INVESTMENT PERFORMANCE MEASUREMENT, ATTRIBUTION & RISK MANAGEMENT 2015 FORuM

Transcription

1 BRING YOUR TEAM AND SAVE 50% COST- REGISTER 2 & GET 2 FREE iparm Australia is a must for all performance practitioners and investment professionals International Business Review Presents: iparm Australia th-12th Gain insights NOVEMBER, from performance THE GRACE thought HOTEL SYDNEY leaders & brainstorming on best practices in the performance measurement space BE A SPONSOR AT THIS EVENT Ambika D Souza VP Global Head of GIPS, State Street Global Advisors (USA) Michael Walsh CEO, UCA Funds Management Iain Perry CFA Head of Performance Analytics and Investment Risk at Morningstar Investment Management Ibbotson Associates Kyle Ringrose General Manager, Investment Operations QSuper David Spaulding MD, Spaulding Group USA Marc Rubenfeld CIPM, Head of Eagle Solutions EMEA/APAC, Andrew Kophamel CFA, Head of Performance, Asia Pacific, Aberdeen Asset Management Limited Raewyn Williams Director, Research and After-Tax Solutions, Parametric Australasia Sean McGing Director, McGing Advisory & Actuarial Bruce Russell Director, Bridge Naresh Subramaniam Erasmus Consulting & Implementation Pty Ltd, Former Head of Investment Services, Asset Servicing, Products & Markets, National Australia Bank Kyle Kung Managing Director, State Street Global Exchange Matthew Van Der Weide Vice President, Portfolio and Quantitative Analytics, FactSet Simon Cairns Senior Specialist, Risk & Performance Analytics, Sunsuper Dean McIntyre Director, Performance Strategy at FactSet Dan dibartolomeo President Northfield Information Services, Inc Simon Willcox Senior Vice President Regional Head IRAS, Asia Pacific, Northern Trust Aravinda Jayaram Senior Performance Analyst, Aberdeen Asset Management Limited Stephen Campbell Associate Director at KPMG Platinum Sponsor Gold Sponsor Luncheon & Lanyard Sponsor Exhibitors Researched & Developed by: Media Partner REGISTER NOW: PH: , FAX: , [email protected],

2 PRE-CONFERENCE MASTER CLASS- TUESDAY 10th NOVEMBER Registration: 8:40am Workshop timings: 9:00 am - 4:00 pm (Morning Coffee, Lunch & afternoon tea will be provided) Returns & Risk: A Deep Dive Generational Analysis This class will provide a detailed survey of the major rate of return, risk, and risk-adjusted measures, but from a generational perspective. This will allow the students to understand the development of measures in all three areas, as well as to be able to compare the meaningfulness, accuracy, and appropriateness of the results. It will also serve as a vehicle for their own evaluation of their firm s measures. Rate of return measures to be reviewed include Modified Dietz, Modified BAI, and Exact; while the risk measures to be covered will include standard deviation, downside deviation, tracking error, and beta. Risk-adjusted measures covered will include Sharpe ratio, Information ratio, Jensen s alpha, and M-squared. The rate-of-return section will also include comparisons with money-weighted returns, and a review of multi-period calculations (i.e., deriving cumulative and annualized returns). We ll also spend time contrasting the various cash flow treatment methods, touching on the strengths and shortcomings of each. We will use the same examples throughout the class, so that students can see how the data can be transformed into meaningful and comparable statistics. The workshop will include exercises so students will have the opportunity to learn firsthand how the measures work. As with the data to be used for the demonstrations, exercises will use the same data, too, so students will build upon what they learn. We will explore the various return and risk measures that have been employed, from a generational perspective, in order to see how we ve progressed in their development. The good and the bad of each will be highlighted. Participants will have a greater understanding of these techniques, how they rank and compare, and be able to better assess how their own organization stands vis-à-vis such a review Workshop Leader: David D. Spaulding DPS, CIPM, MD, The Spaulding Group The Spaulding, is an internationally recognized authority on investment performance measurement. He s the Founder and CEO of The Spaulding Group, Inc., and founder and publisher of The Journal of Performance Measurement. He consults to clients throughout the world on investment performance and risk issues. In addition, he teaches classes on performance measurement and attribution, and regularly conducts GIPS verifications. Dave is a prolific writer, having written numerous articles for various publications. He's also the author of four books: Measuring Investment Performance (McGraw-Hill, 1997),Investment Performance Attribution (McGraw-Hill, 2003), The Handbook of Investment Performance (TSG Publishing, 2005), and The Handbook's second edition (2011); co-author of the Spaulding Group's Guide to the Performance Presentation Standards: Second Edition (TSG Publishing, 2012); contributing author of Performance Measurement in Finance (Butterworth-Heinemann, 2002); and is a co-editor and contributing author of Readings in Fixed Income Attribution (TSG Publishing, 2007) and Classics in Investment Performance Measurement (TSG Publishing, 2009). [email protected], Limited Places Only

