Quantitative Portfolio Optimisation, Asset Allocation and Risk Management

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					Alternative Asset Allocation Seminar
New York, 30 March-1 April 2010, The New York Helmsley Hotel
                              Alternative Asset Allocation Seminar — New York, 30 March-1 April 2010

     The Choice of Asset Allocation and Risk Management
    õ Having learnt in recent years about the limited payoffs and                  õ It is against this backdrop that EDHEC-Risk Institute has structured
    significant risks of excessive reliance on asset selection models,             its work on asset allocation and risk management and deployed it
    investment managers and institutional investors are showing                    across both the traditional and alternative investment universes.
    unprecedented interest in asset allocation approaches as sources of            Now regarded as the premier European centre for applied financial
    performance.                                                                   research, it plays a noted role in furthering asset allocation and risk
                                                                                   management concepts and techniques and systematically highlights
    õ Concurrently, the emergence of alternative asset classes and                 their practical uses in the institutional, private, and retail investment
    strategies with risk profiles that are very different from those of equity     spaces.
    and fixed-income products has created new opportunities for asset
    allocation in both conceptual and operational terms.                           õ Together with CFA Institute, EDHEC-Risk Institute has introduced
                                                                                   seminars that take stock of the latest industry trends and research
    õ The latest financial market meltdown has exposed the error of                advances and clarify the distinction between true innovation and
    reliance on diversification as the sole means of risk management,              mere marketing claims. CFA Institute is the world’s leading association
    highlighted the challenges of alternative investment, and                      of investment professionals and has been an unwavering promoter of
    accelerated the recognition of asset allocation and state-of-the-art           higher industry standards for more than sixty years.
    risk management as the keys to improved multi-style, multi-class
    investment solutions.

    õ Following and paralleling these developments, a profound paradigm
    shift is currently affecting the entire financial industry, with asset
    allocation and risk management increasingly recognised as the key
    ingredients on which to focus in order to design improved multi-style                     EDHEC has demonstrated in a very short time a level
    multi-class investment solutions.                                                         of commitment to, and excellence in, the research of
                                                                                              alternative assets. […] EDHEC pushes me to maintain my
                                                                                              professional skills at the highest level.”
                                                                                              Mark Anson, CFA,
                                                                                              President and Executive Director, Investment Service, Nuveen Investments,
                                                                                              Chicago, Illinois, USA

                                                      Alternative Asset Allocation Seminar — New York, 30 March-1 April 2010

Alternative Asset Allocation Seminar
õ The Alternative Asset Allocation Seminar is an intensive          õ The final day of the seminar explores new frontiers in
three-day course that will impart advanced concepts                 alternative investments. It assesses the potential of volatility
and practical tools for optimal construction and risk               as an asset class looking at its diversification and downside
management of multi-style multi-class portfolios. It will also      equity risk hedging properties and reviews volatility products
enable participants to derive the full benefits of alternative      and strategies. It explores green investing as an investment
investments for asset management and asset-liability                theme, analyses the risk/return profiles of green investment
management (ALM) while controlling for their specific risks.        opportunities, and provides advice on how to allocate assets
                                                                    to green investing. It ends with a discussion of best-in-class
õ The first day of the seminar introduces the state of the art      techniques for extreme risk management.
in multi-style multi-class portfolio management. It analyses
the risks and return drivers and the conditional performance        õ Presented in a highly accessible manner by a team of
of the various alternative asset classes and strategies. It         instructors with established reputations for bringing together
shows how to deal with non-Gaussian returns, illiquid assets,       academic expertise and industry experience, the seminar
and flawed data and to account for extreme risks in multi-          combines exploration of innovative models, concepts, and
style multi-class portfolio optimisation. It presents qualitative   themes, presentation of state-of-the-art practical tools, and
techniques to control asset-class exposures and manage              examination of best industry practices.
liquidity, valuation, and counterparty risks, and surveys
quantitative tools for portfolio-wide risk management.

