08:00 Registration and refreshments
08:50 Risk.net welcome address: Rob Mannix, Asset Management and Insurance Editor, RISK.NET
8:55 Chairman opening remarks: Erik Vynckier, Board Member, FORESTERS FRIENDLY
09:00 Keynote speech: Efficient risk taking by investors
- What are the key risks facing institutional investors? How do these alter over time? How are these risks shared between the institution, their advisers and their portfolio managers, in-house or external?
- How well are client's expectations for managing investment risks being met in practice?
- Who is responsible for risk taking efficiency? Should it be part of a broader discussion?
- Measuring risk correctly and putting management practices into place to cope with emerging risks
- Practices and techniques for a portfolio manager and risk manager to add value to the business and to the client
Andrew Milligan, Head of Global Strategy, Adviser to CEO and Chairman of Investment Committee, STANDARD LIFE INVESTMENTS
09:40 Academic research: Inside insider trading
Marcin Kacperczyk, Professor of Finance, IMPERIAL COLLEGE LONDON
10:20 Panel: Market structure, liquidity and volatility for the buy-side
- Creating long term vision in asset management
- Market infrastructure and its implications for systematic investors
- The latest developments in the market and how to mitigate risk linked to higher volatility
- Long only risk and its rise in popularity - what's next, what's new?
- Swap market standardisation and central clearing: an opportunity for systematic investors?
- Trading challenges for managed futures firms in ‘new' markets compared with futures
Moderator: Rob Mannix, Asset Management and Insurance Editor, RISK.NET
Philip Best, Chief Risk Officer, BARCLAYS WEALTH
Francois Oustry, Managing Director, Head of Investment Solutions Group, MILLENNIUM GLOAL INVESTMENTS
Dan Veiner, Managing Director, Head of Fixed Income Trading, EMEA, BLACKROCK
11:00 Morning refreshment break
||Chairman: Graeme Smith, EMEA Head of Risk and Quantitative Analysis for the Trading and Liquidity Strategies, BLACKROCK
||Chairman: Erik Vynckier, Board Member, FORESTERS FRIENDLY
Panel: Risk makeover in multi asset class portfolios
- Multi asset risk budgeting and risk allocation
- Shortcomings of current multi asset risk analytics
- Risk management and forecasting correlations between assets
- Make use of non-conventional techniques in risk calibration to keep portfolio allocation consistent with initial fundamentals
- The issue of regime shifts/correlation breaks/insufficient data for long-term analysis
- Risk comparison of factor investing against asset class based investing and in light of the performance of the classic equity/bond balanced portfolio
Moderator: Peter Mennie, Senior Managing Director, Global Head of Investment Risk and Quantitative Analytics, MANULIFE ASSET MANAGEMENT
Mirko Cardinale, Head of Multi Asset Allocation, USS INVESTMENT MANAGEMENT
Odi Lahav, Chief Executive Officer, ALLENBRIDGE
Trevor Leydon, Head of Portfolio Construction and Risk Multi Assets, AVIVA INVESTORS
Ian Lumb, Managing Director, Head of Client, UBS DELTA
Panel: New flavors of smart beta and risk premia
- What is the evidence of smart beta robustness and longevity as an asset strategy?
- How smart beta behaves in specific markets?
- Are smart beta strategies reaching saturation point or is there a room for expansion and diversification?
- Prospects for emerging markets and parts of the fixed income markets
- Multifactor risk modeling framework that allows a flexible combination of different types of factors
Moderator: Erik Vynckier, Board Member, FORESTERS FRIENDLY
Bernardo Barreto, former Portfolio Manager and Co-Head of Asset Allocation, JETSTONE ASSET MANAGEMENT
Yoram Lustig, Head of Multi-Asset Investments UK, AXA INVESTMENT MANAGERS
Tørres Trovik, Chief Investment Officer, STOREBRAND
Panel: Avoiding crowds and modeling "endogenous" risk
- The shortcoming of conventional models during market turbulence
- Are smart beta markets becoming too crowded and posing extra risk?
- Blindness of factor models when using volatility as a metric
- The reality of assets behavior
- Models to identify crowded trades
Moderator: Louis Gargour, Chief Investment Officer, LNG CAPITAL
Dario Cintioli, Managing Director, STATPRO
Rani Piputri, Partner, Senior Portfolio Manager, SAEMOR CAPITAL
Borjana Racheva-Iotova, Co-Founder of FinAnalytica and Global Head of Risk, BISAM
Panel: Big brother trading under Mifid II
- How will the upcoming regulatory changes impact day to day practices and reporting?
