EDHEC-Risk Days Asia 2012
EDHEC-Risk Days Asia 2012
EDHEC-Risk Days Asia 2012
You also want an ePaper? Increase the reach of your titles
YUMPU automatically turns print PDFs into web optimized ePapers that Google loves.
<strong>EDHEC</strong>-<strong>Risk</strong> <strong>Days</strong><br />
<strong>Asia</strong> <strong>2012</strong><br />
Bringing Research Insights to Investment Professionals<br />
9-10 May, <strong>2012</strong> — Marina Bay Sands Conference Centre — Singapore<br />
conference<br />
Advances in Equity Investment<br />
Managing the Volatility and Downside <strong>Risk</strong>s of <strong>Asia</strong>n Equity Markets<br />
Assessing New Approaches to Equity Portfolio Construction<br />
Protecting Equity Investments against Sovereign <strong>Risk</strong>s<br />
Finding True <strong>Asia</strong>n Exposure in <strong>Asia</strong>-listed Equities<br />
Combining Diversification, Hedging and Insurance to Optimise <strong>Risk</strong> Management<br />
Indexing and Passive Investment<br />
Presenting the Results of an Exclusive Survey on Indices and Passive Management in <strong>Asia</strong><br />
Assessing the Quality of the Major Equity Indices in <strong>Asia</strong><br />
Weighing Alternatives to Capitalisation-weighted Indices<br />
Alternative Investments<br />
Allocating to Hedge Funds – a View from the Buy-Side<br />
Hedge Fund Modelling and Performance<br />
Presenting New Evidence on the Performance of Private Equity<br />
Assessing the Benefits of Long-Short Commodity Investing<br />
Reviewing the State and Challenges of Infrastructure Financing and Investing<br />
Introducing a New Class of Volatility Indices for <strong>Asia</strong><br />
Evaluating Skewness as an Asset Class<br />
Regulatory Developments<br />
Evaluating the Impact of Regulatory Measures Aimed at Reducing Volatility<br />
Measuring the Impact and Economic Consequences of High-Frequency Trading<br />
Addressing Myths and Misconceptions about the <strong>Risk</strong>s of ETFs
Organised by an academic research centre for the<br />
benefit of professionals, <strong>EDHEC</strong>-<strong>Risk</strong> <strong>Days</strong> <strong>Asia</strong> presents<br />
the research done by <strong>EDHEC</strong>-<strong>Risk</strong> Institute and discusses<br />
it with the institutional investment and wealth<br />
management communities. As such, the Institute wishes<br />
to enable participants at <strong>EDHEC</strong>-<strong>Risk</strong> <strong>Days</strong> <strong>Asia</strong> <strong>2012</strong><br />
to have access to the latest conceptual advances and<br />
research results in investment and risk management<br />
and to discuss their implications and applications with<br />
researchers who combine expertise in analytical and<br />
research methods with a sound awareness of their<br />
relevance for the investment industry.<br />
The event is structured to appeal to institutional<br />
investors, traditional and alternative investment<br />
managers and policy-makers. The conference includes<br />
two exclusive fora, multiple plenary and stream<br />
sessions, and workshops that will allow professionals to<br />
review major industry challenges, explore state-of-theart<br />
investment techniques and benchmark practices to<br />
research advances.<br />
On the first day, the conference will focus on advances<br />
in equity investment and equity portfolio construction,<br />
and on passive investment and indexing.<br />
The advances in equity investment discussed will include<br />
both global issues–in particular, new approaches to<br />
equity portfolio construction, the protection of equity<br />
portfolios against sovereign risks, and optimisation<br />
of risk management via the combination of risk<br />
diversification, risk hedging and risk insurance–and<br />
topics with a distinctive regional dimension–notably,<br />
volatility management and downside risk control on<br />
<strong>Asia</strong>n equity markets and the search for true <strong>Asia</strong>n<br />
exposure on the region’s public equity markets.<br />
The indexing and passive investment matters examined<br />
will be focused on <strong>Asia</strong>: the results of the first academic<br />
study of indices and passive management in <strong>Asia</strong> will<br />
be unveiled, they will document the level of adoption<br />
of passive investment in the region and highlight the<br />
latest trends in the use of indices by <strong>Asia</strong>n investors;<br />
the major <strong>Asia</strong>n equity indices will be assessed for<br />
biases, stability, efficiency and representativeness; and<br />
regulatory development affecting ETFs in the region will<br />
be discussed. Alternative to traditional equity indices<br />
will also be reviewed and assessed.<br />
On the second day, the conference will focus on<br />
alternative strategies and review traditional, modern,<br />
and emerging alternative investments. <strong>EDHEC</strong>-<strong>Risk</strong><br />
Institute researchers will present their latest results<br />
on the determinants of private equity performance,<br />
next-generation commodity investing, and hedge<br />
fund allocation, modelling and performance. They will<br />
also discuss developments in infrastructure investing,<br />
present a new class of volatility indices for <strong>Asia</strong> and<br />
evaluate skewness as an asset class.<br />
Each day will open with an exclusive forum at which<br />
leading figures from the investment industry and senior<br />
officers of supervisory authorities will discuss ongoing<br />
regulatory initiatives that will impact the future of<br />
investing. On the first day, the <strong>Asia</strong> Investment Forum<br />
will discuss smart regulation in <strong>Asia</strong> looking at what tools<br />
the regulatory authorities can use to reduce volatility<br />
and promote markets stability without inflicting too<br />
much damage on the competitiveness of the financial<br />