õ The second day of the seminar presents novel financial
engineering techniques to optimise risk budgeting when
alternative assets are added to institutional portfolios.                    A highly entertaining and educational hands on
It shows how to use alternative investments to improve                       experience - very suited for practical applications
risk budgets in asset management and liability driven                        Christoph Roos, CFA
                                                                             Member of the Board, BNP Paribas SA Pension Fund, Switzerland
investment (LDI) programmes and design new cost-                             Past participant

efficient forms of inflation-hedging portfolios. It discusses
quantitative techniques to maximise the diversification
benefits of alternative assets and presents dynamic
strategies for optimal blending of traditional and alternative
beta, and optimal substitution of traditional classes.
                              Alternative Asset Allocation Seminar — New York, 30 March-1 April 2010

     Key Learning Benefits
    õ Understand the risks, return drivers, and conditional return                 õ Examine green investing as a super investment theme, study the
    characteristics of hedge funds, commodities, private equity, real estate,      risk/return profiles of green investment opportunities available in
    and emerging alternative assets.                                               the various classes, review the possible organisations for allocating
                                                                                   assets to green investing, and learn to determine the optimal
    õ Find out how to build resilient multi-style multi-class portfolios.          allocation.
    Address data limitations and deal with illiquidity, non-normality,
    and extreme risks to optimise multi-style multi-class portfolio                õ Review best industry practices in the fields of extreme risk
    construction. Use quantitative and qualitative techniques to manage            management. Recognise the nature of extreme risks in fund of funds
    class exposure, to minimise the liquidity, valuation, and counterparty         structures and analyse the efficiency and tractability of the various
    risks of alternative investments, and to implement portfolio-wide risk         tail-risk hedging strategies.

    õ Learn to use alternative investments to improve the risk budgets in
    asset management and LDI programmes. Review the inflation-hedging
    properties of traditional asset classes and alternative investments
    and use alternative assets to reduce the cost of inflation protection
    and hedge extreme inflation risks. Select alternative investments to
    optimise diversification within multi-style multi-class portfolios and
    design optimal diversifiers for equity and bond portfolios. Implement
    dynamic risk-controlled strategies for optimal substitution of
    traditional factor exposures and design of open-ended investment
    solutions with alternative assets.

    õ Explore the potential of volatility for portfolio diversification
    and hedging of downside equity risk. Survey volatility products and
    strategies and assess their relevance for strategic and tactical asset

                                                       Alternative Asset Allocation Seminar — New York, 30 March-1 April 2010

Who Should Attend
õ The programme is intended for investment management
professionals who advise on or participate in the design and
implementation of asset allocation and risk management policies,
and for sell-side practitioners who develop new asset management
and ALM solutions for investors. It is especially relevant to those who
need to optimise the construction and management of alternative
and multi-style multi-class solutions or examine the means—as
well as the benefits—of making alternative classes and strategies an
integral part of portfolios. The seminar should be of particular interest
to practitioners with the following functions and from the following
types of institutions:

    Functions                          Institutions
    • Chief executive officers;        • Asset management companies
    Managing directors                 • Consultancies
    • Chief investment officers;       • Insurance and reinsurance
    Directors of investment            companies
    • Chief risk officers              • Investment banks
    • Heads of asset allocation;       • Pension funds, Endowments,
    Heads of investment strategy;      and foundations
    Heads of ALM                       • Private banks
    • Heads of multimanagement         • Research firms
    • Heads of investment solutions;   • Sovereign wealth funds
    Heads of structuring; Heads of
    financial services
    • Portfolio managers
    • Fund of funds managers
    • Risk managers
    • Senior analysts; Senior
    investment officers
    • Senior investment advisers;
    Senior consultants
    • Senior research officers
                                                                                              Alternative Asset Allocation Seminar — New York, 30 March-1 April 2010

                                                                                                                                                                                      Latest Books and
    Seminar Instructors                                                                                                                                                               Chapters from the
                                                       François-Serge     Lhabitant  is                                                        Lionel Martellini is Professor of
    François-Serge Lhabitant, PhD

                                                                                                    Lionel Martellini, PhD
                                                       Affiliated Professor of Finance                                                         Finance at EDHEC Business School
                                                       at EDHEC Business School and a                                                          and Scientific Director of EDHEC-
                                                       member of EDHEC-Risk Institute,                                                         Risk Institute.
                                                       and Chief Investment Officer at
                                                       Kedge Capital.

