·  Investment philosophy, policy, and strategy

·  Active, passive, and semi-active investing

·  Asset allocation and security selection

·  Performance evaluation—the feedback loop

 

Philip Lawton, CFA, CIPM, Head, CIPM Program

CFA INSTITUTE

 

10:45 AM       Refreshment & Networking Break

 

11:00 AM       Back-to-Basics: Securities and Strategies Explained

This session will in broad brush strokes paint a picture of some of the main securities and strategies and define their risk and return characteristics.

·  Passive vs. Active Management/Strategies

·  Traditional Investments

§   Equity

§   Fixed Income

·  Alternatives Investments

§   Hedge Funds

§   Venture Capital/Private Equity

§   Real Estate

§   Oil & Gas

·  Complex Securities

§   Derivatives

 

Manish Mittal, Client Support Consultant

MSCI Barra, Inc.

 

 

11:45 AM       Luncheon

 

12:45 PM        Performance Measurements: A Review of Definitions, Formulas, and Calculations

·  Time weighted return and dollar weighted return

·  Internal rate of return

·  Calculation of annualized rates and compounding frequency

·  Geometric linking

·  Net Asset Value performance

 

Cecilia Wong, Ph.D., President

BASE-TWO INVESTMENTS, INC.

 

2:15 PM          Refreshment & Networking Break

 

2:45 PM          Composite Construction & Composite Returns

What are composite returns? How are they calculated? What return streams can be used and not used to construct a composite stream? What compliance restrictions surround composite construction? Other discussion points include:

·  Composite construction

·  Carve-out returns

·  Cash allocation methods

 

Wesley Western, AIFA, Founder & Principal

ABSOLUTE PERFORMANCE VERIFICATION LLC

 

3:30 PM          Defining Performance Fees Structures

This session will provide an introduction to the most common management and performance incentive fee structures, and reporting considerations for each. Topics include:

·  Fee Structures, hurdle rates, high water marks, and claw backs

·  To accrue or not to accrue?

·  General vs. Limited Partner performance calculations

·  Implications for performance evaluation

 

Michael C. Pastena, President

Advisors' Education Group, Inc.

 

4:15 PM          Defining and Using Benchmarking

·  What are benchmarks?

·  What kinds of benchmarks are available?

·  Who constructs them?

·  How are they constructed?

·  Understanding appropriate benchmark comparison

 

Ronald J. Surz, President

PPCA, INC.

 

5:00 PM          Day One Concludes

 

DAY TWO      Friday, July 18, 2008

 

7:30 AM         Continental Breakfast

 

8:00 AM         Conference Chairman’s Welcome and Day One Recap

 

Bruce J. Feibel, CFA, Chief Strategy Officer

EAGLE INVESTMENT SYSTEMS, INC.

                       

8:15 AM         Performance Attribution – Equity & Fixed Income

Attribution is a key component in determining the skill and consistency of a portfolio manager. There are many methodologies to choose from and additionally different strategies react differently to the methodologies. This session will look at the choices available and delve into the analysis.

 

Equity Perspective

Steve Gaudette, Vice President

NORTHFIELD INFORMATION SERVICES, INC.

 

Fixed Income Perspective

Mark Elliott, Director, Performance Measurement Solutions

 SS&C

 

10:00 AM       Refreshment & Networking Break

 

10:15 AM       What is Risk? And How is it Measured?

Managing risk is critical to all strategies and this session will provide a background on some of the key measures of risk used in portfolio management today. Included among them are:

·  Sharpe Ratio

·  Information Ratio

·  Sortino Ratio

·  Upside/Downside Capture Ratio

 

TBD

WILSHIRE ASSOCIATES

 

11:15 AM       Risk Management for Non-Quants: Intro to Value-At-Risk (VaR)

Every investment decision has a component of risk attached to it and it is vitally important to be able to understand, measure, and manage the risk. VaR is the standard risk measure mandated by regulators of banks and securities firms.  What is it and how do portfolio managers use it to describe and manage their risk? The session will cover:

 

·  What question does VaR try to answer?

·  How does it relate to Modern Portfolio Theory?

·  How can it be calculated using simple arithmetic on a spreadsheet?

·  How is it used to manage portfolio risk?

·  What's wrong with VaR and why it can be misleading and dangerous?

Prof. Bernard S. Donefer, Adjunct Assistant Professor

                        ZICKLIN SCHOOL OF BUSINESS, BARUCH COLLEGE, CUNY

& Principal

CONATUM CONSULTING LLC

 

12:15 AM       Luncheon

 

1:15 PM          Understanding the GIPS Standards and Maintaining a Framework for Compliance

The Global Investment Performance Standards (GIPS) standardizes the way that investment performance is calculated and reported. The GIPS standards also include fundamental requirements a GIPS-compliant firm must adhere to, such as maintaining documented policies and procedures for how the firm complies with all requirements of the Standards. The SEC recently issued a letter stating that the vast majority of firms examined during recent compliance examinations do not have the right policies either documented or in place to ensure compliance with the GIPS standards. This session will cover the fundamental requirements of the Standards.

 

Ashley Reeves, Consultant

VINCENT PERFORMANCE SERVICES LLC

 

2:15 PM          The ABCs of Style Analysis

Every investment portfolio has a style and depending on the style a portfolio behaves a certain way. Categorizing a style allows for product differentiation and enables marketing efforts that are clear-cut and compelling. This session will cover the importance of style analysis, style indices, and style drift, to name but a few, all towards better positioning the portfolio in the eyes of clients and potential clients.

 

Jeremy Bach, CFA, Vice President

MARKOV PROCESSES INTERNATIONAL, LLC

 

3:00 PM          Refreshment & Networking Break

 

3:15 PM          Regulatory Dos and Don’ts Associated with Measurement and Reporting Process

·  What are the regulatory hot spots and what might be on the horizon?

·  Managing the SEC examiners’ expectations

·  How does the SEC review marketing & advertising by advisers?

·  What should you be thinking about in reviewing marketing materials?

·  Disclosing past fund performance

·  Privilege and confidentiality concerns – pitfalls to avoid

 

Lawrence P. Stadulis, Partner-In-Charge

STRADLEY RONON STEVENS & YOUNG, LLP

 

4:00 PM          Integrating Performance into the RFP        

·  Information you must include in your RFPs

·  Make sure compliance issues are addressed and your firm is well positioned

·  Tips for conducting a good risk analysis

·  How to develop company policies that address compliance risks

 

Kate Stutzel, Director of Operations

A.S.A.P. ADVISOR SERVICES, INC.

 

5:00 PM          Conference Concludes

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