industry and on overall economic efficiency. On the<br />
second day, the High-Frequency Trading Forum will<br />
discuss the market impact and economic consequences<br />
of high-frequency trading and review recent and ongoing<br />
regulatory developments affecting this practice.<br />
The <strong>EDHEC</strong>-<strong>Risk</strong> <strong>Days</strong> <strong>Asia</strong> <strong>2012</strong> <strong>Asia</strong> Investment Forum and High-Frequency Trading Forum<br />
exclusive media partners are:<br />
and<br />
<strong>EDHEC</strong>-<strong>Risk</strong> <strong>Days</strong> <strong>Asia</strong> <strong>2012</strong> is endorsed by:<br />
and<br />
<strong>EDHEC</strong>-<strong>Risk</strong> <strong>Days</strong> <strong>Asia</strong> <strong>2012</strong> l 2 l Bringing Research Insights to Investment Professionals
Day One: <strong>Asia</strong> Investment Forum – Advances in Equity<br />
Investment – Indexing and Passive Investment<br />
<strong>Asia</strong> Investment Forum<br />
Central Banks and Financial Markets Stability: Is Regulatory Intervention Required?<br />
Evaluating the direct and indirect impact of competing measures aimed at reducing stock market volatility and<br />
ensuring orderly financial markets<br />
> Transactions taxes, short-sale constraints, leverage limits, margin requirements, VaR-based risk ceilings: what do we know about<br />
the effectiveness of such measures?<br />
> How do these impact asset prices, risk premia, portfolio management, trading volume and the real economy?<br />
> How will regulations introduced by one country impact the real and financial sectors of other countries?<br />
Advances in Equity Investment<br />
How to Protect Equity Investments against Sovereign <strong>Risk</strong>s<br />
> Why sovereign risk is not solely a concern for bond investors<br />
> How to measure the exposure of equity investments to sovereign risk<br />
> How to optimise the decorrelation between bond and equity investments – a low sovereign beta approach<br />
Optimising Equity Portfolio Construction<br />
> Modern portfolio theory: strengths and weaknesses<br />
> Current models of portfolio selection: out-of-sample performance<br />
> New approaches for portfolio construction: using better constraints<br />
> New approaches for portfolio construction: using information in stock-option prices<br />
Structured Equity Investment Strategies for Long-Term <strong>Asia</strong>n Investors<br />
> Exploring the empirical characteristics of <strong>Asia</strong>n equity markets<br />
> Comparing the risk-return profiles of equity strategies when volatility is stochastic<br />
> Designing structured equity strategies to capture the equity premium while managing total volatility and downside risk<br />
A Post-crisis Framework for Investment Management<br />
> What are the benefits and limits of diversification<br />
> Beyond diversification: understanding the role of hedging and insurance<br />
> Implementing risk diversification, risk hedging and risk insurance in practice<br />
In search of true <strong>Asia</strong>n Exposure in <strong>Asia</strong>-listed Equities<br />
> How to measure the economic representativeness of indices?<br />
> Assessing the <strong>Asia</strong>n beta of major stocks listed in the region<br />
> How to build portfolios that are representative of the <strong>Asia</strong> growth story?<br />
Indexing and Passive Investment<br />
Presenting the results of <strong>EDHEC</strong>-<strong>Risk</strong> Institute first <strong>Asia</strong>n Survey on Indices and Passive Management<br />
> What are the perceived benefits, drawbacks and limitations of passive investment for <strong>Asia</strong>n investors?<br />
> What are <strong>Asia</strong>n investors’ usages and perceptions of standard market indices?<br />
> What indices are favoured for portfolio construction?<br />
Assessing the Quality of the Major Equity Indices in <strong>Asia</strong><br />
> Understanding the biases of major equity indices<br />
> Assessing <strong>Asia</strong>n equity indices based on stability and efficiency<br />
> Challenging the representativeness of <strong>Asia</strong>n indices<br />
Alternatives to Cap-Weighted Indices<br />
> Beyond cap-weighting<br />
> In search of representative indices<br />
> Designing efficient investment benchmarks<br />
> Alternative weighting schemes: conditions for optimality<br />
> Concept selection vs. concept diversification<br />
Addressing Myths and Misconceptions about the <strong>Risk</strong>s of ETFs<br />
> Do ETFs deserve specific regulatory attention?<br />
> What are the risks of physical vs. synthetic replication ETFs?<br />
> What are the latest regulatory developments affecting ETFs across <strong>Asia</strong> and are there blind spots?<br />
<strong>EDHEC</strong>-<strong>Risk</strong> <strong>Days</strong> <strong>Asia</strong> <strong>2012</strong> l 3 l Bringing Research Insights to Investment Professionals
Day One: <strong>Asia</strong> Investment Forum – Advances in Equity<br />
Investment – Indexing and Passive Investment<br />
08:15–09:00 Registrations, Coffee and Tea<br />
09:00–09:15 Opening Address<br />
MORNING PLENARY SESSION<br />
09:15–10:45 <strong>Asia</strong> Investment Forum: Central Banks and Financial Markets Stability: Is Regulatory<br />
Intervention Required?<br />
<strong>Asia</strong> Investment Forum<br />
Evaluating the direct and indirect impact of competing measures aimed at reducing stock market volatility and ensuring<br />
orderly financial markets<br />
> Transactions taxes, short-sale constraints, leverage limits, margin requirements, VaR-based risk limits: what do we know about the<br />
effectiveness of such measures?<br />
> How do these impact asset prices, risk premia, portfolio management, trading volume and the real economy?<br />
> How will regulations introduced by one country impact the real and financial sectors of other countries?<br />
Confirmed roundtable panellists:<br />