                                    François-Serge is responsible for the investment                                         Lionel has consulted on risk management, alternative
                                    management of the Kedge Capital Funds and                                                investment strategies, and performance benchmarks
                                    investment mandates operated by the Kedge Group.                                         for various institutional investors, investment banks,
                                    Before joining Kedge, he was a senior executive at UBP                                   and asset management firms, both in Europe and in
                                    where he was in charge of the quantitative analysis and                                  the United States.
                                    the management of dedicated hedge fund portfolios.                                                                                                               “François-Serge Lhabitant has
                                                                                                                             His research has been published in leading academic                     created the fundamental guide to
                                    Prior to that, he was a director at UBS Private Banking
                                                                                                                             and practitioner journals, including Management                         hedge fund investments. It covers
                                    Division and Global Asset Management.
                                                                                                                             Science, Review of Financial Studies, European                          a lot of ground and can truly serve
                                    His research has been published in refereed academic                                     Financial Management, Financial Analysts Journal,                       as an encyclopaedia for entry-level
                                    and practitioner journals such as the Journal of                                         and Risk. He sits on the editorial board of the                         investors as well as those who
                                                                                                                                                                                                     would like to delve a little deeper
                                    Alternative Investments, European Finance Review,                                        Journal of Portfolio Management and the Journal
                                                                                                                                                                                      into specific themes. It also includes information
                                    and the Journal of Risk Finance. He is a member of                                       of Alternative Investments. Lionel has co-authored       on legal environments as well as operational
                                    the Scientific Committee of the AMF (the French                                          and co-edited reference texts on fixed-income            aspects, which other recent publications are
                                    financial markets regulatory body) and of the AIMA                                       management and alternative investment such as the        clearly lacking.”
                                    Investor Steering Committee, and he contributes to                                       much-praised Fixed-Income Securities: Valuation, Risk    Barbara Rupf Bee, Global Head of Institutional Sales, HSBC
                                    the International Association of Financial Engineers                                     Management and Portfolio Strategies (Wiley Finance)
                                    and the Professional Risk Managers’ International                                        and is regularly invited to deliver presentations at                          “The authors have produced
                                    Association. François-Serge has written several                                          leading academic and industry conferences. He                                 a work of the very highest
                                    bestsellers on hedge funds and co-edited books on                                        holds graduate degrees in business administration,                            quality. As focused as it is
                                    commodities, hedge funds, and stock market liquidity.                                    economics, statistics and mathematics, as well as a                           comprehensive, this is a superb
                                    His latest reference text is the Handbook of Hedge                                       PhD in finance from the Haas School of Business at                            contribution to the literature.”
                                    Funds (Wiley Finance). He is a seasoned keynote                                          UC Berkeley.                                                                  Moorad Choudhry, Head of Treasury, Europe
                                                                                                                                                                                                           Arab Bank and Senior Fellow, Centre for
                                    speaker at top industry events. He holds graduate                                                                                                                      Mathematical Trading and Finance, CASS
                                    degrees in engineering, banking, and finance and a                                                                                                                     Business School

                                    PhD in finance from the University of Lausanne.

                                                                                    Alternative Asset Allocation Seminar — New York, 30 March-1 April 2010

                                     Peter Carr is Head of Quantitative                                                 Russell Read is Senior Managing                                                  Etienne Rouzeau is a Director and
Peter Carr, PhD

                                                                             Russel Read, PhD, CFA

                                                                                                                                                                 Etienne Rouzeau, PhD
                                     Financial Research at Bloomberg                                                    Partner of C Change Investments, a                                               the Head of Allocation and Risks
                                     LP, where his group is responsible                                                 private equity firm investing in                                                 with Allianz Alternative Asset
                                     for all facets of the business                                                     companies that address resource                                                  Management (AAAm), the fund of
                                     operation relating to modelling                                                    limits in energy, water, food, air and                                           hedge fund operation of Allianz
                                     and analytics.                                                                     materials.                                                                       Global Investors.

