abstract of what I said to CFA members about hedge fund exposure just two weeks after Lehman blew up

1. Alternative Assets –
How Risky are Hedge Funds and Private Equity in the Current Climate?
Tuesday 30 September 2008
The venue is generously sponsored by
At a time of extreme stock market turmoil are hedge funds and private equity continuing to
show defensive performances? How do you identify and quantify their risk characteristics
while mitigating risk and maximising future returns? Two experts on alternative asset risk and
return characteristics will consider risk and reward issues in private equity and hedge funds,
including the risk of loss, liquidity risk, benefits of diversification and the role of funds of funds.
18:00 pm Registration
Tea and coffee will be served
Chairman: David Porter, ASIP, Managing Partner, Apposite Capital
18:20 pm Alternative Assets –
How Risky are Hedge Funds and Private Equity in the Current Climate?
Dr Drago Indjic, Project Manager,
BNP Paribas Hedge Fund Centre, London Business School
Year-to-date all broad hedge fund indices indicate a single-digit
losses but other types of risks are more difficult to decipher from hedge
fund databases. Vendor-dependent hedge fund strategy definitions
are source of confusion in market surveys and performance analysis
but even more dangerous is increasing inaccuracy in capturing
hedge fund liquidity terms. At least 40% of industry assets are
distributed through funds of funds exhibiting lack of liquidity, capacity
and hedging. Layered product fees consume up to a half of gross
returns and liquidity has decreased to the point where products
become almost passive, locked-up in exposures to the systematic risk
factors for many quarters. Can unbundling of Alpha and Beta
exposure improve situation for end investors?
Christophe Rouvinez, Head of Investment Solutions,
Horizon21 Private Equity
19:30 pm Questions and Answers Session
19:45pm Close of meeting
Followed by a drinks reception