        • Market risk
        • Benchmark risk (Index, Policy mix, …)
        • Surplus risk
        • Currency risk
      • We use risk models for all quantitative investment strategies
        • To measure various forms of risk
        • To understand risk sources.
        • To control risk
        • To manage risk
      • The Quantitative Portfolio Management Group has expertise in using and producing customized risk models.
    • 9. Quantitative Portfolio Management Group … ALPHA
      • Alpha is central to any form of active management.
      • Ex-Ante alpha is the predicted risk-adjusted return of an investment strategy.
          • Single security level forecasts
          • Tilts (Value/Growth, Gov/Corp,…)
          • Market direction forecast
      • Forecasts might have different horizons.
      • Ex-Ante alpha is an input to quantitative active portfolio management.
      • At TDAM, the Quantitative Research group is responsible for producing forecasts used in quantitative active strategies.
    • 10. Quantitative Portfolio Management Group … Transaction Costs
      • Transaction costs are a reality.
        • Commissions
        • Stamp duties
        • Market impact
      • Market impact is a function of liquidity, urgency and size of trades.
      • At TDAM:
        • We use market impact models to balance ex-ante risk-adjusted returns with cost of trading over desired horizon.
        • The Quantitative Research Group calibrates predicted trading costs according to the horizon of predicted risk-adjusted alpha and investment horizon.
    • 11. Quantitative Portfolio Management Group … Optimal Portfolio Construction
      • Passive and quasi-passive investment strategies.
        • Min ( σ 2 + transaction costs)
        • subject to constraints (policy, compliance…)
      • Active quantitative investment strategies.
        • Max (alpha – λσ 2 – transaction costs)
        • subject to constraints (policy, compliance…)
      • At TDAM:
        • Quantitative Research Group is responsible for the R&D regarding optimization tools we use.
        • Final portfolio construction is performed either by the Portfolio Managers or the Research group.
        • Portfolios are rebalanced according to horizon of forecasts, evolution of risk and policy constraints.
    • 12. Quantitative Portfolio Management Group … Implementation-Trading
      • The Portfolio Manager controls the implementation phase:
        • He observes market activity, he monitors news and corporate actions, he observes current liquidity…
        • He manages cash flows.
        • He instructs Trading Team on how he would like to implement changes when rebalancing the portfolio.
        • He monitors trading in real time.
        • He monitors portfolio performance in real time .
        • He monitors compliance with investment policy of all portfolios and accounts in real time.
      • The Trading Team performs trades according to trading strategies discussed with the portfolio manager.
      • The Trading Team provides feedback to PM and Research on liquidity and market impact.
    • 13. Product Cycle
      • R&D
        • Investment ideas-strategies
        • Tests of strategies
          • Historical data
          • Simulations/backtests
          • Stress-testing
        • Development of production tools
        • Audit
      • Deploy
        • Risk Management, Compliance, Legal…
        • Migration to Portfolio Management Group
        • Seeding
        • Maintenance (Production of forecasts, risk models etc…)
        • Performance attribution.
        • Enhancements
    • 14. Quantitative Portfolio Management Tasks and Tools
      • Research Data Group.
        • Electronic external feeds
          • Numerous sources
          • C# and various customized web based applications
        • Database
          • Structuring
          • Maintenance & synchronization
          • C#, SQL
        • Quality control
          • C#, SQL
      • Research analysts.
        • Investment ideas…
        • Testing of strategies
          • Matlab, SQL
        • Development of tools: daily management and performance attribution.
          • Matlab, SQL
        • Presentations (to colleagues and clients)
    • 15. Quantitative Portfolio Management Skills
      • TEAM PLAYER (multi-disciplinary group)
      • Programming (Matlab, SQL, C#, …)
      • Knowledge and understanding of financial strategies.
      • Sound quant skills (financial econometrics, operations research, maths, stats, engineering, computer science…)
      • Ability and willingness to work with data
      • Knowledge of financial data (Compustat, Worldscope, IBES, Reuters…)
      • Understanding of financial statements (Accounting, CFA…)
      • Communication and presentation skills.
      • Result oriented
    • 16.
      • Thank You!

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