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agenda >> pension bridge annual 2018
The Pension Bridge Annual 2018
THE PENSION BRIDGE Annual, San Francisco
The Four Seasons Hotel
Tuesday April 10th, 2018
| Click Here to Download a PDF version of the agenda
”What, Me Worry?”
Equity prices have recovered mightily from the financial crisis. Interest rates remain relatively low. Credit is readily available and capital markets are open and liquid. Employment is strong; wages are firm and trending upward. Tax and regulatory policies are pro-business / pro-growth. Worries about China having a hard landing or populist contagion collapsing the EU have abated. Corporate earnings remain strong. Everything looks great! And that’s before considering the potential upside from disruptive technologies like artificial intelligence, robotics, big data, genomic medicine, immunotherapy, growth of mobile communications and web access, or the ample supply and low cost of energy. Is the future so bright we need to wear shades? What could possible go wrong? What’s an institutional investor to do?
Ashbel C. “Ash” Williams, Executive Director & Chief Investment Officer, Florida State Board of Administration, (SBA)
Kristen Doyle, CFA, Partner, Head of Public Pension Funds, Aon Hewitt Investment Consulting
Keynote Speaker - Macroeconomic View
- Easy Money Central Bank Policy and the Consequences Down the Road
- Debt to GDP
- Corporate Debt Growth for Financial Engineering
- Oil and High Yield Defaults Outlook
- Are we in a Credit Bubble?
- Margin Debt and Valuation Levels
- Algo’s and Passive Investment as a Market Risk
- Inflation/Deflation Argument
- Outlook for Europe and Emerging Markets
- China – Debt Levels, Leverage and Real Estate Bubble as a Wildcard
- Japan’s Demographics and Debt – what might be the Far Reaching Effects?
- Derivatives Risk
- Expectations for Equities and Bonds
- Expectations for the Next Black Swan?
- What are your Best Bets for a Low Growth, Low Return Environment?
J. Kyle Bass, Founder, Chief Investment Officer, Hayman Capital Management, L.P.
Artificial Intelligence in Asset Management
- What is the latest you’ve seen with Big, Established Asset Managers and Hedge Funds Pouring Money into Technology and Data Management to Develop Next-Generation Investment Systems?
- How Long Before AI becomes Mainstream in Hedge Fund Asset Management?
- Investing with Artificial Intelligence via Natural Language Processing so that Algorithms can Systematically Look for Verbal Cues. How are these Quant Hedge Funds doing as far as Inflows and Returns?
- Giving Computers and Data Science More Significant Roles over Humans in the Quant Space – how Big has the Movement Become at the Big Firms for Humans to be Replaced by Robots and Quant Researchers? Might this spread from Equity Trading to Fixed Income?
- Do you believe the AI Quants Combined with Leverage and the Inflows into Smart Beta might one day lead to a Massive Flash Crash or Quant Quake?
- When the next Quant Hedge Fund Sell-Off Unfolds, will the Risk Issues that are now used to address the 2007 Crisis still be applicable today?
- Do you have any Performance Concerns for Funds Relying on Algorithms during a Bear Market? Will the Risk Management side still largely be run by Humans?
- What does the Future Hold for Artificial Intelligence and Machine Learning?
- Do you believe Automated Technology will Eventually Play a Role in the Outsourced CIO Business and Reduce Costs?
- Will Robo-Advice Technology go Beyond Passive Investing and Move into Active? Might it be used by Consultants?
- What are the Roadblocks for AI?
Jeff Shen, Ph.D., Managing Director, Head of Emerging Markets, Co-Head Scientific Equity, BlackRock
Active vs. Passive Management
- When making the Active/Passive Decision, what Factors should be Considered?
- Is Active Management a Dying Breed or is it simply at a Cyclical Low?
- Do you believe that the Extraordinary Growth in Passive Management is One of the Factors Contributing to Drive High Valuations?
- Agree or Disagree: With Volatility, Risk Premia and the Dispersion of Risk being Low for an Extended Period of Time, it has made it Difficult for Active Managers to Shine
- When Volatility and Risk Premia Rise, will a Larger Number of Active Managers Stand Out?
- Do you believe it will take a Substantial Market Sell-Off for Investors to Realize their Need for Active Managers?
- What do Smaller Managers need to do to Compete with Flows going to Large Active Managers?
- How should Active Managers Differentiate Themselves to Justify the Fee Premium over Low-Cost Indexed Funds?
- Importance of Passive Managers to Identify Mispricings and Dislocations
- What are the Hidden Risks of both Passive Investing and Smart Beta?
- What are some Customization or Niche Strategies that will be necessary for both Active and Passive Managers to Adapt?
Matthew Strube, Senior Portfolio Manager, CSAA Insurance Group
Ryan D. Taliaferro, Ph.D., Senior Vice President, Portfolio Manager, Acadian Asset Management LLC
Yazann Romahi, Ph.D., CFA, Managing Director, CIO for Quantitative Beta Strategies, J.P. Morgan Asset Management
Mark Higgins, CFA, Consultant, Principal, RVK, Inc.
Executive Director/CEO Roundtable
(A) Pension Health/Governance
- Do you believe Plans will be able to Meet or Beat the Assumed Rate of Return over the next 5 to 10 Years? What about in the Longer Term?
- Should we be Spending Political Capital to Lower Assumed Rate of Return Targets?
- Dealing with Legislature – what is your Biggest Concern? Is Trust a Factor?
- How do you approach Increases in Longevity and Costs for Healthcare Drugs for Retirees? Any possible Solutions?
- Agree or Disagree with this Concept: "We need to disconnect our health care and retirement plans from the employer-sponsored model. Employers are not in the health-care business; they aren't in the retirement business."
- Do you see the Benefits of Adopting a Hybrid DB/DC Plan? What are the Drawbacks?
- Best Governance Practices to Keep Plans Optimally Invested, Managed, Funded and in Regulatory Compliance
- How do you ensure your Board Members receive Continual Education of their Fiduciary Roles/Duties and keep them Updated on Risk Factors?
