1. Day 1: June 4th, 2009
7:30 Continental Breakfast and Registration
8:40 WELCOME FROM INFORMATION MANAGEMENT NETWORK
8:45 NEW OPTIONAL PENSION PLAN ON THE HORIZON
In this session, finance ministers from across Canada discuss important trends in the
Canadian pension community. The notion of a collective pension plan has been brought
forth as the best means of supporting Canadian’s long-term financial health. With many
individuals not saving enough for their retirement and given the current economic crisis,
it has been argued this is the ideal setting in which to implement the optional collective
plan.
Panelists:
Iris Evans, Finance Minister, ALBERTA GOVERNMENT
9:30 CRITICAL ISSUES FACING PENSION FUNDS FOR THE NEXT YEAR
- Declining funding ratios
- Reassessing risk and getting back to basics with investments
- A new fixation with fixed income
- A love affair no longer with hedge funds, alternatives and 130/30 strategies
- To hedge or not to hedge currency risk?
- Peer group performance versus plan specific performance measurement
Moderator:
Janet Rabovsky, Practice Leader, WATSON WYATT WORLDWIDE
10:15 Refreshment Break
10:30 ACTIVE AND PASSIVE REVISITED FROM THE PERSPECTIVE OF
2. PEACEFUL CO-EXISTENCE
- Why this just won’t go away
- Market turmoil and the flight to passive but why under duress?
- The purity of passive investing: Madoff’s incredible track record versus boring and
wholesome index returns
- The arithmetic of active management: indisputable and overpowering evidence
- The cost of active management
- Great manager’s runs always end and then what: the curious case of Legg Mason’s Bill
Miller
- Ex-ante versus ex-post performance of active managers and selecting managers based
on past performance
Moderator:
Albert S. Neubert, Executive Director, INDEX BUSINESS ASSOCIATION and Director -
Indexing and ETF Events, INFORMATION MANAGEMENT NETWORK
Panelists:
Toza Siriski, Manager, Pension Investments, ROYAL BANK OF CANADA
David M. Blitzer, Managing Director & Chairman of the Index Committee, STANDARD &
POOR'S
11:15 ASSET ALLOCATION UNDER EXTREME AND HISTORICAL MARKET
PERFORMANCE AND VOLATILITY
- Spiking correlation across asset classes under market duress: persistence and
ramifications for short-term versus long term diversification: a new meaning to
covariance
- Volatility as a tactical asset class
- Current market turmoil impact on asset allocation decision making process including
affect on return and risk data for asset classes
- How fine should asset classes be defined versus pension scheme size and liability
structure?
- Should the frequency of asset allocation reviews be changed because of the current
market environment and regardless of the payout horizon?
- Across-time asset allocation and diversification versus point-in-time allocation
decisions: revisiting Samuelson’s dogma
- Transition management and costs related to the asset allocation rebalancing issue
12:00 Luncheon
1:15 THE GLOBAL ECONOMIC CRISIS AND ITS IMPACT ON INVESTMENT
AND RISK MANAGEMENT DECISIONS
- Short-, intermediate- and long-term forecasts for the equity risk premium
- Spiking correlations across asset classes across markets
- Madoff and the impact on the funds of funds business
- Commodity deflation
- Bailouts and the crisis of confidence in the credit markets
3. Panelists:
Josephine Marks, Managing Director, Pension Assets, SCOTIABANK - GROUP
TREASURY
Track A: Exchange Traded Fund Sessions
2:00 ETF AND ETN STRATEGIES FOR INSTITUTIONAL INVESTORS
- Cash management
- Transition management
- Short-term exposure
- Risk overlays
- Enhanced beta exposure
Panelists:
Greg Walker, Business Development Officer, BARCLAYS GLOBAL INVESTORS
CANADA LTD.
2:45 LEVERAGED AND INVERSE PRODUCTS
- Current market volatility and the surge in interest
- Product structures and features
- What you think you see is not what you get in terms of returns
- Capital gains tax treatment and some surprises
- Products strategies for retail and institutional clients
- What does the current user market look like?
