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9th Annual iPARM 2021 FormInvestment Performance Measurement, Attribution & Risk Management
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About The event

This conference includes insightful presentations from industry experts. We examine how risk measures must 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 the measurement 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 such strategies.

We look at options for preparing and presenting performance reports to the Board and other senior members of the organisation.

Later on, we look at some of the more technical aspects of performance measurement, including fixed income attribution, risk models, development of post tax performance models and the associated deployment of technology. The perennial debate of active versus investment management is also included.

The conference would benefit both experienced performance analysts in introducing different perspectives and new ideas as well as providing invaluable insights for those in the earlier stages of a career in performance analytics.

Topics Covered:
  • Measuring the Performance of Superannuation Funds
  • Risk for long term investors – new research
  • Long Horizon Investing performance measurement– reflections on progress
  • Performance & Risk Impacts of the YFYS Performance test?
  • Future of Performance Technology
  • Performance Teams under Pressure: Managing the Data, Tools and Technology in a changing landscape
  •  How smart is a smart beta strategy
  • APRA MySuper Heat Maps
  • Outsourcing performance measurement
  • Presentation of investment performance to management and the Board
  • Risk Adjusted Performance
  • Active or passive equities management
  • Introduction to performance measurement for fixed income portfolios
  • Processes, Systems, Technology and Performance Measurement
  • The balance between performance analytics provided by a custodian, an off the shelf software package and in house developed solutions
  • Migrating to after-tax performance reporting
  • Developing a post tax model
Who Should Attend:

Who will be attending? Senior Leaders from Federal, State and Local Government with responsibilities for:

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

Silver Sponsor

Supporting Sponsor

SPONSORSHIP & SPEAKING OPPORTUNITES:
9th annual iPARM Australia Forum 2021 offers sponsors an excellent opportunity to demonstrate thought-leadership and leverage networking opportunities to build brand-value amongst senior investment performance professionals. If you would like to know more about sponsorship, exhibition and business development opportunities please just get in touch with us –

sponsorship@ibrc.com.au

9th Annual iPARM 2021 Speakers
Learn speakers of the 9th Annual iPARM 2021 - Investment Performance Measurement, Attribution & Risk Management 2021 Forum
Chief Adviser, Confluence
Head of Investment Performance & Data, QSuper Group
Chairman,Fairvine Super
Head of Research, Chant West
RAEWYN WILLIAMS, Former Managing Director, Research, Parametric Portfolio Australia
Senior VP, Head of Investment Risk and AnalyticsServices, Northern Trust
Principal at Athena IOC
Product Manager A&NZ – Investment Information Services and PERES, J.P. Morgan
Director, Flametree Technologies (UK)
Research School of Finance, Actuarial Studies and Statistics, The Australian National University
Executive Director, The Conexus Institute, Former Chief Investment Officer, Mine Super
Principal Consultant, Head of Member Solutions, Frontier Advisors
Head of Portfolio Construction Research at JANA Investment Advisers (invited)
Director, Investment Advisory, PwC Australia
Head of Business Solutions at GBST
Senior Financial Adviser at Ethinvest
Global Head of Product, JPMorgan
Head of Performance Measurement & Risk Analysis, KBI Global Investors
Head of Portfolio Analytics & Investment Risk; Morningstar Investment Management, Australia
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9th Annual iPARM 2021 Schedule
Learn schedule, program and topics of the 9th Annual iPARM 2021 - Investment Performance Measurement, Attribution & Risk Management 2021 Forum

Sir Issac Newton, Charles Darwin, John Maynard Keynes,
Sir Francis Bacon, Dmitri Mendeleev, Albert Einstein and
Florence Nightingale’s and their contributions to
performance measurement

CARL BACON CIPM
Chief Adviser, Confluence

• Concepts behind evaluation of risk over long horizons, including: focusing on shortfall versus objectives, potential for sustained loss and path dependence
• Issues with (short-term) volatility-based measures
• Decomposing the wealth drivers into initial expected return, cash flows, discount rates and reinvestment effects
• Modelling long-term outcomes using simulation or scenario analysis
• Alternatives for the Standard Risk Measure

ASSOC. PROF. GEOFF WARREN
Fund Convenor, Student Managed Fund, The Australian National University

• What is Long Horizon Investing (LHI) performance measurement
• Advocates of LHI performance measurement
• What are the benefits of LHI performance measurement
• Issues with traditional performance measurement methodologies
• Why do current methods prevail
• Issues to consider
• How much progress has the industry made in the past few years?