                  Peter is also Director of the MSc Mathematics in                                   Before founding C Change Investments in 2008, he                                   Etienne’s department is responsible for assessing
                  Finance at the New York University Courant Institute.                              served as Chief Investment Officer for the California                              the risk management processes implemented by
                  Before joining Bloomberg in 2003, he headed equity                                 Public Employees’ Retirement System (CalPERS),                                     hedge fund managers, optimising fund of fund
                  derivative research groups for six years at Bank of                                America’s largest pension fund. Prior to that, he was                              construction by aligning bottom-up fund choices
                  America Securities and at Morgan Stanley. Before                                   the Deputy Chief Investment Officer of Deutsche                                    with top-down strategic allocation, and making sure
                  joining the Courant Institute in 2001, he worked                                   Asset Management. During his tenure at CalPERS,                                    that funds deliver the desired performance while
                  for four years as Adjunct Professor at Columbia                                    he redirected the portfolio toward international                                   respecting their risk budgets. Before joining AAAm
                  University. Before moving to industry, he served as                                and natural resources opportunities, introduced                                    in 2006, Etienne supervised the structured products
                  Assistant Professor of Finance at Cornell University                               its commodities and infrastructure investment                                      and alternative investments businesses of Natexis
                  for eight years. He has published extensively                                      programmes, re-established and enhanced its                                        Asset Management. Prior to that, he was an Associate
                  in leading academic and practitioner journals,                                     forestland investment programme, and established                                   Professor of Finance at EDHEC Business School.
                  including the Journal of Finance, the Journal of                                   its environmental investment initiative as the leader
                                                                                                     among institutional investors.                                                     Etienne has published research work in Finance and
                  Financial Economics, Review of Financial Studies,
                                                                                                                                                                                        frequently presents at top industry conferences. He
                  the Journal of Derivatives, and Risk. He also serves as                            Russell is also a founding member of the P8 Group,                                 holds graduate degrees in business administration
                  Associate Editor for nine scientific journals related to                           which brings together senior officials from the world’s                            and applied probability as well as a PhD in finance
                  mathematical finance and derivatives. He is credited                               largest public pension and sovereign investment                                    from University of Paris – Sorbonne.
                  for co-inventing the variance gamma model,                                         funds to develop actions relating to global issues and
                  inventing static and semi-static hedging of exotic                                 particularly climate change. He has provided testimony
                  options, and popularising volatility products. He has                              to institutional investors, United States federal
                  received numerous distinctions for his work, including                             legislators and regulators, the United States Treasury,
                  the Institute of Advanced Studies Medal for Science                                and the United Nations on how to invest effectively
                  (2008), Wilmott Magazine’s award for “Cutting Edge                                 while protecting and enhancing the environment. He
                  Research“ (2004), and Risk Magazine’s “Quant of the                                holds an MBA from the University of Chicago, a Master
                  Year” award (2003). He is a frequent speaker at both                               of Arts in economics and a PhD in political economy,
                  practitioner and academic conferences. He holds an                                 both from Stanford University. He is also a Chartered
                  MBA from the University of Toronto and a PhD in                                    Financial Analyst, a Chartered Life Underwriter, and a
                  finance from UCLA.                                                                 Chartered Financial Consultant.
                                     Alternative Asset Allocation Seminar — New York, 30 March-1 April 2010

              Multi-Style Multi-Class Portfolio Construction

    Day One
              Seminar contents: understanding the risks and return dynamics of the various alternative classes and strategies; measuring the linear and non-
              linear factor exposures of traditional and alternative investments; addressing data limitations, autocorrelation, and non-normality; managing
              asset class exposure; using tools for the operational management of liquidity, valuation, and counter-party risk; measuring extreme risk and
              accounting for it in portfolio optimisation.

