08:00
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Registration and refreshments
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08:40
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Welcome remarks: Rob Mannix, Editor, RISK.NET
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08:50 |
Chair's opening remarks: Erik Vynckier, Chief Investment Officer, ELI GLOBAL
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09:00 |
Keynote address: Factor Investing, the ATP way
Kasper Ahrndt Lorenzen, Executive VP - Chief Investment Officer, ATP
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09.30 |
C-Level panel: Breaking boundaries - what does the growing alignment of investment strategy and risk management mean for buy-side firms’ business models?
- What impact is the increasingly prominent role of risk management having on business?
- What role can risk manager’s play in supporting investment strategy?
- How successful have strategic risk review units and risk mitigating strategies been in ensuring strong investments?
Moderator: Roger Dix, Chief Risk Officer, WESLEYAN
Carl Moxley, Chief Risk Officer, LEGAL AND GENERAL
Darrel Yawitch, Chief Risk Officer, MAN AHL
Manish Nagar, Global Head of Investment Risk, VANGUARD
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10:15 |
Presentation: Bringing exponential thinking to regulated markets
- Future of money, assets and markets; questions of the digital age
- Technology enablement and foundational challenges
- Combining back to basics thinking with next generation products and services
Pinar Emirdag, Head of Digital Product Development and Innovation, STATE STREET
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10:45 |
Coffee break
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Portfolio Analytics & Investment Strategy
Chairman: Erik Vynckier, Chief Investment Officer, ELI Global
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11:20
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End of an era - finding yields after a period of low interest rates
- Can active trading do anything to improve returns on investments?
- Should AMs diversify into private assets in order to gain yield?
- Is there a risk that AMs will become too illiquid if they focus on alternative assets?
- Allocating funds into ‘new’ asset classes
Moderator: Bernardo Barreto, Managing Partner, LATEEN ASSET MANAGEMENT
Daniel Blamont, Head of Investment Strategy, PHOENIX GROUP
Nikhil Chandra, Investment Strategist, AVIVA INVESTORS
Louis Gargour, Chief Investment Officer, LNG CAPITAL
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5 min intermission allowing participants to change streams |
12.10
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What makes politics tick? Understanding political risk in markets and asset allocation
- Incorporating political risk into the investment process
- Investment risks from populism in Europe
- How President Trump is changing the global investment environment
Stephanie Kelly, Political Economist – Multi-Asset Investing, STANDARD LIFE INVESTMENTS
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12:40 |
Lunch
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13:40 |
The big debate: Passive investment and active strategies: what will the future look like for investment managers?
- What is the interaction between absolute return approaches, active strategies, factor-based investment, index-based and passive investment?
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How has the growth of index strategies changed the opportunity-set for active investors and long-term allocators?
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How complementary can passive and active investment styles be?
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How will “smart beta”, alpha-seeking index investing and active strategies coexist?
Moderator: Antonello Russo, EMEA Head of risk and quantitative analysis for Index strategies, BLACKROCK
Pasi Hyttinen, Senior Portfolio Manager, VANGUARD
Julien Cuisinier, Head of Portfolio Risk & Analytics, JANUS HENDERSON INVESTORS
Chrystelle Charles-Barral, Head of EMEA Portfolio Analysis and Risk, NEUBERGER BERMAN
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5 min intermission allowing participants to change streams |
14:30 |
Presentation: Through the looking glass - making better trading decisions for securities with embedded derivatives
- Looking through securities with advanced derivative models and portfolio analytics
- The importance of accurate modeling for securities with embedded derivative features
- What opportunities are missed when derivative risk is hidden in securities?
Christian Kahl, PHD, Director of Quantitative Analytics, FINCAD
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Risk Management & Modelling
Chairman: Philip Best, Chief Risk Officer, BARCLAYS WEALTH AND INVESTMENT MANAGEMENT
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11:20
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Modelling and Machine Learning - what can improvements in learning algorithms do for the buy-side firms?