KYLE RINGROSE
Principal at Athena IOC

10:50 - 11:00 Morning Session Break

• What is the ideal time frame for super fund
performance measurement?
• Should surveys continue to publish short term
outoomes?
• To what extent can super funds game the system
through their definitions of “growth” or “defensive”
assets?
• Is a MySuper product with higher exposure to equities and other growth assets guaranteed to outperform in the long run?
• The true cost to members of higher exposures to growth assets
• The importance of the investment return relative to other factors

SANGEETA VENKATESAN
Chairman, FairVine Super

IAN FRYER
General Manager, Chant West

MATTHEW GRIFFITH
Head of Portfolio Construction Research at JANA Investment Advisers (invited)

• The performance test – what is it and why is it important
• How do you measure YFYS risk
• How significant is the risks
• What will funds do in response

DAVID CARRUTHERS
Principal, Mercer Investment Consulting

12:30 - 1:30 Lunch Break

• Private Market Investments: the state of play and performance analysis considerations
• How much capital do Australian super funds allocate to private markets?
• What would be considered “best-practice” when
analysing and assessing private market portfolios?
• Can the Brinson attribution model be applied to private market portfolios?

MODERATOR:

STUART HOY CFA AIAA
Product Manager A&NZ – Investment
Information Services and PERES, J.P. MorganMorgan

PANEL MEMBERS:

MATT GOLDBLATT
Global Head of Product, JPMorgan
The a Burggis Group Speaker TB
An Asset Owner

• The need for independence in performance reporting
• Tailoring the level of reporting to the audience
• Getting buy in from the fund managers
• Examples of presentation styles
• FAQs from the Board and Executives

REIN VAN ROOYEN
Head of Investment Performance &
Operations at QSuper Group

• Is a custodian the only real option for providing outsourced services?
• Why is in house performance analytics the preferred option for many?
• To what extent can an outsourcer tailor their reporting for individual clients?
• What are the specific client requirements that can make outsourcing problematic?
• Is outsourcing cost effective?

PANEL MEMBERS:

NARESH SUBRAMANIAM
Director, Investment Advisory,
PwC Australia

STEPHEN GWYNNE
Senior VP, Head of Investment Risk
and Analytics Services, Northern Trust(invited)

Other panel members TBA

3:10 Afternoon Tea

• 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?

DAVID BELL
Executive Director, The Conexus Institute

• Contemplating the fine balance between risk aversion and risk seeking behaviour
• Looking at the power of descriptive risk and return statistics in assessing investment performance within a risk framework
• Are risk-return ratio’s all that they profess to be?
• Can and should rates of return be adjusted for risk, and if so why would we do this?
• Can ‘beta’ be used beyond its mundane use as a
measure of the portfolio’s systemic risk?
• What role can multiple regression play in explaining investment return outcomes?

JOE KAVANAGH, CFA
Head of Performance Measurement
& Risk Analysis, KBI Global Investors

• 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?

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

ANDREW COLIN
Director, Flametree Technologies

10:30 - 10:50 Morning Session Break

• The cost differentiators
• The key functionality differentiators
• The need for the right blend of technical IT and performance analytics skills
• The extent to which performance analytics can be commoditised

ANDREW COLIN
Director, Flametree Technologies

Other panel members TBA

Super funds and their managers are slowly migrating
from the traditional pre-tax focus to after-tax
performance measurement. This session will cover:
• Why is the move to after-tax performance reporting
important?
• What are funds and managers' current obligations with
respect to after-tax performance measurement?
• What does an after-tax performance report look like?
• Why is the migration to an after-tax focus so slow?
• What will be the catalysts for the industry (eg YFYS,
APRA heatmap, super fund mergers) to complete the
migration en masse?
• What is the role you can play in this migration?

RAEWYN WILLIAMS
Former Managing Director, Research, Parametric Portfolio Australia

• The components of a post tax model
• The opportunities for tax optimisation
• Post tax attribution analysis
• Benchmarks commonly available today and their potential shortcomings
• How to get buy in from the investment managers

SPEAKERS:

RAEWYN WILLIAMS
Former Managing Director, Research, Parametric Portfolio Australia

KATHY TAYLOR-HOFMANN
Head of Business Solutions
at GBST

MODERATOR:

KYLE RINGROSE
Principal Consultant Athena IOC

Registation Packages
Prices and offers for the '9th Annual iPARM 2021 ' - Investment Performance Measurement, Attribution & Risk Management 2021 Forum
SINGLE ONLINE REGISTRATION PRICING: EARLY REGISTRATION
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$1,890 + GST
SINGLE ONLINE REGISTRATION PRICING: NORMAL REGISTRATION
Register after 30th September
$1,990 + GST
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