3 PANEL DISCUSSION Conference Day-1: Wednesday 11th November 8:20 Delegate Registration & Coffee 8:55 Opening remarks from Chair Opening Address 12:40 Lunch Marc Rubenfeld, CIPM, Head of Eagle Solutions EMEA/APAC, 9:00 TRENDS: BENEFITS OF A PERFORMANCE BOOK OF RECORD (PBOR) What is a Performance Book of Record? Why is data the foundation of a successful PBOR? How can performance and risk be integrated? What is next? Marc Rubenfeld, CIPM, Head of Eagle Solutions EMEA/APAC, 9:30 RETURNS & RISK: A GENERATIONAL ANALYSIS What are they? Why it matters? Where do you stand? David D. Spaulding, DPS, CIPM, MD, The Spaulding Group (USA) 10:10 Morning Coffee 10:40 GIPS COMPLIANCE WHY & HOW? What are the benefits of claiming compliance with the Global Investment Performance Standards (GIPS)? GIPS at a large global asset manager How to get ready to become GIPS compliant Ambika D Souza, VP Global Head of GIPS, State Street Global Advisors (USA) 11:30 "POST TAX PERFORMANCE MEASUREMENT. IS THE INDUSTRY FULLY RECOGNISING THE TRUE TAX COSTS?" Where do the real tax costs lie? Are these costs being measured? And if not measured, how are they being managed? The fact and fiction of pre or post liquidation methodologies Kyle Ringrose, General Manager, Investment Operations, QSuper 12:10 IMPLEMENTING A PERFORMANCE ANALYTICS SYSTEM DO S & DON TS Project considerations Technology considerations Functionality considerations Data considerations Panel Chair: Kyle Ringrose, Head of Investment Operations, Qsuper Chris Parfitt, Senior performance Analyst, Qsuper Panel Members: Ambika D Souza, VP Global Head of GIPS, State Street Global Advisors (USA) Chris Parfitt, Senior performance Analyst, Qsuper Dean McIntyre, Director, Performance Strategy at FactSet Luncheon Sponsor 1:40 ESG IMPACTS ON INVESTMENT PERFORMANCE AND RISK First principles is greed good? Ethical, ESG, SRI investing does the approach matter when measuring outcomes? What is the appropriate benchmark for measuring ESG? Source of alpha vs risk management tool Exploring ESG factors in performance analytics Michael Walsh, Chief Executive Officer, UCA Funds Management PANEL DISCUSSION 2:30 MANAGING THE CONSUMER'S INVESTMENT RISK" A different and wider perspective on the consumer's investment risk Identify the risks, understand, address; take opportunities, mitigate risks Advice, active vs passive, cost vs benefit Loss aversion vs risk aversion Ethical and sustainable investment risks Sean McGing, Director, McGing Advisory & Actuarial 3:00 Afternoon Tea 3:30 RISK MANAGEMENT PRIORITIES FOR ASSET OWNERS: WHAT SENIOR MANAGEMENT AND TRUSTEES NEED TO KNOW Distinguishing the appearance of risk management from the practice Prioritizing a list of steps for effective risk management at the board level suitable for asset owners; whether DB, DC, SWF, endowment, family office, or public mutual fund Discussing levels of risk associated with strategic and tactical asset allocation, hedge funds, and illiquid assets The impact of time horizon on risk estimates Compare and contrast regulatory measures globally Dan dibartolomeo, President Northfield Information Services, Inc 4.00 DISRUPTING THE ASSET MANAGEMENT VALUE CHAIN: HOW BIG DATA, INTEGRATED MULTI ASSET CLASS ANALYTICS, AND TECHNOLOGY COMPANIES ARE RESHAPING THE ASSET MANAGEMENT INDUSTRY. While the asset management industry is expected to see significant growth, the asset management value chain is undergoing significant disruption. Asset structuring, investment management, investment management service and consulting, and distribution entities will see increased competition from established technology companies and new start-ups. New competition across each component of the value chain, big data implementations and innovations in multi asset class analytics will enable greater transparency, causing clients to be less reliant, and as a result pay lower fees to traditional asset management product and service providers. To embrace this inevitable change, the asset management industry must become more technologically advanced as well as adopt a culture that attracts and retains talent that is focused on innovation. Kyle Kung, Managing Director, State Street Global Exchange 4:30 THE PERFORMANCE MEASUREMENT PROFESSIONAL WHAT DOES THE FUTURE HAVE IN STORE The impact of outsourced/insourced/offshored/on-shored operating model The depth of analytics sought Team position in organization Panel Chair: Marc Rubenfeld, CIPM, Head of Performance Measurement Engineering, Panel Members: Ambika D Souza, VP Global Head of GIPS, State Street Global Advisors (USA) Andrew Kophamel, CFA, Head of Performance, Asia Pacific, Aberdeen Asset Management Limited David Spaulding, MD, Spaulding Group USA 5:10 Closing remarks from the chair 5:10-6:10 pm Networking Drinks

