490-x327
25Nov
November 25, 2019 - November 27, 2019 Grace Hotel Sydney

Gain insights from performance thought leaders & brainstorming on best practices in the performance measurement space.

DAY ONE: Monday, 25 November 2019

Coffee and Registration

Mark Goodey, Director and Head of Investment Analytics, Eagle Investment Systems LLC

  • Technology Debt
  • Natural Language Generation
  • API Open Architecture
  • Cloud Compute Power

Mark Goodey, Director and Head of Investment Analytics, Eagle Investment Systems LLC

  • What are the key differentiators?
  • To what extent does the size of assets and the number of portfolios
    impact the preferred solution?
  • Can am off the shelf package fully cater for the myriad of different
    attribution solutions?

Panel Members
Elske van de Burgt, Head of Investment Performance, Ortec Finance
Other panel members TBA

  • How to measure performance of “two legged” instruments such as swaps
  • The importance of distinguishing between market value and market exposure
  • The meaning and importance of synthetic income for derivatives
  • A step by step analysis and approach to developing a performance measurement solution

Kyle Ringrose, Principal Athena IOC Pty Ltd

 

  • Attribution of member option performance between asset class and manager
  • The issues with reconciling pre and post-tax returns in the unit pricing structure
  • The impact of periodic tax provision adjustments

Stuart Hoy, Product Manager, Investment Information Services,JPMorgan Chase & Co

  • What is decision based attribution
  • How can it help to improve the investment process
  • Experiences with implementing this – lessons learned
  • How can superfunds benefit from this approach

Elske van de Burgt, Head of Investment Performance, Ortec Finance
Trent Brandie, CFA, CIPM, Performance & Attribution Manager
at Australian Super

Lunch and Networking opportunity for participants.

  • 2020 edition of the CFA Institute GIPS® Standards are evolving to ensure their practicality and relevance to the investment management industry;
  • Delivering performance transparency and comparability for the benefit of investors globally and for the ultimate benefit of beneficiaries remain the core purpose of the GIPS Standards;
  • Last revised in 2010, the 2020 update broadens the scope to ensure its practicality and relevance among managers of alternative investment strategies and pooled funds, private wealth firms, and asset owners managing discretionary assets;
  • Biggest technical updates discussions including Time-Weighted Returns vs. Money-Weighted Returns, Composites Reports vs. Pooled Funds Reports, Transaction Costs, Track Record Portability, Carved-Outs, External Valuations, New/Revised Required Disclosures, etc.
  • Discussion of the applicability of the 2020 GIPS Standards for Asset Owners;
  • Listen to a GIPS Standards active expert user explain the highlights of some of these technical changes, and seize the opportunity to ask the expert your questions at the session!

Damien Damiano, CIPM, Portfolio & Performance Analyst at Martin Currie Australia Committee Member, CFA Institute

Moderator:
Damien Damiano, CIPM, Portfolio & Performance Analyst
at Martin Currie Australia Committee Member, CFA Institute

Panel Members
Eddie Chan, CFA, CIPM Director, Professional Conduct, Enforcement, and Global Industry Standards, CFA Institute
Stuart Hoy, Product Manager, Investment Information Seravices,
JPMorgan Chase & Co.

  • – Attribute performance with no “unexplained” component
  • – Attribute performance to core investment decisions, particularly signals and constraints
  • – It is not Brinson-like, it does not attribute to risk models, and does no use regression
  • – CAtt is true cause and effect attribution

NICK WADE, Director, Asia-Pacific Marketing, Northfield Information Services Asia Ltd

  • Does the industry’s approach to managing pension assets need to change?
  • What is an appropriate benchmark?
  • Are different measures needed?
  • Which asset classes are better suited to an income focussed portfolio?

Matthew Armstrong, Manager – ALM Reporting, QSuper Group

In 1994, Denis S. Karnosky and Brian D. Singer published a seminal paper, delineating a framework for attribution of multi-currency portfolios. While extraordinarily insightful and broadly influential, we find that the Karnosky-Singer method is only rarely implemented in practice. In this presentation, we’ll have a look at some of the reasons why this might be, as well as propose a few remedies that restore and extend the model’s utility and insight:

  • Understanding the essential insight around the effect of interest rate parity
  • Re-casting Karnosky-Singer to more commonly used inputs and outputs
  • Restoring the granularity and completeness of the attribution model, thus facilitating more flexible decomposition and segmenting
  • Application of interest rate parity to other (non-Brinson) attribution methodologies.

Mark R. David CFA, Director of Performance Risk & Analytics,
Meradia Group (USA) (TBC)

Panel Chair
Elizabeth McArthur, Journalist, Financial Standard
Panel Member
Kirstin Hunter, CEO, Future Super
Vasyl Nair, Chief Risk Officer, Mine Super
Damian Cottier, Sustainable Future Trust Portfolio Manager, eInvest Future Impact Small Caps Fund and Perennial Small Caps Sustainable Future Fund
Zarmeen Pavri, Managing Director, Sustainable Contracting Services, Non Executive Director, U Ethical Funds Management

Interested in speaking?

We are on the look out for insightful and unique speakers. Click here to send us your details - be sure to include your areas of interest.

Upcoming Events
  1. GRC Capability Workshop 2019

    November 19 @ 8:00 am - 5:00 pm
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  3. iPARM AUSTRALIA 2019

    November 25 @ 8:00 am - November 27 @ 5:00 pm
  4. 18th Annual – P Group Investment Performance Training Courses

    May 11, 2020 @ 8:00 am - May 13, 2020 @ 5:00 pm
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    May 25, 2020 @ 8:00 am - May 26, 2020 @ 5:00 pm

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