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08:15

Registration and coffee

08:50

Risk.net welcome address:

Kris Devasabai, New York Bureau Chief, RISK.NET

08:55

Chairman opening remarks: Greg Strassberg, Senior Investment Manager/Alternatives Investment Risk, ABERDEEN ASSET MANAGEMENT

09:00

Keynote: The new investment reality

  • How the factor revolution is transforming active management
  • The rise of passive and future of active management
  • New ways of getting active
  • Next-generation risk frameworks

Lori M. Heinel, EVP, Deputy Global Chief Investment Officer, STATESTREET GLOBAL ADVISORS

09:40

Keynote: Evolution of the fixed income ecosystem

Richie Prager, Senior Managing Director, Head of Trading, Liquidity and Investments Platform, Member of the firm's Global Executive Committee, BLACKROCK

10:20

Panel: The big picture on market structure and regulatory changes with an overview on the developments transforming US fixed income markets

  • How will this change the way you interact with sell side, platform and technology counterparts
  • How do asset managers work with their sell side counterparts and custodians to identify and implement regulatory changes impacting derivatives trading?
  • Automate and streamline: What are you doing to make your floor efficient and cost effective?
  • New technology and FinTechs: What innovation has been introduced to the market to assist the buy-side on the trading floor?
  • Reporting platform solutions and SAAS and intuitive GUI that allows integration

Moderator: Edward Boyle, Global Macro Portfolio Manager, AMERICAN CENTURY INVESTMENTS
Mustafa Chowdhury, Managing Director, Head of Rates, VOYA INVESTMENT MANAGEMENT
Isaac Lieberman, Chief Executive Officer, ASTON CAPITAL MANAGEMENT
Bruce Runciman, Executive Director, AXIOMSL
Alex Sedgwick, Head of Fixed Income Market Structure and Electronic Trading in Global Trading, T. ROWE PRICE

11:00

Morning break and knowledge café

Grab a coffee and join a table of your choice in the exhibition area to share ideas and network with fellow industry professionals.

  1. Risk led by Christina K. McGlosson-Wilson, Senior Special Counsel, Office of the Deputy Director, Division of Economic and Risk Analysis, SEC
  2. Liquidity led by Amit Deshpande, Head of Investment Risk, CHARLES SCHWAB INVESTMENT MANAGEMENT
  3. Multi assets led by Anjun Zhou, Managing Director, Head of Multi-Asset Research, MELLON CAPITAL MANAGEMENT CORPORATION
  4. Factor investing led by Max Giolitti, Managing Director, Chief Risk Officer, VERUS

Stream one: Portfolio management

 

Chairman: Greg Strassberg, Senior Investment Manager/Alternatives Investment Risk, ABERDEEN ASSET MANAGEMENT

11:30

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: Faye Kilburn, Senior Staff Writer for Asset Management and Insurance, RISK.NET
Andrew Beer, ‎Managing Partner and Co-Portfolio Manager, Dynamic Beta, BEACHHEAD CAPITAL MANAGEMENT
Borjana Racheva-Iotova, Co-Founder of FinAnalytica and Global Head of Risk, BISAM
Deepika Sharma, Portfolio Manager, Managing Director of Investment Research, ASTOR INVESTMENT MANAGEMENT

12:10

Multi Asset Class Portfolio attribution: why, when and how

Satyam Kancharla, Chief Strategy Officer, NUMERIX

12:50

Lunch

1:50

Panel: 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?
  • Managing portfolios to take advantage of tactical and strategic opportunities
  • Considerations on whether alpha exists and, if so, the extent to which it relies on the collection of illiquidity premia

Moderator: Greg Strassberg, Senior Investment Manager, Alternatives Investment Risk, ABERDEEN ASSET MANAGEMENT
Andrew Y. Chin, Chief Risk Officer and Head of Quantitative Research, ALLIANCE BERNSTEIN and risk.net asset manager of the year 2016
Paul Diouri, Head of Risk, Americas, SCHRODERS
Lilian Quah, Managing Director, Portfolio Manager and Director of Quantitative Research, EPOCH INVESTMENT PARTNERS

2:30

Identify macro risk factors in active strategies

  • Why is it important to identify macro risk factors in active portfolios?
  • Issues with conventional approaches
  • An innovative approach to provide a new perspective in a way consistent with portfolio construction process
  • How do I know if I missed any important risk factors? -- a second approach to answer that question