- Have you Educated Internally on the Risks or Steps for Cybersecurity Protection? Do you have Cybersecurity Questions or Guidelines in your Due Diligence of your Managers?
(B) Long-Term Structural Changes for Fiscal Sustainability
- Do you have Internal Management Capabilities?
- Will we see a Shift to Hunt for Long-Term Cash Flow Investments through Partnerships and Co-Investment Structures? Greater Competition to Follow?
- Have we made Strides to Solve the Talent and Compensation Struggle? Will we see More Compensation-Based Pay to Attract and Retain Talent to be Competitive with the Private Sector?
- Will we see a Continued Shift towards Investing in Passive, Low-Cost Vehicles, Index Funds and ETFs over Actively Managed Funds? Is Passive here to stay?
- Requirement for Better Transparency
- Do you believe we’ll see a Consolidation of Public Pension Plans Under One Entity, (such as INPRS or IMCO in Canada)? What are the Benefits?
- Making Governance More Effective – Identifying Key Board Member Roles with Expertise in Particular Areas with an Independent Board
- What is your Biggest Threat to your DB Plan? What keeps you up at night?
Richard Stensrud, Executive Director, School Employees Retirement System of Ohio
Paul Matson, CFA, CAIA, Executive Director, Arizona State Retirement System
R. Dean Kenderdine, Executive Director, Maryland State Retirement and Pension System
Don Drum, Executive Director, Public Employee Retirement System of Idaho, (PERSI)
Brian Guthrie, Executive Director, Teacher Retirement System of Texas
Women and their Increasing Role in Investment Management
- What are some Ways we can Encourage Organizations to Embrace Diversity?
- Have we seen any Statistical Performance for Women and Minority-Owned Investing? What about the Performance of Female Hedge Fund and Private Equity Managers?
- Should Pensions put Pressure on Investment Managers to Formalize Family-Leave Policies to Encourage Diversity or is that the Responsibility of the Manager?
- Is there a way to Close the Income Gap?
- What is the Most Common Reason why Investors do not have Specific Women-Owned Investment Mandates? How Big an Issue is Lack of Supply?
- With just 6.5% of Global Private Equity Firms having Partners or Managing Partners that are Women (source: Preqin), how do you approach Beating those Odds?
- What are the Recent Findings from Women in Alternative Investments Report by KPMG? Any Takeaways?
- What is the Gender Retirement Gap and what are the Ways Women can Overcome these Hurdles?
- What Programs or Organizations do you believe are Helpful in the Advancement of Women in the Industry?
- What Can Institutions do to Support Women’s Advancement to the Top Levels of Leadership?
- How might Specialization be an Important Way for Women to offer a Diversified Strategy Approach?
- Thoughts on the FTSE Russell Women on Boards Leadership Index Series and its Ability to Achieve Gender Diversity?
- What Career Advancement Advice would you give to Younger Women who are Passionate and Fairly New to Investment Management?
Meredith A. Jones, Partner & Head of Emerging Manager Research, Aon Hewitt Investment Consulting
Aeisha Mastagni, Portfolio Manager, California State Teachers' Retirement System, (CalSTRS)
Sorina Zahan, Ph.D., Chief Investment Officer, Managing Partner, Core Capital Management, LLC
Susan E. Oh, CFA, Senior Portfolio Manager, Pennsylvania Public School Employees' Retirement System
Marianne Scott Dwight, General Counsel, Texas Treasury Safekeeping Trust Company
(A) Investment Managers
- What are the Biggest Cybersecurity Challenges Investment Managers Face Today?
- Overview of the Cybersecurity Landscape – Phishing, Botnet Hackers, Insider Threats, Compromised Business E-mails and Attempts to Steal Healthcare Data
- Ransomware and the Use of Bitcoin for the Hijacked Information’s Return
- What Initiatives should Firms take to Protect Against Phishing and Other Critical Threats?
- With the SEC Flagging Third Party Vendors as a Crack in a Firm’s Cybersecurity Shield, what Detailed Measures should be taken to Help a Firm to Avoid a Cybersecurity Breach?
- What are the Biggest Challenges to the Implementation of Corporate Security Analytics?
(B) Pension Plans
- What are the Necessary Steps for Cybersecurity Protection for Pension Plans?
- As a Pension Plan, Endowment, Foundation or Family Office, what Cybersecurity Questions should you ask in your Due Diligence of your Investment Managers?
- Have we seen any Education of the Risks, Steps for Protection and Internal Accountability yet?
- Pension Plans’ Responsibility starting at the Request for Proposal (RFP) Stage – providing Details for Data Protection and Privacy Provisions
- Should Plan Sponsors have Cybersecurity Insurance Coverage? What is typically Covered in a Policy?
M. K. Palmore, CISM, CISSP, Assistant Special Agent In Charge – Cyber Branch, San Francisco, FBI
Risk Management and Adopting a Risk Culture
(A) Key Considerations and Tools for Managing Risks
- Overview of the Transformation from an Asset Allocation-Centered Process to a More Comprehensive Risk Allocation-Based Process
- Discuss the Challenges that have Prevented Wide-Spread Adoption of a Risk Allocation Framework?
- What Governance Challenges have you seen?
- What are the Implementation Challenges?
- What are the Key Challenges as it relates to Measuring Risk?
- Balance Between Cost and Comprehensive Risk Approach
- Challenges of Performance Monitoring, Risk Data and Systems – getting good Risk Information Across All Asset Classes and Fund/Investment Structures, (Pooled Vehicles vs. Separate Accounts)
- How can considering Diversification and Risk Independently help Investors Build More Efficient Portfolios?
- What Developments have we seen for Combining Several Risk Premiums as a part of Portfolio Diversification?