4 Conference Day-2: Thursday 12th November 8:20 Delegate Registration & Coffee 8:55 Opening remarks from Chair Marc Rubenfeld, CIPM, Head of Eagle Solutions EMEA/APAC, Opening Address 9:00 COMPOSITE PERFORMANCE MEASUREMENT FROM A GIPS PERSPECTIVE What factors should firms consider when developing a composites management strategy as part of an overall approach to performance measurement? What controls should be in place to govern their composites management strategies? Should firms develop and manage composites manually or via automation? What are the requirements and compliance concerns to consider for composites management? Stephen Campbell, Associate Director Advisory Financial Risk Management, KPMG 9:30 PROCESS ATTRIBUTION: RE-VISTING EQUITY ATTRIBUTION AND DECISION MAKING Why have we content ourselves with the Brinson paradigm? Thinking differently about equity attribution Challenging the actual decisions not just outcomes Andrew Kophamel, CFA, Head of Performance, Asia Pacific, Aberdeen Asset Management Limited 10:00 ISSUES WITH FORECASTING INVESTMENT RISK FOR MULTI ASSET CLASS PORTFOLIOS: There are various risk statistics and they all tell us different things but which ones should we be focusing on? What are the shortcomings of the methods which we use to measure investment risk? How can these be overcome? Iain Perry CFA, Head of Performance Analytics & Investment Risk Ibbotson Associates, a Morningstar company 10:30 Morning Coffee 11:00 WHY HAS THE PAIN POINT OF PERFORMANCE NOT CHANGED why we are facing the same issues in performance 20 years ago as we did today what investment managers should be doing with data prior to adding it to a performance solution Discuss performance validation prior to loading and outsourcing of portfolio services Dean McIntyre, Director, Performance Strategy at FactSet 11:30 EMERGING MARKETS DRIVERS OF PERFORMANCE ACROSS EMERGING AND FRONTIER MARKETS Why funds allocate to emerging markets Problems with emerging markets benchmarks Where frontier markets fit in Identifying the return drivers: country risk, industries, styles, currency hedging Mythbusting Raewyn Williams, Director, Research and After-Tax Solutions, Parametric Australasia 12:00 ACHIEVING CONSENSUS ON FIXED INCOME ATTRIBUTION What is consensus and why is there a desire for it? Challenges to consensus to fixed income attribution Is consensus possible? Our experience Aravinda Jayaram, Senior Performance Analyst Aberdeen Asset Management Limited 12:30 Lunch Luncheon Sponsor PANEL DISCUSSION 2:10 IMPROVING CLIENT REPORTING What would be the benefits of global client reporting standards and templates? How much of a demand is there for proprietary reports? How will digitization help firms create more reports and faster, and with marketing to clients? How can web solutions help firms better distribute reports to clients? How will firms meet the demands for the greater frequency of performance reports for clients? How should industry standards and benchmarks be enhanced to improve the analysis of client reports? Naresh Subramaniam, Erasmus Consulting & Implementation Pty Ltd, Former Head of Investment Services, Asset Servicing, Products & Markets, National Australia Bank 2:40 Afternoon tea CASE STUDY: 3:00 INTEGRATING PERFORMANCE MEASUREMENT AND ATTRIBUTION How the tighter integration of performance measurement and attribution can lead to better client reporting, operations and investment management The benefits of communicating presentation figures across an organization, including executives, operations and front, middle and back offices; The kinds of IT tools that facilitate better integration; Handling specific asset classes; New Benchmarking; Advances in Composites Management; And unexpected