Return to Pensions & Investments

Agenda

Click here to download the agenda for the London conference

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
Opening Remarks

Speaker: Anthony Ashton
[Conference moderator]
Partner
Mercer


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
Networking Break


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
Networking Luncheon


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:


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
Networking Break


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:
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

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