- How has taking a Risk Allocation Approach changed the Structure of your Plan’s Fixed Income Investments? Understanding Return Seeking Fixed Income and Traditional Risk Reducing Fixed Income
- What Irregularities have we seen in Portfolios as Asset Classes are Redrawn and Renamed via Risk Allocation? Are we still too Over-Reliant on Equities?
(B) Top Pension Risks we should be Most Wary of
- Understanding Asset Class Correlation and Behavior Risk – Tendency of Interest Rate and Inflation Shocks Driving Both Equities and Bonds in the Same Direction, (Correlations Change)
- Drawdown Risk
- Transparency and Liquidity Risk – Basing it on a Cost/Benefit Evaluation
- What’s the Best Approach to Liquidity Risk as it applies to Meeting Future Cash Flow Obligations?
- Leverage Risk – what are the Best Approaches to keep these Risks within Acceptable Parameters?
- Monitoring Counterparty Risk being taken by Managers – any New Measures?
- Equity, Credit, Duration, Inflation/Deflation, Currency, Geopolitical Risk Considerations
- How does Stress Testing or Scenario Analysis factor into your Process?
- What should Keep CIOs and Staff Up at Night?
- How do you Communicate your Risk Tolerances with your Board, Managers and Media?
- How has the Role of Fiduciary Responsibility Changed in this New Era of Risk?
- What should Boards/Organizations Consider when Building a Risk Culture?
- How can Fiduciaries Adapt and Safeguard Against Today’s Challenges?
- How do you go about Educating a Board on Risk?
- Have you Developed a Process for Monitoring Risk being taken by your Money Managers?
- What Metrics Aid in the Decision-Making Process?
- How does a Plan’s Size affect the Approach to Pension Risk Management?
Stephen Cummings, CFA, Global Investments Officer, Head of North America Investment Consulting, Aon Hewitt Investment Consulting
Luis J. Roman, Ph.D., Senior Investment Officer, Director of Risk Management, Massachusetts Pension Reserves Investment Management Board, (PRIM)
Daniel Hennessy, CFA, CAIA, Senior Consultant, NEPC, LLC
David R. Wilson, CFA, Managing Director, Head of Institutional Solutions Group, Nuveen Asset Management
Bruce H. Cundick, CFA, CPA, Chief Investment Officer, Utah Retirement Systems
- Risk Parity Explained
- Do you Consider it a Drawback that there’s Only a Positive Weight to an Asset with No Ability to go Short?
- Active Strategy? Passive? Extent to which a Risk Parity Portfolio is Managed?
- Risk Parity’s Role in a Portfolio and Benchmarking – why might these tend to Complicate and Potentially Discourage Investor Adoption/Implementation? What Progress have we seen towards Adopting an Appropriate Benchmark?
- Does Risk Parity Make Sense Now if we Expect Low Market Returns in the Future?
- Is it possible that Bonds will Become Less Likely to Protect against a Large Drawdown in Equities?
- Should we be Worried about Leverage or Leveraging the Inappropriate Assets? Is there an Over-Reliance on Bonds with Current Valuations?
- Do Commodities Make Sense in Risk Parity if Inflation Remains Low?
- Performance in the Past Decade and Longer – how does Risk Parity look over time Compared to Other Asset Mix Models?
- Leverage and Illiquidity Do Not Mix – any Approaches to Avoid this Combination?
- Do you View it as a Flaw that Portfolio Construction Approaches only consider Volatility Risk, Not Tail Risk or Drawdown Risk?
- Could Tail Risk Parity be More Effective? Thoughts on the Concept of Measuring Expected Tail Loss Rather Than Volatility – Cheaper Hedges for Protection, Reducing Tail Risks while Retaining More Upside than Risk Parity?
- Aside from the Money Concentrated in the Top “Founding Firms,” how should we Approach Managers with Short Track Records?
Jeffrey MacLean, Chief Executive Officer, Verus
Marc Khalamayzer, CFA, Portfolio Manager, Global Investment Solutions, Columbia Threadneedle Investments
Scott Wolle, CFA, Portfolio Manager, CIO of Invesco Global Asset Allocation, Invesco
James Nield, CFA, FRM, Chief Risk Officer, Teacher Retirement System of Texas
Tail Risk Hedging
- Why is Tail Risk Hedging Important Now?
- Understanding Tail Risk Frequency, Severity and Impact
- Why are the Markets Vulnerable to a Substantial Decline Today? Does the Impact of Central Bank Tapering and the Fed Reducing its Balance Sheet Weigh on you?
- Understanding the Risk of Correlated Global Markets for Developed Countries
- How can you Quantify the Costs vs. the Benefits?
- What are the Merits of an Option Overlay Strategy In Lieu of Owning a Tail Risk Hedge?
- What Risks can be Efficiently Hedged in the Financial Markets?
- What Types of Strategies and Approaches are used to Hedge?
- Where have you seen it Work Successfully and Not So Well?
- What are the Implementation Challenges?
- Why is there often Difficulty Implementing a Tail Risk Program within the context of a Committee and how can we overcome this?
- Are there Alternative Ways to Deal with Tail Risk?
- Using Information from the Derivatives Markets to assess Stress Points – where we are seeing Tail Risks Building?
- Does the Growth in the VIX Universe pose a Risk?
- Pension Plans developing a Contingency Plan – What are the Best Practices to Navigate through Stressful Periods?
- Any Experiences you can Share among your Clients with Tail Risk Hedging?
Ted G. Benedict, CFA, CAIA, Managing Principal, Consultant, Meketa Investment Group, Inc.
Dori Levanoni, Partner, First Quadrant
Thomas E. Fletcher, CFA, Managing Director, Overlay Strategies, Russell Investments
Unconstrained Fixed Income
- Assessing the Current Environment – Fed and Global Central Bank Policy, Interest Rates, Spreads, U.S. Dollar, Foreign Investment in U.S. Treasuries, Global Fixed Income Landscape and Default Rate Expectations
- What are your Best Ideas for ways to Simplify the Sub-Allocations within the Fixed Income Space? Any Preferred Allocation Breakdowns or Weightings?