Kevin Chen, Pan <strong>Asia</strong> Chief Investment Officer, Axa Rosenberg<br />
Lester Gray, Chief Executive Officer <strong>Asia</strong> Pacific, Schroder Investment Management and Chairman, IMAS<br />
Leslie Teo, Chief Economist, Director of Economic & Investment Strategy, GIC<br />
Raman Uppal, Member, <strong>EDHEC</strong>-<strong>Risk</strong> Institute and Professor of Finance, <strong>EDHEC</strong> Business School<br />
Introductory presentation speaker:<br />
Raman Uppal, Member, <strong>EDHEC</strong>-<strong>Risk</strong> Institute and Professor of Finance, <strong>EDHEC</strong> Business School<br />
10:45–11:30 Morning Break<br />
Morning Stream Sessions<br />
11:30–12:30 Presenting the results of <strong>EDHEC</strong>-<strong>Risk</strong><br />
Institute First <strong>Asia</strong>n Survey on Indices and Passive<br />
Management<br />
> What are the perceived benefits, drawbacks and limitations<br />
of passive investment for <strong>Asia</strong>n investors?<br />
> What are <strong>Asia</strong>n investors’ usages and perceptions of standard<br />
market indices?<br />
> What indices are favoured for portfolio construction?<br />
Q&A session with the audience<br />
Speaker:<br />
Felix Goltz, Head of Applied Research, <strong>EDHEC</strong>-<strong>Risk</strong> Institute<br />
11:30-12:30 How to Protect Equity Investments<br />
against Sovereign <strong>Risk</strong>s<br />
> Why sovereign risk is not solely a concern for bond investors<br />
> How to measure the exposure of equity investments to<br />
sovereign risk<br />
> How to optimise the decorrelation between bond and equity<br />
investments – a low sovereign beta approach<br />
Q&A session with the audience<br />
Speaker:<br />
Fahd Rachidy, Senior Quantitative Financial Analyst, <strong>EDHEC</strong>-<strong>Risk</strong><br />
Institute<br />
11:30-12:30 A Post-crisis Framework for<br />
Investment Management<br />
> What are the benefits and limits of diversification?<br />
> Beyond diversification: understanding the role of hedging<br />
and insurance<br />
> Implementing risk diversification, risk hedging and risk<br />
insurance in practice<br />
Q&A session with the audience<br />
Speaker:<br />
Stoyan Stoyanov, Head of Research, <strong>EDHEC</strong> <strong>Risk</strong> Institute–<strong>Asia</strong><br />
and Professor of Finance, <strong>EDHEC</strong> Business School<br />
12:30–13:45 Lunch Break<br />
workshopS<br />
13:45–14:45 Advances in Variance and <strong>Risk</strong><br />
Optimisation of Index Portfolios<br />
Organised by: STOXX Ltd<br />
> Reviewing the benefits of variance optimised indices<br />
> Evolution of Min Var indices over time<br />
> Introducing factor model based optimisations<br />
> Showcases and examples for the <strong>Asia</strong>n markets<br />
Speaker:<br />
Lucas van Berkestijn, Head of Buy-side, STOXX Ltd<br />
<strong>EDHEC</strong>-<strong>Risk</strong> <strong>Days</strong> <strong>Asia</strong> <strong>2012</strong> l 4 l Bringing Research Insights to Investment Professionals
13:45–14:45 Asset Allocation Techniques to<br />
Manage Volatility without Sacrificing Growth with<br />
Practical Solutions using ETFs<br />
Organised by: SPDR ® ETFs, State Street Global Advisors<br />
> <strong>Asia</strong>n investors’ top concerns are how to deal with<br />
market volatility in a low return environment. What are the<br />
investment solutions available to overcome these challenges?<br />
> How a rule based asset allocation overlay can help achieve a<br />
targeted volatility portfolio<br />
> How defining market risk regime can enhance tactical<br />
decisions<br />
> How shifting from asset allocation to risk allocation can<br />
mitigate downside risks<br />
> Practical portfolio solutions will be given using the ever<br />
expanding ETF tool kit<br />
Speaker:<br />
Thomas Poullaouec, Head of Product Engineering, <strong>Asia</strong> ex-Japan,<br />
State Street Global Advisors<br />
AFTERNOON stream sessions<br />
14:55-15:55 Assessing the Quality of the Major<br />
Equity Indices in <strong>Asia</strong><br />
> Understanding the biases of major equity indices<br />
> Assessing <strong>Asia</strong>n equity indices based on stability and<br />
efficiency<br />
> Challenging the representativeness of <strong>Asia</strong>n indices<br />
Q&A session with the audience<br />
Panelists:<br />
Pranay Gupta, Chief Investment Officer <strong>Asia</strong>, Lombard Odier<br />
Puah Jim Ee, Head, Quantitative Equities Division, GIC<br />
Speaker:<br />
Felix Goltz, Head of Applied Research, <strong>EDHEC</strong>-<strong>Risk</strong> Institute<br />
14:55-15:55 Optimising Equity Portfolio<br />
Construction<br />
> Modern portfolio theory: strengths and weaknesses<br />
> Current models of portfolio selection: out-of-sample<br />
performance<br />
> New approaches for portfolio construction: using better<br />
constraints<br />
> New approaches for portfolio construction: using<br />
information in stock-option prices<br />
Q&A session with the audience<br />
Speaker:<br />
Raman Uppal, Member, <strong>EDHEC</strong>-<strong>Risk</strong> Institute and Professor of<br />
Finance, <strong>EDHEC</strong> Business School<br />
15:55–16:30 Afternoon Break<br />
16:30-17:30 Structured Equity Investment<br />
Strategies for Long-Term <strong>Asia</strong>n Investors<br />
> Exploring the empirical characteristics of <strong>Asia</strong>n equity<br />
markets<br />
> Comparing the risk-return profiles of equity strategies when<br />
volatility is stochastic<br />
> Designing structured equity strategies to capture the equity<br />
premium while managing total volatility and downside risk<br />
Q&A session with the audience<br />
Chair:<br />
Pierre Trécourt, Managing Director, Cross-Asset Solutions Head<br />
of Fixed Income Solutions & Institution <strong>Asia</strong> Pacific, Société<br />
Générale<br />
Speaker:<br />
Stoyan Stoyanov, Head of Research, <strong>EDHEC</strong> <strong>Risk</strong> Institute–<strong>Asia</strong><br />