benefits. Simon Willcox, Senior Vice President Regional Head IRAS, Asia Pacific, Northern Trust 3:40 OPERATIONS AND IT CONSEQUENCES OF PERFORMANCE REPORTING Performance and Attribution reporting is increasing in complexity, driven by increasing demands from clients, gatekeepers and investment professionals This is putting additional strain and operational and IT platforms and, in many cases, is the catalyst for organisations to re-think their operating model How should Managers and Funds address this increased complexity whilst still maintaining scalability and robustness of operations? What changes may be required to management of investment data to support more complex performance and risk analytics? What are the benefits of using a target operating model approach in addressing these challenges? Bruce Russell, Director, Bridge ROUND TABLE INTERACTIVE DISCUSSION 1:30 PERFECTING MULTI-ASSET-CLASS ATTRIBUTION Multi-asset attribution technique changes depending on each portfolio. This session will discuss the different ways of looking at attribution for multi-asset class portfolios As investment strategies move towards multi-asset classes, performance measurement analytics must evolve proper attribution models to accurately reflect the behavior of the portfolio. But essential to reflecting that behavior is understanding the priorities of the portfolio manager. Evaluating attribution models for multi-asset-class portfolios Incorporating client reporting and marketing needs into your evaluation Working with the investment team for insight into portfolio positions and priorities Panel Chair: Marc Rubenfeld, CIPM, Head of Performance Measurement Engineering, Panel Members: Matthew van der Weide, Vice President, Portfolio and Quantitative Analytics, FactSet Simon Cairns, Senior Specialist, Risk & Performance Analytics, Sunsuper Simon Willcox, Product Manager, Performance Measurement at Northern Trust 4:10 THIS WILL BE AN INTERACTIVE SESSION WHERE DELEGATES WILL GET THE OPPORTUNITY TO DISCUSS KEY ISSUES RELATED INVESTMENT PERFORMANCE MEASUREMENT-PERFORMANCE ANALYSIS: PAST, PRESENT AND FUTURE How has performance measurement evolved over the past years? What are the different techniques available today across different asset classes? What is the ideal operating model? How will the role of performance teams change in the future? Moderator: Marc Rubenfeld, Head of Performance Measurement Engineering, 4:40 Closing remarks from the chair

5 Iparm 2015 sponsors Platinum Sponsor Gold Sponsor Eagle is committed to helping financial institutions worldwide grow assets efficiently with its award-winning portfolio management suite of data management, investment accounting and performance measurement solutions that are delivered over its secure private cloud, Eagle ACCESSSM. Eagle deploys trusted solutions and services that create operational efficiencies and help reduce complexity and risk. LLC is a subsidiary of BNY Mellon. Additional information is available at or follow us on FactSet helps the world s best investment professionals outperform. For 35 years, financial professionals have relied on FactSet s streamlined solutions and unmatched client support to get their jobs done, better. FactSet s global datasets, powerful analytics, and comprehensive data feeds let users stay ahead of market trends, access extensive company and industry intelligence, and monitor performance of their equity and fixed income portfolios in the office or on the go. Headquartered in Norwalk, Connecticut, FactSet conducts operations with over 6,000 employees in 28 global office locations. Learn more at and follow us on Twitter: Luncheon & Lanyard Sponsor Exhibitors Media Partner

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