EDHEC-Risk Days Asia 2012

13:45–14:45 Asset Allocation Techniques to
Manage Volatility without Sacrificing Growth with
Practical Solutions using ETFs
Organised by: SPDR ® ETFs, State Street Global Advisors
> Asian investors’ top concerns are how to deal with
market volatility in a low return environment. What are the
investment solutions available to overcome these challenges?
> How a rule based asset allocation overlay can help achieve a
targeted volatility portfolio
> How defining market risk regime can enhance tactical
decisions
> How shifting from asset allocation to risk allocation can
mitigate downside risks
> Practical portfolio solutions will be given using the ever
expanding ETF tool kit
Speaker:
Thomas Poullaouec, Head of Product Engineering, Asia ex-Japan,
State Street Global Advisors
AFTERNOON stream sessions
14:55-15:55 Assessing the Quality of the Major
Equity Indices in Asia
> Understanding the biases of major equity indices
> Assessing Asian equity indices based on stability and
efficiency
> Challenging the representativeness of Asian indices
Q&A session with the audience
Panelists:
Pranay Gupta, Chief Investment Officer Asia, Lombard Odier
Puah Jim Ee, Head, Quantitative Equities Division, GIC
Speaker:
Felix Goltz, Head of Applied Research, EDHEC-Risk Institute
14:55-15:55 Optimising Equity Portfolio
Construction
> Modern portfolio theory: strengths and weaknesses
> Current models of portfolio selection: out-of-sample
performance
> New approaches for portfolio construction: using better
constraints
> New approaches for portfolio construction: using
information in stock-option prices
Q&A session with the audience
Speaker:
Raman Uppal, Member, EDHEC-Risk Institute and Professor of
Finance, EDHEC Business School
15:55–16:30 Afternoon Break
16:30-17:30 Structured Equity Investment
Strategies for Long-Term Asian Investors
> Exploring the empirical characteristics of Asian equity
markets
> Comparing the risk-return profiles of equity strategies when
volatility is stochastic
> Designing structured equity strategies to capture the equity
premium while managing total volatility and downside risk
Q&A session with the audience
Chair:
Pierre Trécourt, Managing Director, Cross-Asset Solutions Head
of Fixed Income Solutions & Institution Asia Pacific, Société
Générale
Speaker:
Stoyan Stoyanov, Head of Research, EDHEC Risk Institute–Asia
and Professor of Finance, EDHEC Business School
16:30-17:30 Addressing Myths and Misconceptions
about the Risks of ETFs
> Do ETFs deserve specific regulatory attention?
> What are the risks of physical vs. synthetic replication ETFs?
> What are the latest regulatory developments affecting ETFs
across Asia and are there blind spots?
Q&A session with the audience
Panelists:
Steve Kinoshita, ETF Sales Trading, Flow Traders
Marco Montanari, Head of db X-trackers ETFs, Asia, Deutsche
Bank
Speaker:
Frédéric Ducoulombier, Director, EDHEC Risk Institute–Asia
16:30-17:30 Alternatives to Cap-Weighted Indices
> Beyond cap-weighting
> In search of representative indices
> Designing efficient investment benchmarks
> Alternative weighting schemes: conditions for optimality
> Concept selection vs. concept diversification
Q&A session with the audience
Panelists:
Ryujiro Miki, General Manager, Japan Post Insurance
Alex Ng, Chief Investment Officer, Asia-Pacific, BNP Paribas
Investment Partners
Roger McIntosh, Principal, Investment Strategy Group, Vanguard
Investments Australia
Speaker:
Felix Goltz, Head of Applied Research, EDHEC-Risk Institute
AFTERNOON PLENARY SESSION
17:40-18:40 In Search of True Asian Exposure in
Asia-listed Equities
> How to measure the economic representativeness of indices?
> Assessing the Asian beta of major stocks listed in the region
> How to build portfolios that are representative of the Asia
growth story?
Speaker
Marc Rakotomalala, Senior Quantitative Financial Analyst, EDHEC
Risk Institute–Asia
18:40 End of Day One
EDHEC-Risk Days Asia 2012 l 5 l Bringing Research Insights to Investment Professionals