and Professor of Finance, <strong>EDHEC</strong> Business School<br />
16:30-17:30 Addressing Myths and Misconceptions<br />
about the <strong>Risk</strong>s of ETFs<br />
> Do ETFs deserve specific regulatory attention?<br />
> What are the risks of physical vs. synthetic replication ETFs?<br />
> What are the latest regulatory developments affecting ETFs<br />
across <strong>Asia</strong> and are there blind spots?<br />
Q&A session with the audience<br />
Panelists:<br />
Steve Kinoshita, ETF Sales Trading, Flow Traders<br />
Marco Montanari, Head of db X-trackers ETFs, <strong>Asia</strong>, Deutsche<br />
Bank<br />
Speaker:<br />
Frédéric Ducoulombier, Director, <strong>EDHEC</strong> <strong>Risk</strong> Institute–<strong>Asia</strong><br />
16:30-17:30 Alternatives to Cap-Weighted Indices<br />
> Beyond cap-weighting<br />
> In search of representative indices<br />
> Designing efficient investment benchmarks<br />
> Alternative weighting schemes: conditions for optimality<br />
> Concept selection vs. concept diversification<br />
Q&A session with the audience<br />
Panelists:<br />
Ryujiro Miki, General Manager, Japan Post Insurance<br />
Alex Ng, Chief Investment Officer, <strong>Asia</strong>-Pacific, BNP Paribas<br />
Investment Partners<br />
Roger McIntosh, Principal, Investment Strategy Group, Vanguard<br />
Investments Australia<br />
Speaker:<br />
Felix Goltz, Head of Applied Research, <strong>EDHEC</strong>-<strong>Risk</strong> Institute<br />
AFTERNOON PLENARY SESSION<br />
17:40-18:40 In Search of True <strong>Asia</strong>n Exposure in<br />
<strong>Asia</strong>-listed Equities<br />
> How to measure the economic representativeness of indices?<br />
> Assessing the <strong>Asia</strong>n beta of major stocks listed in the region<br />
> How to build portfolios that are representative of the <strong>Asia</strong><br />
growth story?<br />
Speaker<br />
Marc Rakotomalala, Senior Quantitative Financial Analyst, <strong>EDHEC</strong><br />
<strong>Risk</strong> Institute–<strong>Asia</strong><br />
18:40 End of Day One<br />
<strong>EDHEC</strong>-<strong>Risk</strong> <strong>Days</strong> <strong>Asia</strong> <strong>2012</strong> l 5 l Bringing Research Insights to Investment Professionals
<strong>EDHEC</strong>-<strong>Risk</strong> <strong>Days</strong> <strong>Asia</strong> <strong>2012</strong> l 6 l Bringing Research Insights to Investment Professionals
Day Two: High-Frequency Trading Forum – Alternative<br />
Investments<br />
High-Frequency Trading Forum<br />
The Market Impact and Economic Consequences of Algorithmic and High-Frequency Trading<br />
Evaluating the impact of algorithmic and high-frequency trading on liquidity, volatility and the informational<br />
efficiency of prices<br />
> What is the impact of algorithmic and high-frequency trading on market liquidity?<br />
> How does algorithmic and high-frequency trading affect price discovery process and the informational efficiency of prices?<br />
> What is the impact of such trading on intraday and daily volatility?<br />
> What factors make algorithmic trading beneficial or harmful; which firms or markets, if any, would benefit from regulatory<br />
restrictions on fast trading?<br />
> What are the longer-term effects of increasing algorithmic trading intensity?<br />
Alternative Investments<br />
A New Class of Volatility Indices for <strong>Asia</strong><br />
> The specificities of volatility and volatility hedging on <strong>Asia</strong>n equity markets<br />
> Introducing a new set of efficient and tractable proxies of idiosyncratic volatility for <strong>Asia</strong>n equity markets<br />
> Providing reliable proxies for volatility when option-based implied volatility measures are not available<br />
Skewness as an Asset Class<br />
> Exploring the empirical properties of skewness<br />
> Understanding implied and realised skewness and the informational content of skewness indicators<br />
> Measuring the benefits of skewness exposure<br />
The State and Challenges of Infrastructure Financing and Investing<br />
> What exactly is an infrastructure asset?<br />
> The infrastructure risk/return mismatch<br />
> Recent hurdles, the credit cycle and long-term solutions<br />
Long-Short Commodity Investing: Implications for Portfolio <strong>Risk</strong> and Market Regulation<br />
> Measuring the returns earned by long-short commodity investors<br />
> Long-short commodity portfolios as a hedge against extreme equity risk<br />
> Are long-short investors destabilising commodity markets by increasing volatility and cross market linkages?<br />
New Evidence on the Performance of Private Equity<br />
> Analysing the return drivers of more than 10,000 private-equity investments (speed, firm structure, investment size, business<br />
cycle, exit route)<br />
> Are quick-flips the norm?<br />
> Which firm characteristics impact returns most?<br />
> Do private-equity firms add value? And if so, how?<br />
Allocating to Hedge Funds – A View from the Buy Side<br />
> Looking at the current state of the hedge fund industry<br />
> Reviewing the myths and limits of hedge fund investing<br />
> Including hedge funds into strategic asset allocation<br />
> Managing the liquidity and operational risks of hedge fund investments<br />
Non-parametric Hedge Fund Modelling and Implications for Hedge Fund Performance Evaluation and Asset<br />
Allocation Decisions<br />
> Limitations of traditional approaches to modelling hedge fund payoffs<br />
> Advantage of a stochastic discount factor approach to modelling hedge fund risks<br />
> Aligning allocation decisions with performance measurement in the hedge fund universe<br />
<strong>EDHEC</strong>-<strong>Risk</strong> <strong>Days</strong> <strong>Asia</strong> <strong>2012</strong> l 7 l Bringing Research Insights to Investment Professionals
Day Two: High-Frequency Trading Forum – Alternative<br />
Investments<br />
