The speakers listed below are scheduled to appear at the London conference. To view speakers specific to Manchester, simply click the corresponding link above to view complete agenda with speakers.
As of June 10, 2011 (subject to change)
8:00 am - 9:00 am
Registration and Networking Breakfast
9:00 am 9:15 am
Speaker: Anthony Ashton
9:15 am - 9:45 am
WORKSHOP: Introduction and Implementation of Low Volatility Equity
The notion that taking more risk is necessary to achieve greater return is deeply ingrained in most investors, a seemingly intuitive truth. Questioning the validity of such a deeply rooted belief may sound like heresy, but multiple researchers and decades of equity market data show it is possible to achieve the same or better returns with less risk. This session will introduce the concept of low volatility investing and discuss the various approaches investors can use to gain exposure to the low volatility anomaly. This session will also address the implementation of low volatility investment strategies within a multi-manager portfolio.
Speakers: Dennis Bein, Chief Investment Officer, Analytic Investors, LLC
Mark Osterkamp, Senior Director - Marketing & Client Service, Analytic Investors, LLC
9:55 am 10:40 am
PANEL DISCUSSION: Fitting Low Volatility Strategies into Overall Strategic Asset Allocation and Risk Management
Low volatility investing is a new approach to investing in asset classes that feature in most pension schemes. How should scheme executives and trustees think about this approach within the overall strategic asset allocation? A risk management approach to investing can look quite different than a traditional asset allocation between security types. This panel discussion will consider low volatility investing in light of the bigger picture of pension scheme investing.
Panelists: Martin Coughlan, CFA, CAIA, Senior Portfolio Specialist & Head of Institutional Business, Calamos Investments
Alexei Jourovski, Managing Director & Head of Equities, Unigestion SA
Phil Tindell, Senior Investment Consultant, Towers Watson
Ramon Tol, Fund Manager Equities, Blue Sky Group (managing assets of KLM pension fund)
10:40 am 11:00 am
11:00 am 11:40 am
WORKSHOP: Low Volatility Equity Investing Evolutionary not Revolutionary
This workshop will examine how asset allocation has evolved through time and how we went from strategies in the 1970s focusing on total portfolio returns through to balanced portfolios, LDI to the use of alternative strategies. Throughout these decades the end goal has always been to generate the highest net returns with the lowest total risk. The global financial crisis has made investors question the risk they are taking on within their overall portfolios and in their equity portfolios in particular. Do equity investments have to be risky?
Speaker: Bill Smith, CEO, Lazard Asset Management
11:40 am 12:20 pm
WORKSHOP: Make Diversification Your Beta: the Anti-Benchmark Approach
The anti-benchmark strategy has been designed to deal with a major shortcoming of market cap-weighted benchmarks: concentration risks associated with market cap strategies, which cause more volatile returns, increased market timing risks, and a large bias towards groups of securities which have been fashionable in the past. A volatility aware approach to managing equity portfolios will achieve the diversification not found in market cap-weighted indices, resulting in improved risk-adjusted performance over time. The anti-benchmark approach results in consistently lower portfolio volatility over time, thanks to its higher diversification.
Speaker: Yves Choueifaty, President & CIO, TOBAM
12:20 pm 1:30 pm
1:30 pm 2:00 pm
PRESENTATION: Low Volatility as a Key Component in Constructing Equity Portfolios
This session will discuss the merits of constructing a portfolio that has strategic over-allocations to parts of the equity market (emerging markets and smaller companies) that over the long term are expected to deliver higher rates of growth and higher returns. Recognising that these markets also brought with them higher risk (in the shape of volatility returns) it will state that these strategic allocations should be counter-balanced by an allocation to a low volatility component of the portfolio, in order that the overall volatility of the combined portfolio should be in line with conventional market capitalisation-weighted index benchmarks.
It will also present the characteristics that the low volatility portfolios should have:
- Systematic low beta (sensitivity to market movements) through the cycle with, by implication, stronger relative performance in down markets than in up markets.
- An expectation that the product will perform most strongly when the higher risk strategies (emerging markets and small capitalisation stocks) suffer from increased risk aversion and a ‘flight to quality’
- Returns at least commensurate with market returns over the long terms
Speaker: Phil Edwards, Principal , Mercer
2:00 pm - 2:40 pm
WORKSHOP: A Fundamental and Structural Approach to Low-Volatility Equity Investing
Low volatility equity portfolios should be not only about lower risk but also about providing asymmetry in risk and return profiles to investors. There are two critical elements required for portfolios to offer this. Firstly, integrated capital structure research is important for identifying equity and equity linked securities with the desired risk/return profile. Allowing a broader opportunity set with equity linked securities provides a structural advantage in the construction of the portfolio as the attributes of these securities may provide downside protection. In addition, fundamental analysis, from both top-down and bottom-up perspectives, provides valuable forward-looking insights into portfolio holdings and candidates.
Speaker: Martin Coughlan, CFA, CAIA, Senior Portfolio Specialist & Head of Institutional Business, Calamos Investments
2:40 pm 3:00 pm
3:00 pm - 3:40 pm
WORKSHOP: Pitfalls in Low Volatility Investing
Historical results of low volatility portfolios exhibit an appealing risk-adjusted return profile. The practical implementation of such portfolios however contains significant challenges. This workshop will explore additional indicators aimed at capturing a wider spectrum of risks and which go beyond simple correlation and volatility estimates. It will also discuss the potential diversification traps linked with:
- Liquidity effects,
- Special situations and atypical return series,
- Overcrowded trades,
- Company fundamentals and earnings cycles, and
- Macroeconomic factors
Speaker: Alexei Jourovski, Managing Director & Head of Equities, Unigestion SA
3:40 pm - 4:25 pm
PANEL DISCUSSION: The Challenge of Benchmarking
This panel discussion will consider the issue of benchmarking low volatility or minimum variance strategies. By definition, traditional market-capitalization benchmarks may not be appropriate to measure the success of this type of investment strategy - or do they have a place? Should investors use customized benchmarks or the newly created low volatility benchmarks?
Panelists: Dennis Bein, Chief Investment Officer, Analytic Investors, LLC
Susanne Willumsen, Director, Portfolio Manager, Lazard Asset Management
Yves Choueifaty, President & CIO, TOBAM
4:25 pm 6:00 pm
Closing Cocktail Reception