- With the Proliferation of Products which are Diverse, what is the Return Objective?
- Portfolio Construction – Need for Increased Disaggregation of Alpha Sources
- Understanding Return Sources/Attribution and Correlation that Unconstrained Funds have had with other Fixed Income Sectors and Equity Markets
- Impact of the Non-Linearity of Risk Correlations and Volatility Not Being Stable through time. Is that something you look to Measure in case of Market Dislocations?
- How are you Taking Advantage of Current Market Dislocations?
- What are the Implications of Reduced Liquidity?
- How should Investors think about Transparency of Positioning in Unconstrained Fixed Income?
- What Progress have we seen for a Factor or Risk Premium Approach for Assessing Risk?
- Do you see a Supply/Demand Imbalance in Long-Duration Fixed Income?
- Using Structured Products, Swaps and Derivatives to Create Alpha and Hedge Volatility
- Emerging Markets Local Fixed Income – what are the Opportunities? Currency Risk Factors? Should Currency Exposures be Hedged or Unhedged?
- What are your Expectations and Outlook for Corporate Debt?
- Taxable Municipals vs. Corporate Bonds – Which Make More Sense Now?
- Do you view Bank Loans as a Hedge in Rising Rate Environment?
- If Trump Moves on GSE Reform (as he’s indicated), how would that Impact the MBS Market?
- Where do you see the Greatest Risks in the Debt Markets and what might be the Trigger Points that Enhance that Potential?
- Understanding how to Select Alternative Managers – Multi-Sector, Multi-Region and Multi-Currency Skill Set
- How do you Define Success for Unconstrained Fixed Income Strategies?
Scottie D. Bevill, Senior Investment Officer - Global Bonds and Real Return, Teachers' Retirement System of Illinois
Kathleen C. Gaffney, CFA, Director of Diversified Fixed Income, Eaton Vance Management
Zeke L. Loretto, Director, Head of Global Investments, eBay
Daniel S. Janis III, Senior Managing Director, Senior Portfolio Manager, Manulife Asset Management
Brian Timberlake, CFA, Ph.D., Head of Fixed Income Research, Voya Investment Management
Environmental, Social and Governance, (ESG)
- Do we have Proof that ESG Integration Adds Value?
- ESG Fund Performance vs. Traditional Funds
- Do Firms with Good Performance on SASB Topics Outperform Firms with Poor Performance on those Topics?
- How do you Approach ESG from a Fiduciary Standpoint and for the Development of your Plan’s Investment Beliefs?
- Why are UN Sustainable Development Goals Important? What Ways are you using them to Help Investing in New Opportunities and Identify Future Areas of Risk?
- How should ESG be best Incorporated into the Investment and Due Diligence Process?
- Factors Needed to make ESG Mainstream and Integrated into Every Investment Process – Agreement on Weightings, Scoring and Definitions
- What are the Perceived Obstacles to applying an ESG Framework to the Stock Selection Process?
- Considerations for Investing in a Passive ESG Index – thoughts on Low Carbon Index? Combining ESG with Smart Beta?
- Climate Change and Investment – what’s the Relationship and how do you Integrate Climate Risks into your Process?
- What should Pension Funds be asking their Existing Active Managers in terms of whether they are looking at Climate Risk or Opportunity?
- Understanding the Importance of Supply Chain Management
- Will there come a time when Plan Sponsors Only Invest with UN PRI Investment Manager Signatory Firms? Has the UN PRI been Strict or Lenient on Signatories for the Integration of their Principles?
- What are the most Recent Trends we’ve seen for the Sustainability Movement in Real Estate and the Demand to be Green?
- Understanding Relevant Benchmarks for ESG Risk Measurement
Priya Mathur, President, Board of Administration, California Public Employees' Retirement System, (CalPERS)
Nikita Singhal, Analyst, ClearBridge Investments
Hannah Skeates, Senior Director, Strategy and ESG Indices, S&P Dow Jones Indices
Thomas Henley, Senior Managing Director of Strategic Opportunities, UAW Retiree Medical Benefits Trust
Cocktail Reception Concludes
Wednesday April 11th, 2018
- Macro Environment and Recent Developments
- How have EM Headwinds Impacted your Deployment?
- What would be the Effects on Emerging Markets if we see Weak or Negative Growth in the U.S or Instability in Eurozone?
- What are Realistic Return Expectations? How might that Differ based on Region?
- How do Valuations look Relative to Risk?
- Are you Investing in Higher Growth Markets such as Southeast Asia, Africa or Latin America? Which particular Countries? Do you see Higher Risk, Returns and Diversification Factors here?
- Outlook for China – are you Concerned about their Credit and Real Estate Bubbles?
- What Dangers do you see with the EM Equity Benchmark with China’s Heavy Weighting?
- India to Benefit from its Fast Rate of Urbanization? Still in Need of Substantial Reform?
- Identify what Country or Region you see Favorable Demographic Trends such as a Growing Middle Class, Promising Consumer Buying Behavior and Economic/Fiscal Reforms
- Which Markets in Frontier Countries can you Profit from Strong Growth and Access a Lower Correlation?
- What can be done to Mitigate Currency Risks?
- The Case for Emerging Markets Corporate Debt
- What Metrics are you using to Determine Relative Value in Sovereign Bonds?
- Public vs. Private Emerging Markets – Benefits and Drawbacks of each
- Active vs. Passive Debate
- What is an Appropriate Long-Term Allocation to Emerging Markets? What should that Allocation look like, (Public Equity, Fixed Income, Private Equity, Frontier Markets, Alternatives, etc.)?
- Choosing an Emerging Markets Fund or Manager – should you be Investing by Region, Country or Sector?
- Given the Current Environment, will Emerging Markets Outperform Developed Markets?
Hayden Gallary, CFA, Managing Director, Cambridge Associates LLC
Candace Ronan, CFA, Portfolio Manager, Global Equity, California State Teachers' Retirement System, (CalSTRS)
Yu-Ming Wang, Chief Investment Officer, Nikko Asset Management Americas, Inc.