08:30–09:00 Registrations, Morning Coffee and Tea<br />
morning plenary session<br />
9:00–10:30 High-Frequency Trading Forum: The Market Impact and Economic Consequences of Algorithmic<br />
and High-Frequency Trading<br />
High-Frequency Trading Forum<br />
Evaluating the impact of algorithmic and high-frequency trading on liquidity, volatility<br />
and the informational efficiency of prices<br />
> What is the impact of algorithmic and high-frequency trading on market liquidity?<br />
> How does algorithmic and high-frequency trading affect price discovery process and the informational efficiency of<br />
prices?<br />
> What is the impact of such trading on intraday and daily volatility?<br />
> What factors make algorithmic trading beneficial or harmful; which firms or markets, if any, would benefit from<br />
regulatory restrictions on fast trading?<br />
> What are the longer-term effects of increasing algorithmic trading intensity?<br />
Confirmed roundtable panellists:<br />
Ekkehart Boehmer, Member, <strong>EDHEC</strong>-<strong>Risk</strong> Institute and Professor of Finance, <strong>EDHEC</strong> Business School<br />
Alan Donoghue, Managing Director, <strong>Asia</strong> Pacific, Nyenburgh<br />
Lionel Ghouila-Houri, Head of High Frequency Sales APAC, Newedge<br />
Pierre Rousseau, Global Head of Equities and Derivatives, <strong>Asia</strong> Pacific, BNP Paribas CIB and CEO, BNP Paribas Securities (<strong>Asia</strong>)<br />
Martijn Schuijt, Managing Director, Flow Traders <strong>Asia</strong><br />
Michael Syn, Head of Derivatives, Singapore Exchange<br />
Introductory presentation speaker:<br />
Ekkehart Boehmer, Member, <strong>EDHEC</strong>-<strong>Risk</strong> Institute and Professor of Finance, <strong>EDHEC</strong> Business School<br />
Workshop<br />
10:40-11:40 Efficient Exposure to Emerging Markets<br />
Organised by: Deutsche Bank<br />
> Critical assessment of index investment vehicles and<br />
replication techniques<br />
> Pros and cons of different wrappers<br />
> Considerations on legal, liquidity and tax constraints<br />
Speaker:<br />
Marco Montanari, Head of db X-trackers ETFs and db-X funds,<br />
<strong>Asia</strong>, Deutsche Bank<br />
INformation Session<br />
10:40-11:40 <strong>EDHEC</strong>-<strong>Risk</strong> Institute PhD in Finance<br />
> The foremost academic and professional qualification<br />
> A rigorous and stimulating curriculum<br />
> A faculty of leading experts in finance and economics<br />
> The executive track: a platform for professional<br />
development and industry innovation<br />
11:40-12:15 Morning Break<br />
Stream sessions<br />
12:15-13:15 A New Class of Volatility Indices for<br />
<strong>Asia</strong><br />
> The specificities of volatility and volatility hedging on<br />
<strong>Asia</strong>n equity markets<br />
> Introducing a new set of efficient and tractable proxies<br />
of idiosyncratic volatility for <strong>Asia</strong>n equity markets<br />
> Providing reliable proxies for volatility when optionbased<br />
implied volatility measures are not available<br />
Q&A session with the audience<br />
Speaker:<br />
Stoyan Stoyanov, Head of Research, <strong>EDHEC</strong> <strong>Risk</strong> Institute–<strong>Asia</strong><br />
and Professor of Finance, <strong>EDHEC</strong> Business School<br />
Speakers:<br />
Frédéric Ducoulombier, Director, <strong>EDHEC</strong> <strong>Risk</strong> Institute–<strong>Asia</strong><br />
René Garcia, Academic Director, PhD in Finance, <strong>EDHEC</strong>-<strong>Risk</strong><br />
Institute and Professor of Finance, <strong>EDHEC</strong> Business School<br />
<strong>EDHEC</strong>-<strong>Risk</strong> <strong>Days</strong> <strong>Asia</strong> <strong>2012</strong> l 8 l Bringing Research Insights to Investment Professionals
12:15-13:15 Long-Short Commodity Investing:<br />
Implications for Portfolio <strong>Risk</strong> and Market<br />
Regulation<br />
> Measuring the returns earned by long-short<br />
commodity investors<br />
> Long-short commodity portfolios as a hedge against<br />
extreme equity risk<br />
> Are long-short investors destabilising commodity<br />
markets by increasing volatility and cross-market<br />
linkages?<br />
Q&A session with the audience<br />
Chair:<br />
Julien Le Noble, Head of the <strong>Asia</strong>-Pacific Office, CME Group<br />
Speaker:<br />
Joëlle Miffre, Member, <strong>EDHEC</strong>-<strong>Risk</strong> Institute and Professor of<br />
Finance, <strong>EDHEC</strong> Business School<br />
13:15–14:30 Lunch Break<br />
14.30-15.30 Non-parametric Hedge Fund<br />
Modelling and Implications for Hedge Fund<br />
Performance Evaluation and Asset Allocation<br />
Decisions<br />
> Limitations of traditional approaches to modelling<br />
hedge fund payoffs<br />
> Advantage of a stochastic discount factor approach to<br />
hedge fund modelling risks<br />
> Aligning allocation decisions with performance<br />
measurement in the hedge fund universe<br />
Q&A session with the audience<br />
Speaker:<br />
René Garcia, Academic Director, PhD in Finance, <strong>EDHEC</strong>-<strong>Risk</strong><br />
Institute, and Professor of Finance, <strong>EDHEC</strong> Business School<br />
14.30-15.30 Skewness as an Asset Class<br />
> Exploring the empirical properties of skewness<br />
> Understanding implied and realised skewness and the<br />
informational content of skewness indicators<br />
> Measuring the benefits of skewness exposure<br />
Q&A session with the audience<br />
14:30-15:30 The State and Challenges of<br />
Infrastructure Financing and Investing<br />
> What exactly is an infrastructure asset?<br />
> The infrastructure risk/return mismatch<br />
> Recent hurdles, the credit cycle and long-term solutions<br />
Q&A session with the audience<br />
Speaker:<br />
Frédéric Blanc-Brude, Research Director, <strong>EDHEC</strong> <strong>Risk</strong> Institute–<br />
<strong>Asia</strong><br />
15:30-16:00 Afternoon Break<br />
