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IIE Perf Risk Hedge Fund.2 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 I Measuring returns for multi-strategy managers I 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, I Forecasting possible future trends in style President, Hedge Fund Association analysis implementation I 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 I 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 I How important are factor sensitivities to performance evaluation? I Understanding the investor’s perspective: ➢ I 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? I What important changes are likely to take place What are the key risk indicators? in the next five years in hedge fund I 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 I Marketing your fund’s performance to attract Derivatives Markets), Assistant Editor - Journal of new investors Alternative Investments I 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 I Why is style analysis important in hedge fund Need to Know? performance evaluation? II: Best Practices in Valuation and Pricing I Defining the key components of style analysis for: I Which strategies and styles are vulnerable to ➢ Relative value styles: convertible arbitrage; which types of valuation problems? fixed income arbitrage; equity market neutral I Strategies for achieving fair valuation and ➢ Event-driven styles: risk arbitrage; distressed reassuring your investors/potential investors sk Measurement I Examining real-life examples of recent 3:30 valuation/pricing problems in hedge funds: ➢ Hedge Fund Asset Allocation Strategies and their What lessons can be learned? Impact on Performance Leon M. Metzger, Vice Chairman, Paloma Partners I Comparing various different return forecasting Management Company methods Leslie Rahl, President, Capital Market Risk I Understanding strategic asset allocation and Advisors tactical asset allocation 12:30 I How do economic conditions impact asset allocation? Lunch I How do size, leverage and volatility impact asset allocation? 1:45 I Examining some of the popular allocation Building an Effective Risk Management Strategy for frameworks in the context of: your Hedge Fund ➢ Funds of funds I Identifying effective tools for evaluating, ➢ Indexing measuring and monitoring risk ➢ ‘3F’ Funds (funds of funds of funds) ➢ Are certain risk measures interdependent? I Understanding the correlation between asset I Are quantitative methods sufficient for a sound allocation and performance measurement risk management program? I How are current asset allocation strategies ➢ understanding the limitations of VaR likely to evolve, going forward? I Determining the role of due diligence in risk Rick Lake, Chairman, Lake Partners management Jeff Landle, CFA, CIO, Principal, The Hardt Group I Understanding the role of funds of funds in risk Robert McFall Lamb, Jr., Chief Investment Strategist, management Head of Global Portfolio Management, Deutsche I Examining strategies for minimizing operational Bank risk I Evaluating the latest risk management solutions 4:15 and their effectiveness Hedge Fund Indexing and its Role in Performance I Should you invest in third party risk Measurement management solutions, or build them in-house? I Identifying the key components of indexing and What are the benefits of outsourcing? the importance of indexing as a benchmarking Virginia Reynolds Parker, President & Chief tool for measuring hedge fund performance Investment Officer, Parker Global Strategies, LLC I Understanding and comparing the key attributes Hilary Till, Principal, Premia Risk Consultancy, Inc. of: Timothy S. Wilson, Chief Risk Officer, Caxton ➢ CSFB/Tremont ➢ Dow Jones ➢ HFR Associates, LLC ➢ MSCI ➢ S & P 2:30 I Examining examples of different benchmarking strategies and their effectiveness Risk Measurement for Managed Accounts vs. Co- Mingled Accounts Jacqueline Meziani, Senior Director, Standard & Poor’s I How are hedge funds using managed account platforms and what benefits do they bring? 5:00 I What are the risks of using managed accounts Interactive Q&A Session: Ask the Experts vs. co-mingled accounts? ➢ How can these risks be measured? Ask our panel of industry experts and academics any questions of your choice, within an informal I Analyzing and comparing the performance of and interactive environment funds on managed account platforms with those A Selection of the Day’s Speakers which are not Sudhir Krishnamurthi, Managing Director, Rock 5:30 Creek Group Chair’s Closing Remarks 3:15 Refreshments and Afternoon Networking Break 5:45 Cocktail Reception CISDM Workshop Advanced Techniques for Hedge Fund Style Analysis and Asset Allocation This half-day workshop, run by the research center CISDM, offers you a full morning of intensive training and education, enabling you to delve further into topics which have been covered in the main conference and to consolidate your knowledge base and expertise within a hands-on learning environment. The CISDM’s carefully selected panel of academic experts will offer you new insights and valuable learning tools to take back to your office, and the format will be highly interactive, with ample time for troubleshooting and Q&A. Workshop Chairs: 9:30 11:45 Thomas Schneeweis, Director, Session II Session IV CISDM & Editor, Journal of Demystifying the Myths of Hedge Alternative Investments Hedge Fund Style Analysis: The Funds: Frequently Asked Questions Michael and Cheryl Philipp, Academic View I Do stocks and bonds provide Professors of Finance, Isenberg I Analyzing the pros and cons School of Management, adequate diversification for of the various quantitative investor portfolios? University of Massachusetts - methods used to detect style Amherst I Is a hedge fund’s past groups performance a predictor of its I Understanding factor-based future performance? 8:30 >>style analysis and how it can I Is manager Alpha more be implemented important than strategy Session I ➢ What are the pitfalls of Alpha?
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