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10th Annual iPARM - Investment Performance MeasurementAttribution & Risk Mangement 2022
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About The Event:

This conference includes insightful presentations from industry experts. We examine how risk measuresmust be tailored to the both the investors’ objectives and time horizons and why traditional measures of risk may provide misleading information in many cases.The issue of the investment time horizon is further put under the microscope as we explore themeasurement of the performance of superannuation funds. The APRA heat map is discussed in depth.Is smart beta as smart as some would lead us to believe? We review the pros and cons of adopting suchstrategies. We look at options for preparing and presenting performance reports to the Board and other seniormembers of the organisation.

Later on, we look at some of the more technical aspects of performance measurement, including fixedincome attribution, risk models, development of post tax performance models and the associateddeployment of technology. The perennial debate of active versus investment management is also included.The conference would benefit both experienced performance analysts in introducing different perspectivesand new ideas as well as providing invaluable insights for those in the earlier stages of a career inperformance analytics.

Who Should Attend:

Heads of performance, Performance & Attribution and Data Managers & Analysts, Performance Reporting, Investment Performance Risk, Investment Managers, Investment Performance Analytics, Heads of Investment Risk, Head of Investment Operations, Portfolio managers and senior investment people, Chief Operating Officers, Heads of Technology.

SPONSORSHIP OPPORTUNITIES:
10th annual iPARM Australia Forum 2022 offers an excellent opportunity to demonstrate thought-leadership and leverage networking
opportunities to build brand-value amongst seniorinvestment performance professionals.
If you would like to know more about sponsorship,exhibition and business development opportunitiesplease just get in touch with us – sponsorship@ibrc.com.au

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iPARM 2022 Schedule
Learn schedule, program and topics of the 10th Annual iPARM 2022 Forum.

• The relevance of past performance to assessing super funds viability
• Ensuring member outcomes are the greatest priority
• The critical importance of persistent performance
• Adjusting returns for risk
• Member engagement in the context of performance tests

• The relevance of the YFYS benchmarks
• Opportunities to game the benchmarks
• Issues with funds providing updated performance numbers
• Are the poor performers being correctly identified?
• The potential collateral damage
• The ultimate benefits to members
• The impact on the active v passive investment management choice

Panel Members TBA

10:20 MORNING COFFEE & NETWORKING

• Why a portfolio might be managed without a benchmark
• Objectives of attribution without a benchmark
• How to assess performance and evaluate the investment management process
• The “Neutral Portfolio” concept and the critical importance of the Neutral Portfolio
• How to quantify the investment management value add

• Key advantages of Smart Beta strategies
• Examples of smart beta strategies
o Equal weighting
o Factor based
o Capping
o Fundamentally weighted
• Key opportunities for an asset owner to benefit from smart beta strategies
• Cost-effective strategy of smart beta strategies
• Setting benchmarks for smart beta strategies
• Measuring the performance of a smart beta strategy

• The benefits of extra transparency of fund performance
• Is the objective of enabling comparison between funds being achieved?
• Is the emphasis on fees appropriate?
• How favourably do the results reflect on super fund performance?
• What time horizon is required for the heat map to provide optimum value?
• What are the shortcomings of the MySuper heatmap?

12:40 LUNCH BREAK

• Drawing the line between detailed analysis and spurious accuracy
• The trade-off between the cost and value of detailed analysis
• The danger of “not seeing the wood for the trees”
• How more information can sometimes lead to more questions than answers
• Ensuring that the reporting is tailored for the appropriate audience
• Key differences between the wants and needs of investment managers and asset owners

• Basic performance formulae, cash flows and coupons, performance of derivatives
• Equity attribution
• Fixed income risk
• Pricing fixed income securities
• First-principles vs. perturbational pricing

14:40 AFTERNOON TEA AND NETWORKING

• The issues with Excel
• The pros and cons of off the shelf packages
• Examples of tools to be used for internal development
• The issues with sourcing clean data from the custodian and other external sources
• Why a one size fits all solution may not work

• Points of controversy or contention
• Ideas to take back to the office
• Has performance analytics evolved significantly over the last few years?

PANEL MEMBERS TBA

• Time weighted versus money weighted returns
• The evolution from modified Dietz to daily time weighted returns
• Beginning of day cash flows or end of day cash flows. When should each be applied?
• Leverage and derivatives
• Simple attribution analysis and the arithmetic/geometric debate

• Now the Karnosky Singer methodology was developed and why it has prevailed for decades
• Potential shortcomings of the Karnosky Singer methodology and potential alternatives
• Why currency attribution is not always given the priority it may deserve

10:20 MORNING COFFEE & NETWORKING

• What does the latest SPIVA research tell us?
• Is the APRA heat map driving superannuation funds into passive equities management?
• What is the primary case for continued active management?
• Would a move into greater passive management have an adverse effect on arms length analysis of company performance?
• What trends are we seeing overseas?

• Why volatility and risk may not be the same thing
• Why volatility has traditionally been used as a proxy for risk
• The critical importance of defining risk through the eyes of the asset owner
• Why risk is in the eye of the asset owner rather than the investment manager
• The need to tailor risk measures to the investment time horizon
• Risk measures for unlisted investments e.g. real estate and infrastructure

• How to trade crypto
• The risks and rewards
• Defining an appropriate benchmark
• Measuring returns over various time horizons
• The key differences between crypto performance and traditional asset classes
• The importance or otherwise of volatility of returns

• Defining “Value” and “Growth” in the context of performance attribution
• Examples where the distinction between value and growth should be the first level of stock level attribution
• Setting appropriate time horizons for attribution between value and growth stocls
• Why attribution methodologies should or should not be identical for value and growth stocks

14:40 AFTERNOON TEA AND NETWORKING

• Basic performance formulae, cash flows and coupons, performance of derivatives
• Equity attribution
• Fixed income risk
• Pricing fixed income securities
• First-principles vs. perturbational pricing

• Risk control vs risk management
• Risk management – finding the balance between long-term performance and short term restrictions
• Integrating risk controls when building portfolios
• Comparing and contrasting risk management models
• Investigating the quality and use of risk models

• The active v passive saga, where to next?
• Technology issues and solutions
• Volatility and risk
• Risk measurement for short and long term investment horizons
• Data

Panel Members TBA

Conference Closing Remarks from the chair

Registation Packages
Prices and offers for the '10th Annual iPARM 2022 Forum'
IN-PERSON ATTENDANCE REGISTRATION COST - SUPER EARLY BIRD REGISTRATION
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$2195 + GST
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$2495 + GST
IN-PERSON ATTENDANCE REGISTRATION COST - NORMAL REGISTRATION
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$2695 + GST
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Register before 30th May
$1795 + GST
VIRTUAL ATTENDANCE REGISTRATION COST - NORMAL REGISTRATION
Register after 30th May
$1895 + GST

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