- Post Mifid II implementation environment
- New rules on clearing and margining of swaps for OTC markets: initial and variation margins posting time
- Impact in cross currency swaps and CDSs
- New risk management practices as a result of regulatory changes
- Impact of regulations on products availability, prices and product flexibility
- What questions we should be asking ourselves, our regulators, our boards?
Moderator: Patrick Trew, Chief Risk Officer, CQS
Chrystelle Charles-Barral, Head of Risk, NEUBERGER BERMAN
Alberto Herranz, Head of Risk Analysis, Investment Research, ALLFUNDS BANK
Pasi Hyttinen, Senior Portfolio Manager, VANGUARD ASSET MANAGEMENT
12:50 Lunch and opportunity to network
Panel: Robo investing and the evolution of asset management and trading
- Current status of technology landscape around risk for the buy-side
- Making robo advice a reality
- Regulation and financial innovation
- Construction of automated portfolios
- Artificial intelligence and data analytics
- Big data used in investment strategies and risk forecasting
- How front office can interact with back office more effectively?
- Designing algorithms that track factors you are seeking exposure to
Moderator: Victor Haghani, Founder, ELM FUNDS
Adam French, Co-founder and Chief Executive Officer, SCALABLE CAPITAL
Michael Gruener, Managing Director, BLACKROCK
Janine Menasakanian, Head of Wealth, VANGUARD
Insurance panel: Investing in private debt as an emerging theme for insurance companies
Moderator: Erik Vynckier, Board Member, FORESTERS FRIENDLY
Duncan Batty, Director Real Estate Finance Fixed Income, M&G Investments,
Daniel Blamont, Head of Investment Strategy, PHOENIX GROUP
Prasun Mathur, Head of Shareholder Investments, UK and Ireland Life, AVIVA
Panel debate: Risk decomposition of investment portfolios
- Risk decomposition conventions
- Active portfolio
- Volatility times correlations
- Relative decomposition and attribution
- Portfolio volatility reduction
Moderator: Patrik Safvenblad, Partner and Chief Investment Officer, HARMONIC CAPITAL
Enrico Massignani, Head of Risk Management, GENERALI INVESTMENTS EUROPE
Sameer Verma, Head of Risk Management, CHEYNE CAPITAL
Fintech for fund managers: behavioural finance case
- The Fintech maze
- Fintech for Fund Managers
- Behavioural Finance: an old concept with new tech?
- Case study
- External Vs internal solution
Julien Cuisinier, Head of Investment Analytics, HENDERSON GLOBAL INVESTORS
Portfolio attribution: why, when and how
- Theme based attribution: supporting the portfolio manager; informing the investor
- Risk based attribution: supporting the risk manager; protecting the business
- Dealing with change: trading, non-linearity, market events, corporate actions
- Stress testing and liquidity risk: are you being rewarded for the risks you are taking?
- Keeping up with the market: understanding in real time
Martin Toyer, Chief Technology Officer, NUMERIX
Panel: Stress to impress the regulators and investors after Brexit
- How portfolio/market risk managers incorporate political risk?
- Designing new stress scenarios and how to apply them?
- Will the new US president influence the future of Brexit?
- What will be the legal entity environment after Brexit?
- How is the new structure shaping up? Is MiFID likely to be dead or alive?
- What are the markets likely to look like after Brexit?
Moderator: Julien Cuisinier, Head of Investment Analytics, HENDERSON GLOBAL INVESTORS
Jean-Charles Delcroix, Chief Compliance Officer, AMUNDI
Remi Kamiya, Head of Funds Risk, SCHRODERS
Darell Yawitch, Chief Risk Officer, AHL
15:50 Afternoon refreshment break
16:10 Panel discussion: Do you believe in alpha?
- What is the value of alpha and how does active management compare to low cost ETF funds options?
- Quality vs price, economies of scale vs barriers of entry for new participants in the low-fee model
- The ever-increasing cost of regulation vs pressure on fees and low expected returns?
- Can asset manager provider cheaper services to a hedge fund?
- Managing portfolios to take advantage of tactical and strategic opportunities
- Ample opportunities to grow asset base and end investor involvement
- More traditional asset management techniques with ability to process derivatives and what they can offer that hedge funds cannot?
- Costs and constraints in liquidity measurement
- Multi beta products and innovative products in the market
Moderator: Rani Piputri, Partner, Senior Portfolio Manager, SAEMOR CAPITAL
Alain Robert-Dautin, Head of Risk Management, SYCOMORE ASSET MANAGEMENT
Antonello Russo, Director, Risk and Quantitative Analysis Group, BLACKROCK
Patrik Safvenblad, Partner and Chief Investment Officer, HARMONIC CAPITAL
16:50 Risk.net closing remarks: Rob Mannix, Asset Management and Insurance Editor, RISK.NET
17:00 Drinks reception