              Risk and return drivers of alternative investments                        õ Operational	risk	management	
              õ Understanding alternative classes and alternative strategies            	   •	Liquidity	risk	
              	   •	Commodities	                                                        	   	 -	Asset-liability	liquidity	matching	
              	   •	Private	equity	                                                     	   	 -	Subscriptions	and	redemptions,	side	pockets,	and	illiquid	assets	
              	   •	Real	estate	                                                        	   	 -	Using	credit	lines	and	leverage	versus	using	secondary	markets	
              	   •	Hedge	funds	                                                        	   	 -	Side	letters
              	   •	Emerging	alternative	assets:	infrastructure,	art,	etc.	             	   •	Valuation	risks	
                                                                                        	   	 -	Reviewing	asset-pricing	policies	
              õ Comprehensive	factor	model	for	alternative	and	traditional	classes	
                                                                                        	   	 -	Dealing	with	illiquid	assets,	complex	products,	and	stale	prices	
              and	sub-classes	
                                                                                        	   	 -	Independent	administration	and	net	asset	value	production	
              	 •	Linear	and	non-linear	exposure	to	risk	factors—a	class	by	class	
                                                                                        	   	 -	The	"too	good	to	be	true"	risk
                                                                                        	   •	Counterparty	risk	
              	 •	The	conditional	performance	of	alternative	investments—	
                                                                                        	   	 -	Cash	management
              economic	conditions	under	which	alternatives	perform	well/poorly	
                                                                                        	   	 -	Asset	custody	and	rehypothecation
              	 •	Diversification	and	hedging	potential:	mapping	with	respect	to	
                                                                                        	   	 -	Margins	and	collateralisation
              factors	impacting	return	on	traditional	asset	classes	
                                                                                        	   	 -	Over-the-counter	versus	listed	products
                                                                                        	   	 -	Financing	and	credit	lines
                                                                                        õ Portfolio-wide	risk	management	
              Portfolio construction and risk management                                	 •	Transparency	issue:	managed	accounts	versus	funds,	risk	
              õ Dealing	with	data	limitations,	illiquid	assets,	and	non-Gaussian	       transparency	versus	asset	transparency		
              returns	                                                                  	 •	Diversification	issue:	the	law	of	small	numbers		
              	 •	Issues	with	alternative	investment	data:	low-frequency,	              	 •	Risk	measurement	in	alternative	contexts:	maximum	drawdown,	
              biases	in	databases,	etc.	                                                VaR	and	beyond	VaR	
              	 •	Evidence	of	stale	prices	and	methodologies	for	de-smoothing	                                                                                 	
                                                                                        	 •	Portfolio	construction	with	extreme	risk	measures	versus	volatility	
              the	return	series	                                                        	 •	Portfolio	rebalancing	rules:	buy	and	hold	versus	risk	management
              	 •	Evidence	of	non-normality	in	alternative	investment	styles
              õ Managing	the	asset	class	exposure	
              	   •	Capital	calls	versus	upfront	drawdown	
              	   •	Dealing	with	returned	capital	
              	   •	Currency	exposure	and	implicit	leverage	and	deleverage

                                                            Alternative Asset Allocation Seminar — New York, 30 March-1 April 2010

          Financial Engineering and Alternative Investments
Day Two

          Seminar contents: optimising the integration of alternative investments into asset management and ALM; measuring the inflation-hedging
          properties of traditional and alternative assets; reducing the cost of inflation protection and hedging extreme inflation risk with alternative
          investments; optimising the diversification potential of alternative investments; designing alternative diversifiers for equity and bond portfolios;
          implementing dynamic risk-controlled strategies to optimally displace traditional assets with alternative investments; designing multi-style multi-
          class open-ended investment solutions with liquidity, drawdown, and performance constraints.

