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 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.

This session looks at how to measure the real-world costs of implementing good investment ideas. The session will cover two types of portfolio reporting: transaction cost analyses (TCAs) and after-tax return reports, defining the key performance metrics and providing examples of how these can be reported to investment decision-makers.

Speaker:
Raewyn Williams, Managing Director Research, Parametric

  • The balance between the Trustees’ statutory obligations under the SIS
    Act and under tax law
  • What gets measured gets managed
    • Are super funds doing enough to measure post-tax returns?
    • Are they measuring post-tax returns in right way?

Panel Members
Raewyn Williams, Managing Director Research, Parametric
Kyle Ringrose, Principal Athena IOC Pty Ltd
Kathy Taylor-Hofmann, Business Solutions Executive, GBST

  • Periodic table of risk measures
  • Why measure risk ex post
  • Four dimensions of performance (risk, return, ex post, ex ante)

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

  • Evolution of factors in quantitative vs fundamental portfolio managers
  • Factors in multi-factor/smart beta portfolios
  • Management and performance measurement of factor-neutral portfolios
  • Factor performance and major geopolitical events (Brexit, Trump, Trade wars)
  • Factors and machine learning

Han Kim, CFA, Senior Performance Analyst, Group Data & Analytics,
Aberdeen Standard Investments

  • 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

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.

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