Steve Cook, Managing Director, Co-Head of Emerging Market Fixed Income, PineBridge Investments
Currency and Currency Alpha
(A) Currency Market Overview
- What are the Factors Driving Currencies?
- What is the Relationship Between Volatility and Currency Returns?
- Can Currencies be Forecasted via Fundamentals, Cycles and Trends?
- Benefits of Active and Dynamic Currency Management
- Widely Confused Difference Between Currency Hedging and Currency as an Asset Class – how do they Differ in terms of Implementation Approaches?
- What are the most Common Reasons Asset Owners give for Not Actively Managing Currency? Are these Reasons Valid or Not?
- What is the Impact Forex can have on Overall Risk and Returns for International Equity and Bond Portfolios?
- Different Skills Required for Currency Hedging vs. Currency Alpha – should a Different Manager be used for Each Approach or is it Possible to be Skilled in Both?
- What are the Merits and Demerits of Adopting a Hedging Program vs. an Alpha Program?
(B) Currency Overlay Hedging
- Given Plan Sponsors Non-U.S. Exposure, what Factors should be Considered in the Determination of Implementing a Currency Hedging Program?
- Is there an Optimum Currency Hedge Ratio for a Plan?
- How much of a Reduction in Portfolio Volatility and Risk should be Expected?
- Can it be More Beneficial to be Unhedged?
- Hedging Costs – how should this factor into your Decision?
(C) Currency Alpha
- How does Employing a Currency Alpha Strategy fit into an Asset Allocation Framework?
- Benefits of Non-Correlated Returns to Equities, Fixed Income and Alternative Investments
- How does Investing in Currency Diversify and Reduce Risk? Natural Diversifier for the Duration Risk in Bonds?
- How do you Manage Risk Factors?
- What are the Return Expectations?
- When considering Investing in an Active Currency Strategy, what should you look for in a Manager?
Aoifinn Devitt, Chief Investment Officer, Policemen's Annuity and Benefit Fund of Chicago
Brian D. Singer, CFA, Partner, Head of Dynamic Allocation Strategies Team, William Blair & Company
Luciano Siracusano, Chief Investment Strategist, WisdomTree Asset Management, Inc.
(A) Construction and Skills
- Why is Multi-Asset Investing Attractive to Investors?
- What are the Common Sub-Asset Classes Included in Multi-Asset Strategies?
- Do these Strategies Reduce Correlation, Lower Volatility and Limit Downside Risk or Drawdown? If so, by How Much?
- How do Investors utilize Multi-Asset Strategies in their Portfolios?
- With Dynamic and Tactical Asset Allocation Skills yet to be Put to the Test in recent years, how do you see this Space Evolving in a more Treacherous/Volatile Market?
- Aside from Asset Allocation Skills, what other Skills are Required for the Ability to Generate Alpha and be Successful?
- Constructing the Portfolio – Risk Factor Approach
- How do you Measure Performance?
- Do you believe Central Bank Policy has Limited the Ability of Multi-Asset Managers?
- Do these Strategies Rely Too Heavily on Market Timing?
- Do you Agree or Disagree with the Willis Towers Watson Report saying Multi-Asset Managers have actually Harmed Performance via Tactical Asset Allocation Decisions?
- The Skill of Moving Opportunistically Between Markets, a Function of Asset Allocation Alpha is an All-to-Rare Commodity – any Truth to this?
- Do you believe that many Multi-Asset Funds have Not Sufficiently Incorporated Risk Controls into the Design of their Products as the Willis Towers Watson Report Noted?
- Reliance on Stable Correlation Relationships although there is No Certainty those Relationships will Persist
- Is Excessive Leverage a Concern?
- High Fees
- Is Transparency often Obscure or Hazy?
Ashwin Alankar, Ph.D., Senior Vice President, Global Head of Asset Allocation & Risk Management, Janus Henderson Investors
(A) Current and Future State of the Hedge Fund Industry
- Why have Hedge Funds Underperformed? Will this Shift?
- Is Hedge Fund Investor Risk Appetite and Hedge Fund Manager Willingness to Take On Risk High Enough to Generate an Acceptable Level of Return for Hedge Funds?
- Will we see More Hedge Funds Continuing to Shut Down?
- What is an Appropriate Fee Structure for Hedge Funds? How do you Assess the Tradeoff Between Fees and Liquidity?
- As an LP, do you find it Difficult to get Hedge Fund Managers to Provide Accurate Fee Information in a Timely, Efficient Manner? Do you believe we’re In Need of a Standardized Reporting Template like ILPA for Private Equity?
- Do Smaller Hedge Funds Outperform and if so, why?
- What is Driving the Increase in Demand for Strategies Uncorrelated with the Capital Markets? Which Low Correlated Strategies are Most Attractive?
- With Crowding on the Rise for Particular Stocks, do you see this as a Risk and a Contrarian Indicator for those Equity Holdings when the Cycle Turns?
(B) Implementation Options
- Long-Short Equity Hedge Funds – what Differentiates Managers that have been able to Outperform?
- Do you find Opportunities within the Global Macro Space Attractive and if so, why?
- Managed Futures – Diversification and Performance during Periods of Market Stress or Crisis Events. How much can it Decrease the Depth of Portfolio Drawdowns and Volatility?
- Liquid Hedge Fund Products such as UCITS, 40 Act and Hedge Fund Replication – are they a Viable Alternative and Under what Circumstances? How has their Performance and the Lower Fees Fared to Hedge Funds?
- The Role of Alternative Beta/Risk Premia Strategies in a Hedge Fund Portfolio – what are the Appropriate Expectations from a Sharpe Perspective?
- If there was a Hedge Fund Strategy you would Invest in over the next Few Years, which one would it be and why?
- What is the Future of the Fund of Funds Space? How is it Changing? Where will Fees be? What will it take to Stay Competitive?