16:00-17:00 New Evidence on the Performance of<br />
Private Equity<br />
> Analysing the return drivers of more than 10,000<br />
private-equity investments (speed, firm structure,<br />
investment size, business cycle, exit route)<br />
> Are quick-flips the norm?<br />
> Which firm characteristics impact returns most?<br />
> Do private-equity firms add value? And if so, how?<br />
Q&A session with the audience<br />
Speaker:<br />
Florencio López-de-Silanes, Member, <strong>EDHEC</strong>-<strong>Risk</strong> Institute and<br />
Professor of Finance, <strong>EDHEC</strong> Business School<br />
16:00-17:00 Allocating to Hedge Funds – A View<br />
from the Buy Side<br />
> Looking at the current state of the hedge fund industry<br />
> Including hedge funds into strategic asset allocation<br />
> Reviewing the myths and limits of hedge fund investing<br />
> Managing the liquidity and operational risks of hedge<br />
fund investments<br />
Q&A session with the audience<br />
Speaker:<br />
François Serge Lhabitant, Affiliate Professor of Finance, <strong>EDHEC</strong><br />
Business School and Chief Executive Officer, Kedge Capital<br />
17:00 End of the Conference<br />
Speaker:<br />
Stoyan Stoyanov, Head of Research, <strong>EDHEC</strong> <strong>Risk</strong> Institute–<strong>Asia</strong><br />
and Professor of Finance, <strong>EDHEC</strong> Business School<br />
<strong>EDHEC</strong>-<strong>Risk</strong> <strong>Days</strong> <strong>Asia</strong> <strong>2012</strong> l 9 l Bringing Research Insights to Investment Professionals
Global Event Partners<br />
Deutsche Bank<br />
One Raffles Quay, #18-00 South Tower,<br />
Singapore 048583<br />
Tel.: +65 6238 8868 - www.dbxtrackers.com.sg<br />
Deutsche Bank db X-trackers is one of the world’s largest ETF providers with more than<br />
US$50 billion in assets under management. With more than 190 db X-trackers ETFs on<br />
various asset classes including equities, fixed income, credit (long/short), money market,<br />
currencies and commodities, investors are able to implement a wide range of market<br />
strategies in a transparent, flexible and efficient manner. db X-trackers ETFs are supported<br />
by a range of market makers and are listed on different exchanges all over Europe (Borsa<br />
Italiana, Frankfurt Xetra, Paris Euronext, London Stock Exchange and Zurich SIX Swiss<br />
Exchange). db X-trackers ETFs are now also available in <strong>Asia</strong> on The Stock Exchange of Hong<br />
Kong Limited (“SEHK”) and the Singapore stock exchange (“SGX-ST”) where Deutsche Bank<br />
is the largest ETF provider by product offerings. db X-trackers ETFs seek to combine superior<br />
index tracking, liquidity, transparency and innovation. They are designed to replicate the<br />
relevant index performance “one-for-one” before fees which creates transparency. All db<br />
X-trackers ETFs are built on the solid and stable foundations of Deutsche Bank and provide<br />
peace of mind as they are supervised under the UCITS III regulations. db X-trackers was<br />
named the winner of multiple awards including <strong>Asia</strong>nInvestor’s “Exchange-traded funds,<br />
<strong>Asia</strong> Pacific” Award two years in a row, 2010 and 2011.<br />
Stoxx Limited<br />
Selnaustrasse 30<br />
8021 Zurich - Switzerland<br />
Tel.: +41 (0)58 399 59 00 - www.stoxx.com<br />
STOXX Ltd. is an established and leading index specialist of European origins. The launch<br />
of the first STOXX® indices in 1998, including the EURO STOXX 50® index, marked the<br />
beginning of a unique success story, based on the company’s neutrality and independence.<br />
Since then, STOXX has been at the forefront of market developments, continuously<br />
expanding its portfolio of innovative indices – and now operating on a global level, across<br />
all asset classes.<br />
STOXX Limited is committed to delivering its high-quality, reliable and trusted index<br />
offerings to its global client base.<br />
The indices are licensed to more than 400 companies among the world’s largest financial<br />
products issuers, capital owners, and asset managers. They are used not only as underlyings<br />
for financial products such as ETFs, futures and options, and structured products, but also<br />
for risk and performance measurement.<br />
In addition, STOXX Ltd. is the marketing agent for the indices of Deutsche Börse AG and<br />
SIX Group AG, among them the DAX® and the SMI® indices.<br />
For more information, please visit www.stoxx.com<br />
SPDR® ETFs, State Street Global Advisors<br />
168 Robinson Road,<br />
#33-01 Capital Tower, Singapore, 068912<br />
Tel.: +65 6826 7500 – www.spdrs.com.sg<br />
Offered by State Street Global Advisors (“SSGA”), SPDR ETFs are a family of exchange traded<br />
funds that provide investors with the flexibility to select investments that are precisely<br />
aligned to their investment strategy. Recognized as the industry pioneer, State Street Global<br />
Advisors created the first ETF in 1993 – SPDR S&P 500® which is currently the world’s<br />
largest ETF 1 . SSgA introduced ETFs in <strong>Asia</strong> Pacific in 1999 when it launched the Tracker Fund<br />
of Hong Kong 2 . Since then, SSgA has introduced Singapore’s first ETF, the SPDR Straits Times<br />
Index ETF. Currently, State Street Global Advisors manages approximately US$274 billion of<br />
ETF assets worldwide. 3<br />
1 Bloomberg, as of 31 December 2011.<br />
2 The ETFs mentioned herein are offered in limited jurisdictions only and may not be available for certain investors.<br />
3 As of 31 December 2011. This AUM includes the assets of the SPDR Gold Trust (approx. US$63 billion as of 31<br />
December 2011), for which State Street Global Markets, LLC, an affiliate of State Street Global Advisors serves as the<br />
marketing agent.<br />
Exhibitors<br />
Eurex Exchange<br />
50 Raffles Place #21-05<br />
Singapore Land Tower, Singapore 048623<br />
Tel.: +65 6304 5251 - www.eurexchange.com<br />