Leon Xin, Executive Director, Head of Risk, Portfolio Construction and Hedge Fund, EFG, JP MORGAN ASSET MANAGEMENT

Stream two: Risk management

 

Chairman: Alec Crawford, Partner and Chief Risk Officer, LORD ABBETT

11:30

Panel: Risk 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: Jay Leopold, Head of U.S. Investment Risk, COLUMBIA THREADNEEDLE INVESTMENTS
Marcos Bueno, Chief Investment Officer, ARGON CAPITAL
Tam McVie, Investment Director, STANDARD LIFE
Anjun Zhou, Managing Director, Head of Multi-Asset Research, MELLON CAPITAL MANAGEMENT CORPORATION

12:10

Panel: Liquidity and efficiency of risk taking

  • New SEC liquidity rules in practice
  • Liquidity in a changing market environment
  • Liquidity concerns and funds drying up
  • Fixed income and liquidity changes due to structural changes in the market
  • How do we determine the risk budget?
  • What are the challenges in defining risk appetite?
  • How should we establish the governance framework?

Moderator: Tracy Rucker Wilson, Fixed Income Derivatives trading and portfolio management, VANGUARD
Michelle Beck, Chief Risk Officer, NUVEEN INVESTMENTS
Amit Deshpande, Head of Investment Risk, CHARLES SCHWAB INVESTMENT MANAGEMENT
Roderick Fisher, Head of Risk Solutions and Reporting, STATE STREET GLOBAL EXCHANGE
Jay Leopold, Head of U.S. Investment Risk, COLUMBIA THREADNEEDLE INVESTMENTS

12:50

Lunch

1:50

Factor investing

  • Can we develop an intuition and develop understandable metrics for factor investing?
  • What risk infrastructure do you need to invest with factors?
  • Alternative/Smart Beta, Private assets, ESG, can you combine it all into a coherent framework?
  • Can you time factors

Max Giolitti, Managing Director, Chief Risk Officer, VERUS

2:30

Regime-based risk allocation framework

  • Managing downside risk is key to achieving investment objectives over an intermediate horizon
  • To effectively gauge significant financial market risk, it is imperative to understand macro regimes and their impact on financial markets
  • Capturing macro dynamics in a forward-looking manner is a crucial step to mitigate large portfolio drawdowns
  • Other risk management tools help to manage risks of different natures and over various horizons

Anjun Zhou, Managing Director, Head of Multi-Asset Research, MELLON CAPITAL MANAGEMENT CORPORATION

3:10

Afternoon break

3:30

Panel: Asset allocation in the era of uncertainty

  • What are the benefits of moving from asset allocation to risk allocation?
  • How can risk allocation help in this challenging time of low return environment?
  • Can risk allocation help us manage our blind spots?
  • How does risk fit into the investment process?

Moderator: Max Giolitti, Managing Director, Chief Risk Officer, VERUS
Haibo Chen, Portfolio Manager and Head of Fixed Income Quantitative R&D, PINEBRIDGE INVESTMENTS
Mike Huff, ‎Director, Portfolio Management & Asset Allocation, TIAA
Peruvemba Satish, SVP, Global Analytics, AMERICAN CENTURY INVESTMENTS

4:10

Regulatory update from SEC

Scott Bauguess, Deputy Director and Deputy Chief Economist, SEC

4:50

Panel: Risks not realized

  • Emerging risks for the buy-side
  • How do firms adapt to emerging risks and how they challenge themselves?
  • New political risks and changing global economy
  • Behavioural finance and tools to help fund manager to identify and mitigate risk
  • Measuring risk correctly and putting management practices into place to cope with emerging risks
  • Creating a long term vision in asset management

Moderator: Alec Crawford, Partner and Chief Risk Officer, LORD ABBETT
Peruvemba Satish, SVP, Global Analytics, AMERICAN CENTURY INVESTMENTS
Tracy Rucker Wilson, Fixed Income Derivatives trading and portfolio management, VANGUARD
Ken Winston, Chief Risk Officer, WESTERN ASSET MANAGEMENT
Leon Xin, Executive Director, Head of Risk, Portfolio Construction and Hedge Fund, EFG, JP MORGAN ASSET MANAGEMENT

5:30

Chairman closing remarks: Greg Strassberg, Senior Investment Manager/Alternatives Investment Risk, ABERDEEN ASSET MANAGEMENT

5:35

Drinks reception