Performance & presents Risk Measurement for Funds November 17-18, 2004, Flatotel, Learn the Latest Techniques in 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- equity; /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 ; which types of valuation problems? ; equity Strategies for achieving fair valuation and ➢ Event-driven styles: ; distressed reassuring your investors/potential investors sk Measurement

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 Comparing various different return forecasting Management Company methods Leslie Rahl, President, Capital Market Risk Understanding strategic asset allocation and Advisors tactical asset allocation 12:30 How do economic conditions impact asset allocation? Lunch How do size, leverage and volatility impact asset allocation? 1:45 Examining some of the popular allocation Building an Effective Risk Management Strategy for frameworks in the context of: your Hedge Fund ➢ Funds of funds Identifying effective tools for evaluating, ➢ Indexing measuring and monitoring risk ➢ ‘3F’ Funds (funds of funds of funds) ➢ Are certain risk measures interdependent? Understanding the correlation between asset Are quantitative methods sufficient for a sound allocation and performance measurement risk management program? How are current asset allocation strategies ➢ understanding the limitations of VaR likely to evolve, going forward? Determining the role of due diligence in risk Rick Lake, Chairman, Lake Partners management Jeff Landle, CFA, CIO, Principal, The Hardt Group Understanding the role of funds of funds in risk Robert McFall Lamb, Jr., Chief Investment Strategist, management Head of Global Portfolio Management, Deutsche Examining strategies for minimizing operational Bank risk Evaluating the latest risk management solutions 4:15 and their effectiveness Hedge Fund Indexing and its Role in Performance Should you invest in third party risk Measurement management solutions, or build them in-house? 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 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 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 How are hedge funds using managed account platforms and what benefits do they bring? 5:00 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 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 Do stocks and bonds provide Professors of Finance, Isenberg 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 Is a hedge fund’s past groups performance a predictor of its Understanding factor-based future performance? 8:30 >>style analysis and how it can Is manager more be implemented important than strategy Session I ➢ What are the pitfalls of Alpha? Comparing Traditional and Emerging factor-based style analysis Do funds of funds provide an Approaches in Hedge Fund and how can you avoid effective means of obtaining Performance Measurement them? hedge fund returns? Analyzing the latest academic Reviewing the different >>Do hedge funds require their measures of performance and research on style analysis own unique measures of their place in the hedge fund George Martin, Associate Director, performance? world: CISDM and Managing Director, Does survivor bias lessen the ➢ Traditional measures of Gyre Capital Management, LLC value of using historical hedge fund returns? performance (Sharpe 10:30 Ratios, ) What is the correlation Morning Refreshments between hedge fund ➢ Common measures of performance and the size of performance (Drawdown, fees? Sortino Ratio) 10:45 How important is fund liquidity ➢ Session III New measures of to potential hedge fund performance Measures Analytical Perspectives on Asset returns? (Omega, Adjusted Sharpe Allocation and Hedge Fund Index Are hedge funds and hedge Ratio) Creation fund indices so unique that Single variable performance Analyzing recent research on: they cannot be replicated? measures and multi-factor ➢ Asset allocation for hedge How usable are hedge fund performance measures funds data sets? Richard Spurgin, Associate And more… ➢ Hedge fund indexing Director, CISDM and Associate Thomas Schneeweis, Director, Professor of Finance, Clark Passive indexing: what is its CISDM & Editor, Journal of University role and how do the different Alternative Investments passive indices compare with Michael and Cheryl Philipp, each other? Professors of Finance, Isenberg Hossein Kazemi, Associate School of Management, Director, CISDM and Professor of University of Massachusetts, Finance, Isenberg School of Amherst Management, University of Massachusetts, Amherst 12:30 Workshop Wrap-up Day Two:Day Thursday November 18, 2004 WHY ATTEND? THIS INAUGURAL FORUM, developed in conjunction with the Journal of Alternative Investments, Alternative Investment News, magazine and Alpha, is designed to provide Administration Information: hedge funds, funds of funds, fund administrators and hedge fund investors with new skills and strategies for tackling the Performance & daunting challenges of measuring hedge fund returns and Risk Measurement managing risk. It is the only conference of its kind, offering cutting-edge insights into the latest performance measurement for Hedge Funds and risk management tools, style analysis techniques, valuation Learn the Latest Techniques in Hedge Fund and pricing, hedge fund asset allocation, indexing strategies and Performance Measurement, Risk Management, more. Don’t miss this unique learning opportunity, where you will Style Analysis, Indexing and Asset Allocation benefit from the expertise of our top quality speaking faculty - all November 17-18, 2004, Flatotel, New York City renowned leaders in this highly specialized field - and update your knowledge of current and emerging industry practices. CANCELLATION POLICY All cancellations must be submitted in writing before November 3rd, 2004. Credit vouchers will be issued for the full amount HEDGE FUNDS, FUNDS OF FUNDS, FUND (valid for 12 months) and can be used for other conferences ADMINISTRATORS: What tools are being used by your hosted by Institutional Investor Events. Refunds will be subject peers and competitors for reporting fund performance and to a $300 administrative cancellation fee. No refunds or minimizing risk, and what do your investors and potential vouchers will be issued for cancellations received after investors need to know? November 3rd. Substitute delegates are always welcome and will be admitted for no extra charge. In the event of conference HEDGE FUND INVESTORS: What quantitative and cancellation, Institutional Investor Events assumes no liability qualitative strategies should you be deploying when monitoring for airfare, hotel or other travel charges incurred by registrants. the performance of your investments, or selecting a new fund? The conference program and speakers are subject to change without notice. WHO SHOULD ATTEND? REGISTRATION FEE Risk Managers, Portfolio Analysts, Portfolio Managers, CEOs, The registration fee includes participation in the conference, CIOs, CFOs, Founders, Investment Officers, Risk Managers, lunches and documentation material, which will be distributed Risk Analysts at the beginning of the event. All registrations are considered binding on receipt of the registration form. For details on group FROM: discount rates, please contact us. Hedge funds, Funds of Funds, Fund Administrators, Investors in Hedge Funds, Specialist Consultants, Performance CANNOT ATTEND? Measurement and Risk Analytics Solutions Providers Please pass this brochure on to a colleague or you can purchase the conference documentation for $395 (includes courier dispatch).

VENUE Flatotel 135 West 52nd Street New York, NY 10019 Tel (212) 887-9400 Fax (212) 887-9893

ABOUT YOUR WORKSHOP LEADERS THE CENTER FOR INTERNATIONAL SECURITIES AND DERIVATIVES MARKETS (CISDM) is a non-profit academic research center that focuses on performance issues in both traditional and alternative asset markets. The goals of CISDM are to facilitate research in international investment and markets, to promote interactions between the academic and business communities, and to make available educational material Industry Partners: on international financial markets to financial and non- financial firms. To accomplish these tasks, CISDM funds research for faculty and students and publishes a quarterly research report on current CISDM projects. CISDM is also the editorial center of the Journal of Alternative Investments. This journal is rapidly becoming the primary source of research information in the area of alternative investments. www.cisdm.org Performance & presents Risk Measurement for Hedge Funds Learn the Latest Techniques in Hedge Fund Performance Measurement, Risk Management, Style Analysis, Indexing and Asset Allocation November 17-18, 2004, Flatotel, New York City

PERFORMANCE & RISK MEASUREMENT FOR HEDGE FUNDS • November 17-18, 2004 • Flatotel, New York City • New York, NY

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