          Alternatives in ALM                                                        	 •	Hedging	extreme	inflation	risk:	focusing	on	the	left	tail	of	
                                                                                     the	inflation	risk	distribution	to	further	reduce	the	cost	of	inflation	
          õ Integrating	alternative	investments	in	an	ALM	context
          	 •	Organisation	of	ALM:	LDI,		liability-hedging	portfolio	versus	
          performance-seeking	portfolio
          	 •	Risk	budgeting	for	LDI	solutions:	case	without	leverage	               Alternatives in the performance-seeking portfolio
          (liability-driven	benchmark)	versus	case	with	leverage	(absolute	          õ Alternatives	for	optimal	diversification
          return	benchmark)	                                                         	 •	Alternative	investment	vehicle	selection:	exploring	the	
          	 •	Financial	engineering	with	alternatives:	optimising	the	risk	          co-moment	beta	approach	
          budget	by	introducing	alternatives	in	the	performance-seeking	and	         	 •	Enhanced	parameter	estimation	for	alternatives:	extending	
          liability-matching	portfolios                                              techniques	for	covariance	matrix	estimation	to	co-skewness	and	
                                                                                     co-kurtosis	matrices
          Alternatives in the liability-hedging portfolio                            	 •	Optimal	design	of	equity	and	bond	portfolio	diversifiers—towards	
                                                                                     an	optimal	blend	of	traditional	and	alternative	beta:	an	illustration	
          õ Inflation-hedging	properties	of	alternatives
                                                                                     using	hedge	fund	strategies
          	 •	Short-term	inflation	matching	versus	long-term	inflation	
          hedging:	term	structure	of	risk	from	an	asset	management	and	              õ Alternatives	for	optimal	substitution
          an	ALM	perspective                                                         	 •	Dynamic	risk-controlled	strategies	for	optimal	substitution—
          	 •	Inflation	hedging	with	alternatives:	inflation-hedging	properties	     towards	an	optimal	replacement	of	traditional	factor	exposures	
          of	real	estate	and	commodities	                                            with	alternative	factor	exposures
          	 •	Comparison	with	traditional	asset	classes:	inflation-linked	           	 •	Dynamic	core-satellite	techniques	with	alternatives:	meeting	
          securities	and	stocks	as	possible	ingredients	in	the	liability-hedging	    the	challenge	of	liquidity
          portfolio                                                                  	 •	Extending	the	dynamic	core-satellite	techniques	to	allow	for	
                                                                                     the	design	of	open-ended	investment	solutions	mixing	traditional	
          õ New	forms	of	inflation-hedging	portfolios	with	alternative	
                                                                                     and	alternative	beta:	accounting	for	relative	maximum	drawdown	
                                                                                     and	trailing	performance	constraints
          	 •	Inflation-hedging	portfolios	with	enhanced	performance:	
          reducing	the	cost	of	inflation	protection	with	the	introduction	
          of	alternatives	
          	 •	Impact	on	risk	budgeting	in	ALM:	reducing	the	required	
          allocation	to	the	performance-seeking	portfolio	by	enhancing	
          the	liability-hedging	portfolio	

                                       Alternative Asset Allocation Seminar — New York, 30 March-1 April 2010

                 New Frontiers in Alternative Asset Allocation

     Day Three
                 Seminar contents: exploring volatility as an asset class, exploring green investing as an investment theme, and looking at best industry
                 practices for extreme risk management—volatility as a portfolio diversifier, volatility as a hedge against downside equity risk; understanding
                 the characteristics, the pros and cons, and the pricing of first- to fourth-generation volatility products; reviewing systematic and tactical
                 volatility strategies—green investing as a super investment theme; risk/return profile of green investing by asset class; allocating assets to green
                 investing—understanding the pitfalls of traditional risk-measurement tools and using pragmatic approaches for extreme risk management;
                 assessing and implementing tail-risk hedging strategies.

