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The Journal of Performance Measurement's
Third Annual European Performance Measurement, Attribution & Risk Conference
( 12-13 June 2012 - PMAR III Europe)

 

 

Agenda Day 1: Tuesday, 12 June 2012

8:00 - 8:45     Registration and Continental Breakfast with Exhibitors

8:45 - 9:00     Welcome
David Spaulding, CIPM, The Spaulding Group, Inc.
9:00 - 10:000     EFFICIENT RISK MANAGEMENT
Harry Kat, Aquila Capital
- Efficient diversification.
- Implications of performance evaluation.

- The creation of efficient diversification.

10:00 - 11:00   Benchmark and Performance Fees
Carl Bacon, CIPM, StatPro
•  Attributes of good benchmarks

• Performance fees - good or bad?

• Attributes of a good performance fee structure


11:00 - 11:15  Morning Coffee Break


11:15 - 12:00  Towards a Framework for Benchmark Data Management: Best Practices versus Market Practice
Steve Cheng, Rimes


12:00 - 13:00   Luncheon

13:00 - 13:40   Funding Ratio Attribution
Jeroen Geenen, Ortec Finance
• Making Sense of Liability Driven Investing.
13:40 - 14:20   Fast Performance
John D. Simpson, CIPM, The Spaulding Group, Inc.
Carl Bacon, CIPM, StatPro
Steve Campisi, CFA, Bank of America
• This innovative panel approach of performance experts and practitioners will
tackle a host of topics in an exciting lightning round, which will provide you with
insightful perspectives, ideas and opinions.

14:20 - 15:00  Performance Risk Team
Mary Cait McCarthy, Credit Suisse
• Do you need one?
• What does it do?
 • How is it structured within your organization?


15:00 - 15:15  Afternoon Coffee Break

15:15 - 16:10  Keynote 2011 Dietz Award:
Performance Stewardship
 Stephen Campisi, CFA, Bank of America (Dietz Award Winner)

16:10 - 17:00  A Comparison of Different Linking Approaches
John D. Simpson, CIPM, The Spaulding Group
• A case study looking at the differences in how we link data over multiple time periods and how it can affect results.

17:00 - 18:00  Cocktails with Exhibitors


Agenda Day 2: Wednesday, 13 June 2012

8:00 - 8: 45    Continental Breakfast with Exhibitors

8:45 - 9:00     Welcome Back/ Recap
David Spaulding, CIPM, The Spaulding Group, Inc.

9:00 - 9:50     Fixed Income Attribution
Ian Thompson, Ph.D., BI-SAM
 • What makes fixed-income analysis so challenging?


9:50 - 10:45    Attribution Challenges
Joe McDonagh, Eagle Investment Systems
• Dealing with derivatives.
• Pricing differences.

10:45 - 11:00    Morning Coffee Break

11:00 - 12:00   Battle Royale - Client Reporting                    
Stefan Illmer, Ph.D., Illmer
John D. Simpson, CIPM, The Spaulding Group
 • Do we need standards?
• Isnt this just GIPS light?

12:00 - 13:00    Luncheon

13:00 - 14:00   Integrating Performance and Risk Analysis
Andreas Steiner
 • Why they need to be integrated.
• Attributing risk  measures.                  

14:00 - 15:00   Risk Models and their Effect on Performance
Valeri Zakamouline, University of Agder
 • It is a common mistake to use performance measures inconsistently.
• If probability distributions are close to normal the Sharpe Ratio is all one needs.
• The choice of a measure should be tailored to the risk preferences of the specific investor.
15:00 - 15:20  Afternoon Coffee Break

15:20 - 16:20  Holdings Versus Transaction Based Attribution:
Study Updated
David Spaulding, CIPM, The Spaulding Group Inc.
•  At what point does it make sense to move towards a transaction based model?
•  And when does it matter?

16:20 - 16:30  Raffle Prizes

16:30               Conference Concludes