Eurex Exchange is a member of Eurex Group, one of the world’s leading derivatives<br />
exchanges.<br />
1,650 products across 11 asset classes on one single platform provide customers with new<br />
business opportunities. Our innovative and reliable technology gives 430 members and<br />
8,300 traders in 30 countries worldwide access to our products and services.<br />
Futures and options on EUR-denominated government bonds (Bund, Bobl, Schatz) and<br />
derivatives on the European benchmark indexes DAX® and EURO STOXX 50® are important<br />
parts of our customers portfolios in <strong>Asia</strong> Pacific. Eurex branch and representative offices<br />
have been established in Hong Kong, Singapore and Tokyo.<br />
Contact: Henk Huitema<br />
Tel.: +65 6304 5251 | Email: henk.huitema@eurexchange.com<br />
<strong>EDHEC</strong>-<strong>Risk</strong> <strong>Days</strong> <strong>Asia</strong> <strong>2012</strong> l 10 l Bringing Research Insights to Investment Professionals
Fora Exclusive Media Partners<br />
Professional Organisations Endorsing the Conference<br />
Research Publisher and Scientific Journals Associated with the<br />
Conference<br />
Media Partners<br />
<strong>EDHEC</strong>-<strong>Risk</strong> <strong>Days</strong> <strong>Asia</strong> <strong>2012</strong> l 11 l Bringing Research Insights to Investment Professionals
Thank You<br />
Without the support of the industry over the past ten years,<br />
<strong>EDHEC</strong>-<strong>Risk</strong> Institute would never have been able to develop the ambitious<br />
research programmes that allow it to combine academic excellence and<br />
business relevance today.<br />
<strong>EDHEC</strong>-<strong>Risk</strong> <strong>Days</strong> <strong>Asia</strong> <strong>2012</strong> l 12 l Bringing Research Insights to Investment Professionals
Industry surveys: comparing research<br />
advances with industry best practices<br />
<strong>EDHEC</strong>-<strong>Risk</strong> Institute regularly conducts<br />
surveys on the state of the European<br />
asset management industry. These look<br />
specifically at the application of recent<br />
research advances within investment<br />
management companies and at best<br />
practices in the industry. Survey results<br />
receive considerable attention from<br />
professionals and are extensively reported<br />
on by the international financial media.<br />
Recent industry surveys conducted by<br />
<strong>EDHEC</strong>-<strong>Risk</strong> Institute<br />
<strong>EDHEC</strong>-<strong>Risk</strong> Institute is part of <strong>EDHEC</strong> Business School,<br />
one of Europe’s leading business schools and a member of<br />
the select group of institutions worldwide to have earned<br />
all three international academic accreditations (AACSB,<br />
EQUIS, AMBA). Established in 2001, <strong>EDHEC</strong>-<strong>Risk</strong> Institute has<br />
become the premier centre for financial research and its<br />
applications.<br />
In partnership with the industry, its team of 66 permanent<br />
professors, engineers and support staff implements six<br />
research programmes and fourteen research chairs and<br />
strategic research projects focusing on asset allocation<br />
and risk management in the traditional and alternative<br />
investment universes. The results of the research programmes<br />
and chairs are disseminated through the three <strong>EDHEC</strong>-<strong>Risk</strong><br />
Institute locations in London, Nice and Singapore.<br />
<strong>EDHEC</strong>-<strong>Risk</strong> Institute validates the academic quality of its<br />
research through publications in leading scholarly journals,<br />
implements a multifaceted communications policy to<br />
inform investors and asset managers on state-of-the-art<br />
concepts and techniques, and forms business partnerships<br />
to launch innovative products. Its executive education arm<br />
helps professionals to upgrade their skills with advanced<br />
risk and investment management seminars and degree<br />
courses, including the <strong>EDHEC</strong>-<strong>Risk</strong> Institute PhD in Finance.<br />
Executive Education Activities<br />
<strong>EDHEC</strong>-<strong>Risk</strong> Institute provides a range<br />
of executive courses in investment<br />
management and joint seminars with CFA<br />
Institute. <strong>EDHEC</strong>-<strong>Risk</strong> Institute is registered<br />
with CFA Institute as an Approved<br />
Provider of the Continuing Education<br />
programme.<br />
<strong>EDHEC</strong>-<strong>Risk</strong> Institute offers a PhD in<br />
Finance designed for professionals who<br />
aspire to higher intellectual levels and aim<br />
to redefine the investment banking and<br />
asset management industries. Drawing its<br />
faculty from the world’s best universities<br />
and enjoying the support of the research<br />
centre with the greatest impact on<br />
the European financial industry, the<br />
<strong>EDHEC</strong>-<strong>Risk</strong> Institute PhD in Finance<br />
creates an extraordinary platform for<br />
professional development and industry<br />
innovation.<br />
<strong>EDHEC</strong>-<strong>Risk</strong> Institute Research for<br />
Business<br />
The <strong>EDHEC</strong>-<strong>Risk</strong> Institute website puts<br />
<strong>EDHEC</strong>-<strong>Risk</strong>’s analyses and expertise in the<br />
field of risk and investment management<br />
at the disposal of professionals. The site<br />
examines the latest academic research<br />
from a business perspective, and provides<br />
a critical look at the most recent industry<br />
news.<br />
<strong>EDHEC</strong>-<strong>Risk</strong> <strong>Days</strong> <strong>Asia</strong> <strong>2012</strong> l 13 l Bringing Research Insights to Investment Professionals
<strong>EDHEC</strong>-<strong>Risk</strong> <strong>Days</strong> <strong>Asia</strong> <strong>2012</strong><br />
Day One - 9 May<br />
Day 1 Synopsis<br />
8:15<br />