3:30 Refreshment Break
3:45 ETF AND ETNS PRODUCT MECHANICS
- The creation and redemption process
- The importance of seed capital
- The role of the authorized participant
- Fund structure and its impact on index tracking
- The use of derivatives to manage the product
- Structured products imbedded within the product
- Counterparty risk
- Securities lending and potential bottlenecks
Panelists:
Don Vialoux, Author, TIMINGTHEMARKET.CA
4:30 SESSION TBD
Track B: Institutional Investor Sessions
4. 2:00 INFRASTRUCTURE EXPOSURE THROUGH ACTIVE AND OR INDEXED
PRODUCTS
- Indexes for the infrastructure marketplace
- Infrastructure as a specific asset class versus existing sector indexes
- Defining infrastructure on a private versus public equity basis
- Indexed linked products for direct and synthetic investment and risk management
- Long-term prospects for infrastructure investing versus short term demand
Panelists:
John Stinebaugh, Managing Partner, BROOKFIELD ASSET MANAGEMENT
2:45 SOCIALLY RESPONSIBLE INVESTMENT AND RISK MANAGEMENT
- Recent developments in responsible investment
- Why institutions do and do not adopt responsible investment policies
- Are these policies meaningful? How are they implemented across asset classes?
- RI in alternative asset classes: recent developments in infrastructure, private equity,
and real estate
- Interplay between responsible investment and evolving debate about regulation of
capital markets
Moderator:
Jordan Berger, Principal, MERCER
Panelists:
John Walsh, Director - General Counsel, OPTRUST PRIVATE MARKETS GROUP
Speaker TBD, FTSE
3:30 Refreshment Break
3:45 INVESTMENT AND RISK MANAGEMENT THROUGH SYNTHETIC
EXPOSURE
- The notion of portable beta
- Assessing traditional asset allocation using structured or exchange listed products
- Counter party risk and the structured products marketplace
- Measuring risk adjusted performance and accounting for fees
- Exchange-traded versus OTC products
- Long-term versus short term exposure
- Regulatory and tax issues to consider
4:30 THE IMPORTANCE OF PORTFOLIO TRADING IN THE CURRENT
ENVIRONMENT
- The impact and effectiveness of dark pools
- Trading platforms and systems
- Managing liquidity, spreads and execution, especially in markets under stress
- Evaluating the best trading platform and systems provider
- Managing order flow for large transactions and minimizing market impact
5. Panelists:
Patrick McEntyre, Vice-President, Sales, ITG CANADA CORP.
5:15 Cocktail Reception
Day 2: June 5th, 2009
7:45 Continental Breakfast and Registration
8:30 FIXED INCOME
- Active versus passive strategies
- Reduced issuance of Government of Canada securities and the impact on benchmark
pricing
- Pricing transparency with the rise of electronic trading platforms
- Short versus long-term maturities and the risk tradeoff
Panelists:
Ed Devlin, Executive Vice President and Portfolio Manager, PIMCO
James Rieger, Vice President, Index Services, STANDARD & POOR'S
9:15 EMERGING, BRIC AND FRONTIER MARKETS INVESTING
- Overview of available benchmark indexes
- Strategy indexes to capture the best-in-breed companies across emerging and frontier
markets
- Risk-adjusted performance and correlation versus other asset classes
- Active versus passive allocations; complementary or supplementary
- Direct versus synthetic exposure
- Liquidity, market impact, spreads, execution
- Information and data sources
Panelists:
Tanya Amaya, Team Leader: Institutional Investor Access, THE BANK OF NEW YORK
MELLON
Dr. Michael Buhl, CEO, WIENER BORSE
10:00 Refreshment Break
10:15 A RETURN TO CORE-SATELLITE AND THE NEW COMPREHENSIVE
DIVERSIFIED BETA SOLUTION TO IMPLEMENTING THE ASSET ALLOCATION
DECISION
- The evolution of indexes and index products for all asset classes: tools to implement a
beta based approach
- The ongoing importance of risk budgeting: measuring all types of risk
- What are the leading pension schemes doing in terms of risk measurement and
management?
- What are leading index tracking managers offering in the way of comprehensive and
diversified beta solutions?
6. 11:00 ENHANCED, MARKET NEUTRAL, ABSOLUTE RETURN AND
QUANTITATIVE STRATEGIES
- Do extreme market conditions spell doom for quantitative strategies?
- The impact of market stress on short selling strategies
- Core index or core active; beta based solutions versus alpha tilt exposures
- Risk- and fee-adjusted and fee adjusted performance over the short- versus long-term
- Value versus growth biases in the modeling biases
- Model risk and the ability for models to adapt to fast changing market conditions
- Evaluating , selecting and monitoring managers
- Benchmark selection for these products: standard or customized?
11:45 ALTERNATIVE ASSET EXPOSURE AND RISK MANAGEMENT
- Commodity indexes and products: futures or spot based pricing, and asset class
coverage
- Liquidity and tracking using indexed products versus an active investment
management approach
- Real estate and REIT indexes for the European and global markets: pricing, asset class
coverage, liquidity, tracking, objectivity and independence of data sources
- Hedge fund replication indexes: are they relevant?
12:30 IMN's Eighth Annual Canada Cup of Investment Management Concludes