What are absolute return strategies and should they be an integral part of a fund portfolio? What non hedge fund strategies can funds use? Why aren't all hedge funds absolute return? Can absolute return strategies help funds not lose money? Why was 2008/9 such a disaster for many hedge funds? In seeking to answer these questions we will help pension funds understand the rationale for pursuing absolute returns and the different approaches available. We will consider the place of absolute return strategies in an overall portfolio as well as implementation issues such as capacity constraints, performance transparency and the use of derivatives and leverage
Comments from Delegates Included
"Wide ranging and informative" Anon
"A good learning and networking opportunity" Arvind Ladwa, O2 PLC
Pension Funds who attended this conference included:
02 plc
Aerion Fund Management Ltd
Akzo Nobel Pension Scheme
Aon UK Pension Scheme
BASF UK Pension Scheme
BBC Pension Trust Ltd
Bechtel
BG Group
BNP Paribas
BP Investment Management
BT Pension Scheme Trustees Limited
Cadburys
Capita Group plc Pensions & Life Assurance Scheme
Church of England Pensions
Citibank Trustees
EADS Pension Trustees
Hampshire County Council
IBStock Pension Scheme
Independent Trustee Services
Intercontinental Hotels Group plc
John Lewis plc
Kimberly Clark Pension Scheme
Logica Defined Contribution Pension Scheme
Molins UK Pension Fund
Orange Pension Fund
Oxford County Council
The Pension Protection Fund
The Pensions Trust
Personal Accounts Delivery Authority (PADA)
Plumbing Pensions
Railpen Investments
RWE npower
Shell International Ltd
Surrey County Council
The Wellcome Trust
Unite the Union
University of Manchester Superannuation Scheme
West Midland Pension Fund
West Yorkshire Pension Fund
Zoological Society of London
A similar conference which was run previously can be found
here
Moderator: John Dickson, Head of Investment Consultancy, Hymans Robertson LLP
“The Tony Dye Problem: why asset allocation is difficult and what to do about it”
The Tony Dye Problem: Why the stock bond decision is so difficult. How naïve absolute return strategies compound the asset allocation problem. Optimising absolute return strategies within the overall investment plan.
George Cooper, Alignment Investors (a division of BlueCrest Capital Management)
“Absolute Return Strategies - come of age?”
With greater understanding of absolute return strategies has come an increased awareness of the role they can play for pension funds.
Standard Life Investments will explore some practical examples of strategies which have been adopted by clients and the benefits Absolute Returns have brought to an increasing number of pension funds.
David Millar, Investment Director, Multi-Asset Investing, Standard Life Investments
10.30
Coffee/Tea
11.00
The Role of Bonds
Moderator: Alan Papier, Principal, Mercer
“Fixed Income: the best engine for absolute returns”
Why fixed income for absolute returns: how both income and capital expectations can be measured and quantified as can their risks; Buying umbrellas on a sunny day – how paying a little for credit default swaps (CDS) can protect against stormy conditions and uncertainty; Skewing returns in your favour: managing skewness is one of the largest challenges in Fixed Income, how you can get skewness to act in your favour; Smoothing returns through a six cylinder engine – making money at all points in the cycle by timing allocations across government bond, credit, emerging markets, high yield, convertibles and FX sectors.
Tim Haywood, Investment Director, Fixed Income, GAM (UK) Limited
“The Role of Credit Strategies in a Pension Fund Portfolio”
Where are we in the credit cycle?• How have specialist credit sub asset classes performed?
What is the relationship between sovereign and credit spreads? What is the impact of the ongoing real estate crisis on credit investing? As an investor what should you look for in a hedge fund manager? Alistair Lumsden, Chief Investment Officer of ABS, CQS Management Limited, and
Simon Finch, Chief Investment Officer of Credit, CQS Management Limited
12.20
Drinks and Lunch
13.50
Looking for Hedge Fund Exposure
“Replicating the Absolute Return characteristics of Hedge Funds”
Academic research has shown that hedge fund returns consist of a mixture of market exposures (“beta”) and active return (“alpha”). The process of replicating the absolute return characteristics of hedge funds involves screening the hedge funds, extracting their betas, and taking on their factor risk exposures in a cost effective and risk
minimizing manner. Extensive research and almost 3 years of implementation shows that such a process can deliver absolute-return like payoff with low volatility, daily liquidity, greater transparency and minimal operational risk.
Mike Arone, Vice President, State Street Global Advisors and Prof. Narayan Naik, London Business School
“Building a Hedge Fund Portfolio through Customisation”
Benefits of Customisation; Portfolio Assessment; What to Look for in a Solutions Provider.
Katherine Molnar, Vice President, Senior Research Analyst, Hedge Fund Strategies Group, Pinebridge Investments Europe Ltd.
15.10
Tea/Coffee
15.30
Practial Issues and Panel Session
"Practical Issues facing Pension Funds"
Do
Absolute Return Strategies guarantee no loss of capital? Is there a better way of maintaining fund solvency? How can funds chose between the different strategies? Should funds always look for protection and if not when should it be sought? Does Risk Management come at the expense of Return? What decisions can trustees delegate?
Phil Irvine, Director, PiRho Investment Consulting Ltd.
Panel Session
A panel of pension scheme executives and trustees will talk about their experiences.
Panellists include:
Chris Sandford, Quantitative Analyst, Aerion Fund Management Ltd
Nita Tinn, Director, Independent Trustee Services and Independent Trustee Director, Intercontinental Hotel Group