- Can large-scale models of derivatives and securities predict market behavior?
- Are ‘overreaction’ and ‘under-reaction’ in markets predictable?
- How can the benefits of models be made comprehensible to senior management without risking oversimplification?
- Should models be ‘broad’ (eg. focusing on larger market trends) or ‘narrow’ (eg. focusing on specific asset classes)
Moderator: Mauro Cesa, Quant Finance Editor, RISK.NET
Arnaud Zeitoun, Global Head of Transformation, BNP PARIBAS ASSET MANAGEMENT
Maurizio Luisi, Senior Quantitative Portfolio Manager, UNIGESTION
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5 min intermission allowing participants to change streams |
12:10 |
How can risk management add value for the business?
1. Tackling challenges within the business
- How is technology impacting Risk Management?
- Coping with resource drain from regulatory requirements.
2. What can we do to ensure that risk is treated as a valuable opportunity by all?
Alain Robert-Dautun, Head of Risk Management, SYCOMORE ASSET MANAGEMENT
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12:40 |
Lunch
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13:40 |
Spotlight on Managing the portfolio - looking at risks arising from specific asset classes and investment types
- Moving from linear risk management strategy to strategies for non-linear portfolios
- Best methodology when assessing the risks associated with specific asset classes
- Finding common definitions for asset classes and building risk management procedures accordingly
- Examining risks associated with passive investing, such as the potential overpricing asset
Moderator: Philip Best, Chief Risk Officer, BARCLAYS WEALTH AND INVESTMENT MANAGEMENT
Ashan Ramakrishnan, Head of Investment Risk and SIRO, BNY MELLON INVESTMENT MANAGEMENT
Mirko Cardinale, Head of Multi Asset Allocation, USS INVESTMENT MANAGEMENT
Prasun Mathur, Head of Shareholder Investments, AVIVA
Denis Panel, Chief Investment Officer, BNP PARIBAS ASSET MANAGEMENT
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5 min intermission allowing participants to change streams |
14:30 |
Presentation: The bridge between behavioural and rational finance: Decoding fat-tails
- Turbulence, Sentiment, Crowding, Liquidity - the "new" market dominant risk drivers and how they impact Fat-tails
- The bridge between Behavioural and Rational Finance. Can we manage "behaviourist" money in a quantitative way?
- Improving investment performance by capturing fat-tails and sentiment within the portfolio construction process
Boryana Racheva-Iotova, Senior Vice President, Risk and Research and Cognity Operations, FACTSET
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15:00 |
Afternoon break
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15:30
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WAR GAMES
1) Italy votes to leave the EU – causing a EU and global crisis as speculation increases in the collapse of the Euro and the whole European project
Host: Philip Best, Chief Risk Officer, BARCLAYS WEALTH AND INVESTMENT MANAGEMENT
2) Inflation and rates rally in the US, Fed starts increasing rates aggressively
Host: Erik Vynckier, Chief Investment Officer, ELI Global
3) A very big fund similar to your fund style is accused of impropriety/fraud and has to unwind in a week
Host: Darrel Yawitch, Chief Risk Officer, MAN AHL
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16:30 |
All-star panel: Safeguarding returns and managing risks, lessons from fixed income’s specialists
- Getting ready for higher interest rates: investment opportunities and risks to consider
- to hedge or not to hedge
- Complying with MiFID : the impact on fixed income transparency
- The role of derivatives and the importance of having a solid risk management structure
Moderator: Erik Vynckier, Chief Investment Officer, ELI GLOBAL
Renato Zaffuto, Chief Investment Officer, FIDEURAM
Alan Higgins, Chief Investment Officer (UK), COUTTS
Salman Ahmed, Chief Investment Strategist and Portfolio Manager, LOMBARD ODIER INVESTMENT MANAGERS
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17:15 |
Chair's closing remarks
Erik Vynckier, Chief Investment Officer, ELI Global
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17:25 |
End of conference and networking drinks
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