PMAR VIII Program Agenda PDF Print E-mail


PMAR: VIII Jersey City, NJ ~ Hyatt Regency Jersey City


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DAY ONE: WEDNESDAY MAY 19, 2010

8:00 - 8:45 AM REGISTRATION & CONTINENTAL BREAKFAST WITH THE EXHIBITORS

 

8:45 - 9:00 AM WELCOME

David D. Spaulding, CIPM, The Spaulding Group

 

9:00 - 9:50 AM HEDGE FUND RISK

John M. Longo, Ph.D., CFA, Rutgers Business School
  • How hedge funds risk management differs from long only risk management.
  • How to manage risk in an environment of limited hedge fund transparency.
  • An evaluation of risk management measures for hedge funds.

 

9:50 - 10:40 AM WHY RISK MAY COUNT MORE THAN RETURNS

Ellen Dennis, NISA
  • What are we managing/measuring?
  • Where your focus should be?

10:40 - 11:00 AM MORNING BREAK

 

11:00 - 12:00 PM THE PENSION CRISIS: THE BIGGEST FINANCIAL FIASCO SINCE
THE GREAT DEPRESSION

Ronald J. Ryan, CFA, Ryan ALM, Inc.
  • How it threatens the solvency of our Cities, States, Corporations and Federal Government.
  • What happened to cause it?
  • How do we solve it?
  • Need to redefine Risk, Beta and Alpha.
12:00 - 1:00 PM LUNCH BREAK

1:00 - 1:40 PM GIPS UPDATE
Jonathan Boersma, CFA, CFA Institute
  • What changes do you need to implement?
  • Implications of daily valuation and valuing illiquid securities.
  • GIPS Review - process and scope.
1:40 - 2:20 PM FAST PERFORMANCE
John D. Simpson, CIPM, The Spaulding Group, Inc.
Carl Bacon, CIPM, StatPro
Stephen Campisi, Intuitive Performance Solutions
Todd Brunskill, First Rate Investment Systems
  • This innovative panel approach of performance experts and practioners will tackle a host of topics in an exciting lightning round, which is sure to provide you with insightful perspectives, ideas, and opinions.'
2:20 - 3:00 PM THE CHANGING ROLE OF PERFORMANCE AND RISK TEAMS
James Edmonds, CFA AllianceBernstein
Thomas Manetta, Goldman Sachs
  • What is different after the market shock of 2008?
  • Combine or keep seperate.

3:00 - 3:15 PM AFTERNOON BREAK

3:15 - 4:10 PM Keynote 2009 Dietz Award: Performance Measurement and
Attribution with Leverage and Derivatives
An article by Damien Laker, presented by Kyle Ringrose

4:10 - 4:45 PM RISK ATTRIBUTION

4:45 - 5:00 PM MAD PERFORMANCE

David D. Spaulding, CIPM, The Spaulding Group, Inc.

  • A lot to cover in a little time with interactive Q & A.
5:00 - 6:00 PM COCKTAILS WITH THE EXHIBITORS


DAY TWO: THURSDAY MAY 20, 2010


8:00 - 8:45 AM REGISTRATION & CONTINENTAL BREAKFAST WITH THE EXHIBITORS

 

8:45 - 9:00 AM WELCOME BACK

David D. Spaulding, CIPM, The Spaulding Group

 

9:00 - 9:50 AM AN UPDATE ON REGULATORY ISSUES

David Tittsworth, Investment Advisor Association

  • Recent SEC developments.
  • Best practices.

9:50 - 10:45 AM MULTI-CURRENCY ATTRIBUTION

Carl Bacon, CIPM, StatPro

  • Understand the sources of active return for multi-currency portfolios.
  • Clearly identify the impact of currency overlay.

10:45 - 11:05 AM MORNING BREAK

 

11:05 - 12:00 PM BATTLE ROYALE - FIXED INICOME FACE-OFF

Stephen Campisi, CFA, Intuitive Performance Solutions

Mark Elliott, SS&C

 

  • Income Effect - Should your model include it?
  • Do managers and clients need different models?
  • Why so many different models?


    • 12:00 - 1:00 PM LUNCH BREAK

     

    1:00 - 2:00 PM LESSONS LEARNED - THE IRR
    John D. Simpson, CIPM, The Spaulding Group, Inc.

  • An update from the IRR working group.
  • Dealing with multiple solutions.
  • Calculation approaches.


    2:00 - 3:00 PM BENCHMARKS

    Neil Riddles, CFA, CIPM Hansberger Global Investors
  • A review of the basics.
  • Current thinking and approaches.


    • 3:00 - 3:20 PM AFTERNOON BREAK


    3:20 - 4:20 PM VALUE AT RISK

    David D. Spaulding, CIPM, The Spaulding Group, Inc.

  • What value does VaR bring?
  • Does VaR provide the necessary information to assess risk?
  • Is VaR relevant today?

    • 4:20- 4:30 PM RAFFLE PRIZES


    4:30 PM CONFERENCE CONCLUDES