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 TWO: Tuesday, 26th November2019

Coffee and Registration

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

  • Is the industry too focussed on short term results?
  • What is a meaningful time frame?
  • Are traditional benchmarks appropriate? If not what benchmarks should we adopt?

Assoc Prof Geoff Warren, Research School of Finance, Actuarial Studies and Statistics, The Australian National University

  • Defining “long horizon”
  • Developing benchmarks appropriate for the long horizon
  • Factoring risk measures into long horizon benchmarks
  • Key long horizon performance measures
  • The impact of the investment managers’ traditional incentives on long horizon investing

Panel Chair
Kyle Ringrose, Principal Athena IOC Pty Ltd
Panel Member
Stephen Gwynne, VP, Head of Investment Risk and Analytics Services, Northern Trust
Iain Perry CFA, Head of Portfolio Analytics & Investment Risk
Morningstar Investment Management, Australia

Assoc Prof Geoff Warren, Research School of Finance, Actuarial Studies and Statistics, The Australian National University

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

  • Metrics
  • Performance & risk
  • Presentation format
  • Know your audience

Chris Collins, Director, Investment and Wealth Advisory,
Assurance and Advisory, Deloitte Touche Tohmatsu

  • 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

Lunch and Networking opportunity for participants.

Low and sometimes zero-cost passive investment funds could be a game changer. Passive investment strategies are just one reason for downward pressure on fees. At the same time, asset managers are looking at different fee models for long-only traditional asset management. One model could be the more sophisticated use of performance/incentive fees. This trend will have implications for the performance measurements teams, software vendors and service providers in this space. As firms re-assess fee structures — and even consider approaches similar to those for alternative asset managers — what will this mean for the performance team’s methods?

  • Will closet index managers become more exposed?
  • What are the ripple effects upon asset managers as they adjust to a new fee structure?
  • What are the new types of fees now being considered
  • Will dispersion fees reduce?
  • What are the operational considerations of using performance-based fees for a broader range of active investment strategies?
  • What types of calculations and approaches would help firms as they explore new fee models?
  • Is a payback option for underperformance a realistic expectation

Panel Chair
Kyle Ringrose, Principal Athena IOC Pty Ltd
Panel Member
Tim Svenson, Senior Analyst, Performance Attribution, Funds SA

  • What control methods are the most effective in helping the performance team in meeting data quality requirements?
  • Making the Most of Your Data in the Face of Increasing Cost
  • Why is high-data quality so integral to performance and risk teams? What negative outcomes could result from poor data?
  • What efforts are being made to consolidate market data cost as prices from vendors continue to rise?
  • Working with your internal data and technology teams to extract the greatest value from your data
    How could a well-designed data warehouse support the performance & risk teams?

Panel Member
Gavin Yip, Associate Director – Data & Analytics Product, APAC, RBC
Stephen Gwynne, Senior VP, Head of Investment Risk and Analytics
Services, Northern Trust

Bjorn Schmidt, Founder, Panacea Consulting Services Pty Ltd

  • Risk diversification provides a new approach for quantifying portfolio diversification.
  • Thee proposed framework defines diversification with respect to a risk measure, e.g. CVaR or simply the standard deviation.
  • The concept of mean-risk-diversification efficient frontiers is illustrated.
  • The proposed risk diversification measures provide promising results in empirical applications.
  • In particular, risk diversification optimal portfolios perform quite well during the GFC period and also show the ability to outperform mean-variance optimal portfolios.

Stefan Trueck, Professor of Business Analytics, Dept of Actuarial Studies and Business Analytics, Macquarie University

Afternoon Tea & Networking

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
  2. FINCX2019 Future Digital Marketing Strategies, Member Engagement & Customer Experience (CX) for Financial Services 2019 Forum

    November 20 @ 8:00 am - November 21 @ 5:00 pm

    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

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

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