- How do Emerging Managers Differentiate Themselves in the quest for Institutional Capital?
- What sort of Downside Protection, Drawdown or Return Range do you expect we’ll see from each of the Different Hedge Fund Strategies during the Next Market Downturn?
- Implementation Considerations for Due Diligence, Portfolio Function and Manager Selection. What are the Key Traits you should be looking for?
(C) Portfolio Construction and Risk Management
- What does a Diversified Portfolio of Hedge Funds look like? How Many Funds do you need? Should you focus on a few better Strategies or is the Size of your Portfolio a Factor?
- What is the Role of Separate Managed Accounts? What are the Benefits? Are they Better than Commingled Funds?
- Any Recent Trends you’ve seen for Pension Plans as far as Fees, Transparency, Increased Partnership, etc.?
- Importance of Operations Due Diligence. Any recent Developments? How often should Operations be Reviewed?
- Transparency and Risk Aggregation Data – are they Accurate?
- What Monitoring Tools or Reports do you feel give you the most Bang for your Buck when Monitoring Individual Managers and Portfolios?
- What Trends do you see Developing in Regards to the way we Evaluate Liquidity Provisions for Hedge Funds?
Dr. John Claisse, CEO, Albourne America LLC
Robert Christian, Senior Managing Director, Head of Research, K2 Advisors L.L.C.
Michelle McCloskey, President of Man Americas and Man FRM, Man Group
Neil Messing, Head of Hedge Funds, New York City Office of the Comptroller, Bureau of Asset Management
Jane Buchan, Ph.D., CAIA, Chief Executive Officer, Pacific Alternative Asset Management Company, LLC, (PAAMCO)
- Current State of the Credit Market
- Where are we in the Credit Cycle and how does it Differ from the Past?
- What will be the Catalyst that will cause Credit Spreads to Widen and Defaults to Rise?
- What Impact do you see from Global Central Bank Policy on Risk and Opportunities Across Credit Markets going forward?
- How will the Sector you Invest in Perform when Rates Rise? Is that a Concern and how do you Manage that?
- Where are we at with Regulatory Issues Today? How might Policy Impact Fund Managers and Investors Mandates?
- What Subsectors of Credit are Most Attractive given the Stretched Valuations? Any Areas you are Avoiding?
- High Yield Market – is it possible to see a High Yield Meltdown with a Lack of Liquidity? Understanding the Risk Factors and the Strong Correlation to Equities
- Bank Loans Overview
- State of Securitized Markets – RMBS, CMBS and CLO Overview
- Outlook and Considerations for Structured
- Outlook for Emerging Market Debt
- Opportunities and Risks for Europe and Asia
- Do you see Investors being more willing to Trade Liquidity for Yield and should that be of Concern?
- How much should Plan Sponsors be Allocating to Credit? What is the Optimal Structure to a Credit Portfolio?
- Considerations for Selecting a Manager and Strategy
- What are the Trade-offs between Mid-Market and Large Market Credit Investing?
- Public vs. Private Credit
- Credit Investment Mandates – are they Too Narrow? Which Bucket or Asset Class does it fit into and should it be Defined as Opportunistic Credit?
Steve Woodall, CFA, CAIA, Portfolio Manager, Virginia Retirement System
Mitch Goldstein, Partner, Co-Head of the Ares Credit Group, Ares Management LLC
Stephen L. Nesbitt, CEO, CIO, Cliffwater LLC
Jonathan Dorfman, Senior Managing Partner, Chief Investment Officer, Napier Park Global Capital
Scott Essex, Partner, Co-Head of Private Debt, Partners Group (USA) Inc.
Distressed Investing – Opportunistic and Special Situations
- When will the Vast Sums of Undeployed Capital come in off the Sidelines? Do you Need an Economic Downturn?
- Does the Interest Rate Environment and Fed Balance Sheet Unwind Affect your Plans?
- What are your Expectations for Default Rates going forward?
- Where do you see the Largest Demand from Clients? What are they Most Interested In?
- Where do you see the Best Opportunities over the next 12-24 Months?
- Which Sectors, Strategies and Geographies will create the Best Opportunities? Any Areas that should be Avoided?
- What Distressed Opportunities are we seeing the Energy Sector?
- What are the Opportunities and Risks in Europe? Any Countries, Sectors or Types of Deals that Stand Out?
- Do you see Opportunities in Asia or Elsewhere Globally?
- What’s the Potential Impact of the Debt Piled up by Corporations for their Share Buybacks?
- Will the Prevalent Covenant-Lite Deals create Problems during the Next Cycle?
- What are your thoughts on the Recent Leverage Trends?
- Do you worry about a Liquidity Problem in ETFs and other Structured Credit Vehicles if there is Credit Event?
- Has the Regulatory Environment Changed the Opportunity Set? How has it Impacted your Firm?
- Marketable Distressed Strategies – how Correlated are they to Public Equities? Might they have Merit or is it a Fad?
- What are the Biggest Challenges you face to Delivering Returns?
- How do Investors go about Choosing the Right Distressed Strategy, Investment Style and Approach?
- How will the Different Implementation Approaches affect Expected Returns? Control vs. Non-Control? Private vs. Public?
- Distressed Debt Vehicles in Hedge Fund Format vs. Private Equity Drawdown Structures – what are the Pros and Cons of Each?
- What Skill Sets/Characteristics should Pension Plans look for in a Distressed Manager?
Keith M. Berlin, Director of Global Fixed Income and Credit, Fund Evaluation Group, LLC
Scott Klein, Founding Partner and Co-Chief Investment Officer, Beach Point Capital Management LP
Joe Nelson, Head of Loans, Insight Investment
Jeff Bersh, Co-Chief Investment Officer, Venor Capital Management
- Current Market Environment
- With the Lack of Evidence that Inflation has had a Significant Uptick, what Factors do we need to see for us to Believe that Commodities have Bottomed and we are ready to begin a Reflationary Regime?