                 Volatility as an emerging asset class                                       õ Risk/return	profile	of	green	investing	by	asset	class
                 õ The	case	for	volatility	as	an	asset	class	                                	   •	Public	equities
                 	 •	What	is	an	asset	class?	                                                	   •	Fixed-Income
                 	 •	Class	characteristics—understanding	the	basic	characteristics	          	   •	Private	equity,	growth	equity,	and	venture	capital
                 of	volatility	and	the	volatility	risk	premium	                              	   •	Real	estate
                 	 •	Volatility	as	a	portfolio	diversifier		                                 	   •	Infrastructure
                 	 •	Volatility	as	a	hedge	against	the	downside	risk	of	equity	              	   •	Commodities
                 	 •	Measuring	the	volatility	exposure	of	traditional	and	                   õ Allocating	assets	to	green	investing
                 alternative	investments	                                                    	 •	Should	green	investing	be	approached	as	a	separate	category	
                 õ Volatility	vehicles	                                                      or	should	it	be	made	part	of	existing	asset	classes?
                 	 •	Options	strategies:	straddles,	delta-hedged	options,	and	their	cons	    	 •	Determining	optimal	allocations	through	time
                 	 •	VIX	and	V2X	futures:	pros	and	cons	                                     	 •	Expected	returns	as	a	function	of	allocation	amounts
                 	 •	Third-generation	volatility	products:	pros	and	cons,	and	
                 pricing	of	volatility,	variance,	gamma	and	correlation	swaps	               Extreme risk management—a fund of hedge funds
                 	 •	Next-generation	volatility	products:	conditional	variance	swap,	        case study
                 options	on	variance,	covariance	swap,	volatility	of	volatility	concept
                                                                                             õ Extreme	risks	in	hedge	funds
                 õ Volatility	strategies	                                                    	 •	Empirical	evidence
                 	 •	Defining	a	strategy	and	selecting	volatility	products	                  	 •	Extreme	risks	and	“long	liquidity	profile”—illustration	
                 according	to	market	conditions	                                             through	standard	arbitrage	strategies.
                 	 •	Systematic	investment	strategies:	shorting	volatility	indices,	
                                                                                             õ Identifying	extreme	risks	in	hedge	fund	returns
                 rolling	variance	swap	positions
                                                                                             	 •	Limits	of	standard	methodologies:	scarcity	of	data,
                 	 •	Tactical	volatility	trades:	correlation	and	dispersion	trades	
                                                                                             investment	liquidity	(heterogeneous	risk	horizons),	asset	liquidity	
                 	 •	Portfolio	hedging:	are	volatility	products	better	than	plain	
                                                                                             (serial	correlation	of	returns	and	estimation	bias)
                 vanilla	puts?
                                                                                             	 •	Negative	optionality	and	extreme	risks:	a	naïve	example,	
                                                                                             convexity	estimation	through	non-linear	factor	analysis
                 Green investing as an investment theme                                      õ Hedging	tail	risks	in	a	hedge	fund	portfolio
                 õ Green	investing	as	a	super-theme                                          	 •	Examples	of	short	liquidity	strategies:	volatility	strategies,	
                 	   •	Opportunity                                                           credit	strategies,	and	other	strategies
                 	   •	Risks	of	missing	out	on	the	super-theme                               	 •	Hedging	calibration	and	implementation
                 	   •	Implications	for	the	capital	markets	over	the	coming	decades          	 •	Implications	for	the	portfolio	manager	
                                                             Alternative Asset Allocation Seminar — New York, 30 March-1 April 2010

                                                                      About the Organisers

CFA Institute is the global, not-for-profit professional                                                                                   EDHEC-Risk Institute is an offshoot of EDHEC Business
association that administers the Chartered Financial                                                                                       School. One of the leading institutions in Europe,

Analyst® (CFA®) curriculum and examination programme                                                                                       EDHEC Business School delivers degree courses to over
worldwide, publishes research, conducts professional-                                                                                      5,000 students and trains 5,500 professionals yearly
development programmes, and sets voluntary, ethics-                                                                                        through executive courses and research events.
based professional and performance-reporting standards
for the investment industry.                                          CFA Institute provides the investment community with                 EDHEC-Risk Institute does world-class academic
                                                                      an ideal platform to grow both in skills and                         research and highlights its applications to the
As part of its commitment to professional excellence, it              relationships among peers.                                           investment management industry. Its team of forty-
                                                                      Markus Stadlmann,
has developed the Alternative Asset Allocation Seminar                Managing Director, Harald Quandt Holding, Bad Homburg, Germany       eight researchers carries out its work in the context of
jointly with EDHEC-Risk Institute specifically for senior-                                                                                 six industry-sponsored programmes and ten corporate-
level investment professionals.                                                                                                            endowed research chairs focusing on asset allocation
                                                                                                                                           and risk management in the traditional and alternative
CFA Institute has more than 102,000 members in 134                    I have been following the research that EDHEC-Risk                   investment universes.
                                                                      Institute has been doing during the past few years
countries and territories, including the world’s 89,000
                                                                      with great interest. The research programme is of high
charterholders, as well as 136 affiliated professional                                                                                     EDHEC-Risk Institute systematically seeks to validate
                                                                      academic quality but is nevertheless always relevant
societies in 57 countries and territories.                            and applicable from a practitioner’s point of view.
                                                                                                                                           the academic quality of its research through
                                                                                                                                           publications in leading scholarly journals and has a

