Performance & presents Risk Measurement for Hedge Funds November 17-18, 2004, Flatotel, New York City Learn the Latest Techniques in Hedge Fund Performance Measurement, Risk Management, Style Analysis, Indexing and Asset Allocation
Get expert practical insights into: I Current practices and recent breakthroughs in hedge fund performance evaluation and risk management I Portfolio transparency, performance reporting and disclosure issues: what do investors and potential investors need to know? I Best practices in hedge fund valuation and pricing – addressing the valuation problems specific to different styles and strategies I Hedge fund allocation strategies and their impact on performance I Hedge fund indexing as an effective benchmarking tool
PLUS: Interactive Half-Day Workshop chaired by Thomas Schneeweis, Director – CISDM and Editor – Journal of Alternative Investments
Hear from: CHAIR: Michael G. Tannenbaum, Tannenbaum Helpern Syracuse & Hirschtritt LLP/Hedge Fund Association I Raj Gupta, CISDM/Journal of Alternative Investments I E. Lee Hennessee, Hennessee Group LLC I Roy D. Henriksson, Advanced Portfolio Management I Sudhir Krishnamurthi, Managing Director, Rock Creek Group I Rick Lake, Lake Partners I Jeff Landle, The Hardt Group I Ron Liesching, Pareto Partners I Robert McFall Lamb, Jr., Deutsche Bank I Leon M. Metzger, Paloma Partners Management Company I Jacqueline Meziani, Standard & Poor’s I Joanna Peters, StratconGlobal, Inc. I Leslie Rahl, Capital Market Risk Advisors I Virginia Reynolds Parker, Parker Global Strategies, LLC I Gary Scrivner, University of Arizona Foundation I Ron Surz, PPCA, Inc. I Ryan Tagal, Morningstar, Inc. I Hilary Till, Premia Risk Consultancy, Inc. I Timothy S. Wilson, Caxton Associates, LLC Performance & Ris presents for Hedge Funds
Day One: Wednesday November 17, 2004
8:00 securities ➢ Registration and Continental Breakfast Opportunistic styles: long-short equity; global macro/managed futures; long only 8:30 Measuring returns for multi-strategy managers Overcoming the challenges of detecting "style Introduction and Chair’s Opening Remarks drift": Michael G. Tannenbaum, Partner, Tannenbaum ➢ Are quantitative methods sufficient? Helpern Syracuse & Hirschtritt LLP, Forecasting possible future trends in style President, Hedge Fund Association analysis implementation Utilizing quantitative data to support qualitative 8:45 analysis of fund performance Keynote Address E. Lee Hennessee, Managing Principal, Hennessee Group LLC 9:15 Ryan Tagal, Product Manager – Hedge Funds, Update on Performance Measurement for Hedge Funds: Morningstar, Inc. Current Practices and Recent Breakthroughs 10:45 Determining the effectiveness of common Refreshment and Networking Break performance measures currently being used for evaluating hedge funds: ➢ Do industry practitioners and academics 11:00 measure performance accurately? What do your Investors and Potential Investors ➢ Which measurement tools are being used for Need to Know? which strategies? I: Portfolio Transparency, Performance Reporting and Disclosure Issues How important are factor sensitivities to performance evaluation? Understanding the investor’s perspective: ➢ Examining the latest advances and research in What aspects of the fund’s performance are hedge fund performance evaluation most important through the investor’s eyes? What important changes are likely to take place What are the key risk indicators? in the next five years in hedge fund Performance reporting to your current investors: performance measurement techniques? ➢ How should the data be presented, both Moderator: Raj Gupta, Research Director - CISDM quantitatively and qualitatively? (Center for International Securities and Marketing your fund’s performance to attract Derivatives Markets), Assistant Editor - Journal of new investors Alternative Investments How will new hedge fund regulations impact Roy D. Henriksson, Director of Research, Advanced performance reporting and disclosure Portfolio Management practices? Ron Liesching, Chief Research Officer, Pareto Michael P. Hennessy, Vice President, UNC Partners Management Company (to be confirmed) Ron Surz, President, PPCA, Inc. Joanna Peters, President, StratconGlobal, Inc. Gary Scrivner, Vice President, Finance & 10:00 Administration, University of Arizona Foundation Hedge Fund Style Analysis: Techniques for Measuring Returns According to Different Hedge Fund Styles and 11:45 Managing the Challenges of Style Drift What do your Investors and Potential Investors Why is style analysis important in hedge fund Need to Know? performance evaluation? II: Best Practices in Valuation and Pricing Defining the key components of style analysis for: Which strategies and styles are vulnerable to ➢ Relative value styles: convertible arbitrage; which types of valuation problems? fixed income arbitrage; equity market neutral Strategies for achieving fair valuation and ➢ Event-driven styles: risk arbitrage; distressed reassuring your investors/potential investors sk Measurement