- Based on Previous Down Equity Markets, what Performance can we Expect from Commodities if we have Market Turbulence? How Strong is the Correlation?
- What are your Views on particular Sub-Sectors and where are the Pockets of Value?
- How are Renewables Affecting Specific Commodities?
- What Currency or Weather Related Impacts are you seeing on Specific Commodities?
- Investing in Commodities through Private Equity vs. Stocks or Indexes – Benefits and Drawbacks of Each
- True or False – Natural Resource Stocks are Not an Efficient Way to get Commodities Exposure
- Are MLPs more Highly Correlated to Commodity Prices than we thought?
- Investing in Long/Short vs. Long Only
- Active vs. Passive
- Any Recent Developments in Commodities Risk Premia? Smart Beta as applied to Commodities?
- What are the Key Criteria that would lead to Manager Outperformance?
- Risk Factors
Trevor A. Jackson, Jr, Senior Consultant, Summit Strategies Group
Jason M. Kellman, Managing Partner and Chief Investment Officer, Pinnacle Asset Management, L.P.
Roland Morris, Portfolio Manager , VanEck
- Macro Landscape in Energy – is now the Time to be Investing?
- What are the Best Opportunities and Most Attractive Sectors you are seeing Today?
- What Risks do you see that some Investors might not be Considering?
- How Important are the Credit Markets in the Deployment of Private Capital? What have you seen in regards to the Growth of Credit/Lending Energy Strategies?
- How has the Recent Commodity Market Distress Impacted the Balance Sheets of Oil and Gas Companies?
- Public vs. Private Investing in Energy – what are the Advantages and Disadvantages of each?
- Thoughts on Midstream MLPs with their Business of Oil Storage Services and its Cashflow?
- How has the Oilfield Service Industry Impacted Upstream Oil and Gas Operators?
- What does the Future Hold for Shale and Natural Gas?
- ESG Considerations, Climate Change and Portfolio Decarbonization – how do you Deal with LP Concerns on this Issue? Has it Impacted your Fund Commitments?
- How will the Growth of Renewables or Alternative Forms of Energy fit into your Portfolio? Will the Best Opportunities be in the U.S. or in Emerging Markets?
John Nicolini, CFA, Managing Director, Senior Consultant, Verus
Jim Gasperoni, CFA, Head of Real Assets, Aberdeen Standard Investments
Michael Elio, Partner, StepStone Group
- Global Macro Views and Trends in Real Estate
- Is a Correction on the Horizon and How Significant? If so, what is the Single Biggest Risk Factor?
- Challenges of Meeting Target Rate of Return
- What are your Return Expectations for Core?
- Within Non-Core, which Value-Added and Opportunistic Strategies are Most Appealing?
- What is the Biggest Threat to Commercial in the next few years for this Fully Priced Market?
- Do you see a Trend Towards Direct and Away from Commingled Closed-Ended Funds? If so, will it Continue?
- Is the Bridge Financing Opportunity Attractive from Maturing CMBS?
- Debt vs. Equity Preference?
- What’s happening with Leverage?
- Which Property Types are At Risk Today?
- Any Niche Property Types that you Like?
- Analysis of Cap Rates and Vacancy/Occupancy Rates – any Conclusions you can draw?
- Asia and European Real Estate Outlook – Opportunities, Investment Trends and Capital Flows
- Will Co-Investments become more Common?
- Current State of the Real Estate Secondary Market
- Programmatic Joint Ventures – why are these Joint Ventures being done? Will more Pension Plans Team up with Commercial REITs?
- Larger vs. Smaller Fund Size – which ones will Outperform going forward?
- Entry Issues with Open-Ended Funds and Concentration into Fewer Funds?
- What Strategies do you see as the Biggest Risks and the Biggest Rewards/Relative Value for the Future?
Christy Fields, Managing Director – Real Estate, Pension Consulting Alliance, LLC, (PCA)
John Kennedy, Managing Director, Barings
Robert Sessa, CFA, Director of Real Estate, Employees Retirement System of Texas
Mary K. Ludgin, Ph.D., Managing Director, Head of Global Research, Heitman
William T. Hughes, Jr., Ph.D., CFA, Head of Research & Strategy of Real Estate & Private Markets, Managing Director, UBS Asset Management
Infrastructure Market Outlook
- Why should Investors consider Committing Capital to the Infrastructure Space?
- Funding Gap and State of Development of the Infrastructure Asset Class – Where are we now in terms of Appetite/Penetration amongst Investors Allocations? How much Room to Run is there for the Asset Class to Continue to Develop?
- Is there Too Much Money Chasing Too Few Opportunities?
- How has Performance been and what are the Recent Return Expectations?
- How will Opportunities and Returns and be Impacted by Low Oil Prices for an Extended Period?
- What has been the Effects of the Low Interest Rate Environment on Infrastructure and how might that Effect Returns and Leverage Going Forward?
- Which Geographies are Most Appealing? Developed or Emerging Economies?
- Which Sectors are Most Attractive?
- Approach – Greenfield vs. Brownfield?
- Infrastructure Debt – will it deliver for Investors Searching for Yield?
- What are the Biggest Challenges/Risks associated with Infrastructure Investing?
- Opportunities in Public-Private Partnerships?
- Debt Heavy/Equity Shortage Deals – how and when will Pension Investors Overcome this Highly Leveraged Roadblock?
- Listed vs. Unlisted – Which do you Favor in a Rising, Low Volatility Market? Which do you Favor in a Volatile Market for Downside Protection? Does Rising Interest Rates Favor Either?
- Any Advantages or Limitations for Co-Investments? Separate Accounts?
- What are the Advantages of Open-Ended Funds over Closed-Ended Funds? Will we Continue to see a Surge in Open-Ended Funds in the Coming Years?
Paul V. Shantic, Director – Inflation Sensitive Investments, California State Teachers' Retirement System, (CalSTRS)
- Are we at a Market Peak? If so, what Clues Lead you to Believe So?