Registrations, morning coffee and tea<br />
9:00 Opening address<br />
9:15<br />
10:45<br />
ASIA INVESTMENT FORUM<br />
Central Banks and Financial Markets Stability: Is Regulatory Intervention Required?<br />
11:30 STREAM SESSION<br />
Presenting the Results of<br />
<strong>EDHEC</strong>-<strong>Risk</strong> Institute First <strong>Asia</strong>n<br />
Survey on Indices and Passive<br />
Management<br />
12:30<br />
13:45<br />
14:45<br />
14:55<br />
15:55<br />
16:30<br />
17:30<br />
17:40<br />
18:40<br />
WORKSHOP<br />
Advances in Variance and <strong>Risk</strong><br />
Optimisation of Index Portfolio<br />
STOXX<br />
STREAM SESSION<br />
Assessing the Quality of the Major<br />
Equity Indices in <strong>Asia</strong><br />
STREAM SESSION<br />
Structured Equity Investment<br />
Strategies for Long-Term <strong>Asia</strong>n<br />
Investors<br />
Morning break<br />
STREAM SESSION<br />
How to Protect Equity<br />
Investments against Sovereign<br />
<strong>Risk</strong>s<br />
Lunch break<br />
WORKSHOP<br />
Asset Allocation Techniques<br />
to Manage Volatility without<br />
Sacrificing Growth with Practical<br />
Solutions using ETFs<br />
SPDR ® ETFs<br />
Afternoon break<br />
STREAM SESSION<br />
Addressing Myths and<br />
Misconceptions about the <strong>Risk</strong>s<br />
of ETFs<br />
STREAM SESSION<br />
A Post-crisis Framework for<br />
Investment Management<br />
WORKSHOP<br />
STREAM SESSION<br />
Optimising Equity Portfolio Construction<br />
AFTERNOON PLENARY SESSION<br />
In Search of True <strong>Asia</strong>n Exposure in <strong>Asia</strong>-listed Equities<br />
End of day one<br />
STREAM SESSION<br />
Alternatives to Cap-Weighted<br />
Indices<br />
<strong>EDHEC</strong>-<strong>Risk</strong> <strong>Days</strong> <strong>Asia</strong> <strong>2012</strong> l 14 l Bringing Research Insights to Investment Professionals
<strong>EDHEC</strong>-<strong>Risk</strong> <strong>Days</strong> <strong>Asia</strong> <strong>2012</strong><br />
Day Two - 10 May<br />
Day 2 Synopsis<br />
8:30<br />
9:00<br />
10:30<br />
10:40 WORKSHOP<br />
Efficient Exposure to Emerging<br />
Markets<br />
db X-trackers ETFs,<br />
Deutsche Bank<br />
11:40<br />
12:15<br />
13:15<br />
Registrations, morning coffee and tea<br />
HIGH-FREQUENCY TRADING FORUM<br />
The Market Impact and Economic Consequences of High-Frequency Trading<br />
STREAM SESSION<br />
A New Class of Volatility<br />
Indices for <strong>Asia</strong><br />
14:30 STREAM SESSION<br />
Non-parametric Hedge Fund<br />
Modelling and Implications<br />
for Hedge Fund Performance<br />
Evaluation and Asset Allocation<br />
Decisions<br />
15:30<br />
16:00<br />
17:00<br />
STREAM SESSION<br />
New Evidence on the Performance of Private<br />
Equity<br />
INFORMATION SESSION<br />
The <strong>EDHEC</strong>-<strong>Risk</strong> Institute<br />
PhD in Finance<br />
Morning break<br />
Lunch break<br />
STREAM SESSION<br />
Skewness as an Asset Class<br />
Afternoon break<br />
End of conference<br />
WORKSHOP<br />
STREAM SESSION<br />
Long-Short Commodity Investing: Implications for<br />
Portfolio <strong>Risk</strong> and Market Regulation<br />
STREAM SESSION<br />
The State and Challenges of<br />
Infrastructure Financing and<br />
Investing<br />
STREAM SESSION<br />
Allocating to Hedge Funds – A View from the<br />
Buy Side<br />
<strong>EDHEC</strong>-<strong>Risk</strong> <strong>Days</strong> <strong>Asia</strong> <strong>2012</strong> l 15 l Bringing Research Insights to Investment Professionals
<strong>EDHEC</strong>-<strong>Risk</strong> <strong>Days</strong> <strong>Asia</strong> <strong>2012</strong><br />
9-10 May — Marina Bay Sands Conference Centre — Singapore<br />
10 Bayfront Avenue – Singapore<br />
Delegate Fee GST (7%) Delegate Fee<br />
GST included<br />
CFA Institute and CAIA Association member rate SGD1125 SGD78.25 SGD1203.75<br />
Standard rate SGD1500 SGD105 SGD1605<br />
Investor rate: pension schemes, charities, endowments, foundations, insurance<br />
companies (third party asset management excluded), government and regulatory<br />
bodies, single family offices and financial executives from non-financial companies<br />
FREE<br />
should contact: eridays<strong>2012</strong>asia@edhec-risk.com or +65 6631 8578 for registration.<br />
Senior executive/investment officer rate: senior executive officers (members of<br />
the supervisory board, members of the board of directors, chief executive officers,<br />
executive committee members) and senior investment officers (chief investment<br />
officers, heads of units, portfolio and risk managers) of leading asset/wealth<br />
management firms, investment/private banks, and alternative funds and funds of funds<br />
should contact: eridays<strong>2012</strong>asia@edhec-risk.com or +65 6631 8578 for registration.<br />
FREE<br />
The registration fee includes buffet lunch, refreshments and full conference documentation. Delegates may be refused admission if payment is not received prior to the conference.<br />
CANCELLATION POLICY<br />
Given the moderate conference fee, we do not accept cancellations; invoiced sums will remain payable in full. If a registered delegate is unable to attend, a substitute delegate from the same organisation is welcome.<br />
REGISTER NOW<br />
www.regonline.sg/eridays<strong>2012</strong>asia<br />
ENQUIRIES<br />
Email: eridays<strong>2012</strong>asia@edhec-risk.com<br />
Phone: +65 6631 8578<br />
<strong>EDHEC</strong>-<strong>Risk</strong> Institute<br />
393 promenade des Anglais<br />
BP 3116 - 06202 Nice Cedex 3 - France<br />
Tel: +33 (0)4 93 18 78 24<br />
<strong>EDHEC</strong> <strong>Risk</strong> Institute—Europe<br />
10 Fleet Place - Ludgate<br />
London EC4M 7RB - United Kingdom<br />
Tel: +44 207 871 6740<br />
<strong>EDHEC</strong> <strong>Risk</strong> Institute—<strong>Asia</strong><br />
1 George Street - #07-02<br />
Singapore 049145<br />
Tel.: +65 64 380 030<br />
www.edhec-risk.com
Change language