CFA Institute is headquartered in Charlottesville, VA,                Erik Valtonen,
                                                                      Chief Investment Officer, AP3, Stockholm, Sweden
                                                                                                                                           policy of optimising exchanges with the industry. It
USA, with regional headquarters in London, Hong Kong,                                                                                      maintains a website ( devoted to
Brussels, and New York. More information may be found                                                                                      asset management research for professionals, circulates
at                                                                                                                   a monthly newsletter to over 400,000 practitioners,
                                                                                                                                           conducts regular industry surveys and consultations,
                                                                                                                                           organises research conferences for the industry, and
                                                                                                                                           delivers executive education programmes to hundreds
                                                                                                                                           of institutions yearly.

Continuing Education Credits                                     Registration and Fee Information                                         Further Information and Registration
As a participant in the CFA Institute Approved-Provider          Fees
Programme, EDHEC-Risk has determined that this programme         New	York	Seminar	Fee:	USD8,000                                           For further information,
qualifies for 21 credit hours. If you are a CFA Institute        CFA	Institute	Member	Rate:	USD6,000                                      contact Mélanie Ruiz at:
member, continuing education credit for your participation                                                                                or on: +33 (0) 493 187 819
in this programme will be automatically recorded in your         Payments are accepted in euros or US dollars. VAT at a rate of
CE Diary.                                                        19.6% applies to sales to EU residents, to companies based in            To register, visit:
                                                                 France, and to EU institutions without a VAT number. Non-EU              or send the completed registration form:
                                                                 residents/companies are not subject to VAT.
                                                                                                                                          by email to:
                                                                 Fees include instruction, teaching materials, refreshments at            by fax to: +33 (0) 493 184 554
                                                                 breaks, and lunches. Accommodation is not included.
                                                                                                                                          by post to: EDHEC-Risk Institute - Mélanie Ruiz
                                                                 Billing and payment                                                      393-400 Promenade des Anglais - 06202 Nice Cedex 3 - France
Schedule                                                         The fee is billed following registration and must be settled
A typical programme day lasts from 8:30 to 5:30 and is           before the seminar begins. Payment can be made by credit card
usually divided into lectures and application cases. The         or wire transfer.
two class sessions in each half-day period are separated by
thirty-minute refreshment breaks scheduled at 10:30 and          Transfer or cancellation
3:30. Lunch is served at 12:30.                                  Transfer of registration to a colleague, upon written notice,
                                                                 is allowed and free of charge. Transfer of registration fees to
                                                                 another EDHEC-Risk Institute programme must be requested in
Venue                                                            writing and is subject to the following charges: 45 to 30 days’
The New York Helmsley Hotel is a world-class property nestled    notice: 15% of the tuition fee; 29 to 11 days’ notice: 30% of the
in the heart of Midtown Manhattan, within walking distance of    tuition fee; 10 days’ notice or less: 50% of the tuition fee.
Times Square, Grand Central Station and the United Nations, as
well as the Theatre District and Rockefeller Center.             Cancellations of confirmed seats must be received in writing
The	New	York	Helmsley	Hotel,	212	East	42nd	Street,	              and are subject to the following charges: 45 to 30 days’ notice:
New	York	City	10017                                              25% of the tuition fee; 29 to 11 days’ notice: 50% of the tuition
Tel:	+1	212	490	8900,	Fax:	+1	212	405	4299                       fee; 10 days’ notice or less: 100% of the tuition fee.


                                                                                                                   CFA Institute                                    EDHEC-Risk	Institute	
                                                                                                                   560 Ray C. Hunt Drive                            393-400 promenade des Anglais - BP 3116
                                                                                                                   P.O. Box 3668                                    06202 Nice Cedex 3 - France
                                                                                                                   Charlottesville - VA 22903-0668                  Tel.: +33 (0) 493 187 819
                                                                                                                   United States of America                         Fax: +33 (0) 493 184 554
                                                                                                                   Tel: +1 434-951-5449                             E-mail:
                                                                                                                   Web:                        Web:

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Description: Quantitative Portfolio Optimisation, Asset Allocation and Risk Management document sample