- Protecting your Current Portfolio – how would you Guard Against your Existing Portfolio?
- What are you doing Differently when Approaching New Investments? How do you Avoid Possible Pitfalls or Getting Involved in Expensive Deals?
- Are High Levels of Dry Powder Here to Stay? Do you Believe it will Impact Returns?
- Thoughts on GP Stakes being Bought by Dyal, Petershill and Others? Any Implications?
- Subscription Lines of Credit – how do the Pro’s and Con’s Stack Up and what are the Risks to LPs? Thoughts on ILPA’s Guidelines?
- For Buyouts, what Sectors or Geographies do you Favor? What Sectors do you tend to Avoid in this Environment and why?
- Do you Prefer Buyouts or Growth Equity over the next few years and why?
- Does the Huge Growth in Co-Investments in Recent Years make you Cautious if the Cycle Turns?
- Understanding the Trends and Performance of Co-Investments in Small, Medium and Large Buyouts. Where do Co-Investments make the Most Sense?
- Where are we in the Private Credit Cycle right now and where can we find Good Returns Without Taking Inordinate Risk?
- State of the Venture Industry – Fundraising Environment, Valuations and Exit Market
- Venture Capital Winners – Limited Access to the Top Few VCs that Generate the Bulk of the Industry’s Returns? What’s the Best Approach to this Challenge?
- Secondaries Deal Volume, Pricing, Pressures and Future Expectations
- Why should Secondaries be a Core Holding?
- Issues, Outlook and Opportunities for European PE
- Have you taken Steps to Diversify your PE Portfolio and find Investments with a Non-Correlation to the PE Space in General? Which of these Non-Correlation Strategies have you Allocated to or Favor?
- Transparency and Fees – As an LP, what do you Need and how do you Get It? What is the SEC’s Impact on your Ability to get the Information you Require?
- Have you gotten More Involved in your GPs Valuation Process? How have you Achieved this Transparency Demand?
Harshal Shah, CFA, Senior Vice President, Private Equity Research Group, Callan
Bernard Yancovich, Managing Director, GCM Grosvenor
Rod June, Chief Investment Officer, Los Angeles City Employees' Retirement System, (LACERS)
David S. Young, Jr., Managing Director, Makena Capital Management, LLC
John Clark, CFA, President, Performance Equity Management, LLC
(A) Risks, Allocations and Macro-Based Decisions
- In this Low Growth, Low Return and Fully-Valued Environment, how has it Impacted your Investment Program and your Asset Allocation? What Steps have you Taken?
- Is there a Good Way to Hedge your Longevity Risk?
- What’s your Opinion on the Sustainability of the Stock Market Rally? Thoughts on Central Banks Monetary Policy, Tapering and Balance Sheet Reduction?
- Are there any Strategies you like that provide a Low or Non-Correlation to Traditional Investments that can Provide Outsized Returns during Periods of Market Stress?
- What Strategies does your Fund utilize that will Protect against Interest Rate Risk and Duration Risk?
- Are you Positioning for a Reflationary Regime or Hedging Against the Risk of Further Deflation and why?
- What De-Risking Strategies or Risk Management Approaches has your Fund Integrated into the Investment Decision Process?
- Does LDI or Risk Parity Make Sense Now Considering Current and Future Market Conditions?
- Do you Incorporate Multi-Asset Investing and do you believe it can Limit Downside Risk?
- Do you believe your Hedge Fund Strategies will provide a Cushion for the next Market Downturn? How do you use them to Reduce Risk?
- Have you Trended Towards a Passive Equity Allocation? When Volatility Rises, do you Believe Active Managers will Outperform?
- What do you feel is the proper Emerging Markets Allocation and are there any Regional or Frontier Strategies that interest you?
- Have you made Long-Term Cash Flow Investments through Partnerships and Co-Investment Structures?
- Do you Believe the Impact of Regulation has Created a Reduction in Market Liquidity? Has it Impacted your Fund or Decisions? Will there be Sufficient Liquidity in the System to Cope with Conditions of Market Stress?
(B) Alignment of Interests
- What Changes or Trends have you noticed in Fee Structures/Terms and your Bargaining Power?
- How to Respond to Legislative Demands for more Transparency on Profit Sharing/Carried Interest
- Governance Issues Surrounding Investment Programs – how has this been the Basis for Success or the Lack Thereof at Many Programs?
- Should there be an Industry-Wide Threshold (perhaps 3% - 4%), before Carried Interest Kicks In? Is there a Way to go about Making Progress with this Issue?
- What Tactics work best for you when attempting to Negotiate Private Placement Agreements?
- Do You and Your Investment Departments have the Authority to be a Dynamic, Tactical and Active Investor In Response to Extreme Economic Conditions?
- Any Important Lessons Learned that you can Share from your Individual Plan Experiences?
Andrew Junkin, CFA, CAIA, President, Wilshire Consulting
Russell Read, Chief Investment Officer, Alaska Permanent Fund Corporation
Mansco Perry III, CFA, CAIA, Executive Director, Chief Investment Officer, Minnesota State Board of Investment
Scott C. Evans, CFA, Deputy Comptroller - Asset Management & Chief Investment Officer, New York City Office of the Comptroller, Bureau of Asset Management
Craig Husting, CFA, Chief Investment Officer, Public School & Education Employee Retirement Systems of Missouri, (PSRS/PEERS)
Tickets for Networking Event handed out in Conference Room
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Wine Tasting Networking Dinner
Hosted by The Pension Bridge – Join our group at for a wine tasting and dinner at the Press Club, located just next door to the Four Seasons. Meet your industry peers in great setting as California Wine Country comes to the heart of the city. Experience the finest winemakers with new and rare vintages. We’ll have a fun wine tasting reception, followed by a tasteful dinner with the highest quality organic ingredients. The Pension Bridge will utilize the 9000 square feet of the award winning “Best Restaurant Design” event space for networking for our high quality conference group.
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