3rd Investment Implementation Summit
Agenda - May / June, 2020
May 5, 11am
Derivatives: delivering performance in the event of surprise
Derivatives strategies can be complex, but they also provide valuable investor information, hedging capabilities and transaction cost efficiencies. This session will discuss how investment managers can use equity options to enhance risk profiles and deliver performance in turbulent markets. It will also consider pricing structures, broker commissions and how to assess whether you are achieving and/or receiving quality execution.
Discussion / Q&A
May 7, 11am
Re-examining tactical asset allocation
This panel will re-examine the value of tactical asset allocation in the context of the recent crisis.
How have funds that deploy TAA techniques held up compared to those that don’t in recent months?
When and how does tactical asset allocation add value to portfolios compared to other strategies such as structured rebalancing and operational alpha?
What scale do you need to have for tactical asset allocation to make sense in house?
What are the implementation considerations to ensure TAA adds, rather than detracts from value?
Global Head of Governance Consulting,
Willis Towers Watson
May 12, 11am
Fixed income markets: achieving best execution in times of stress
Fixed income markets have been under significant stress in recent months, a situation further complicated by the complexity and fragmented nature of liquidity of many fixed income instruments. This session will discuss lessons from the current crisis with respect to navigating liquidity in fixed income markets; how to manage best execution; the extent to which electronification is facilitating dealer selection and execution and how fixed income trading desks can best position.
May 14, 11am
FX hedging in unprecedented markets
FX hedging programs are under review as Corona volatility has spilled over into currency markets. This session will discuss optimising FX hedging overlays and execution in times of stress.
Head of Currency Overlay,
National Australia Bank
May 19, 11am
Funds have been under pressure to rebalance to maintain their strategic asset allocation. This session will discuss optimal timing, rebalancing techniques and liquidity considerations in dislocated markets.
Head of Research,
Ardea Investment Management
May 21, 11am
Benchmarking for the future
The clock is ticking on the likely end of LIBOR but liquidity in markets referencing risk-free rates is slow to develop, leaving firms hesitant to trade RFRs. This in turn is hampering the development of a liquid curve. What are the cost-benefit considerations for buy-side firms trading in contracts that reference LIBOR to switch to RFRs? When is the optimum time to start transitioning? What at are pricing implications and what fallback provisions are in place to converse legacy contracts in the event LIBOR is discontinued?
Senior Manager, Interest Rate Products,
Australian Securities Exchange
May 26, 11am
Investment implementation in the wake of the 'heatmap'
The performance of superannuation funds has come under increased scrutiny, with the Australian Prudential Regulation Authority’s “heatmap” of MySuper products. This session will discuss the impact of this initiative on investment implementation. What are key sources of implementation leakage and what role does investment implementation play in the outperformance and underperformance of funds.
May 28, 11am
Best execution in a crisis: the algo versus the desk
The recent market turmoil has put even the most seasoned traders and well-designed algorithms to the test.
This session will discuss the challenges facing traders during the crisis, the performance of different styles of
algorithms, the benefits and limitations of algo wheels in aiding the algorithm selection process and the role
of the trading desk in navigating liquidity and volatility.
Director of Institutional Sales,
June 2, 11am
Liquidity, price discovery and the closing auction
The recent crisis has triggered some of the largest market swings in history. This session will discuss lessons
from the crisis with respect to liquidity and price discovery at different times of day, and how to navigate the
market going forward.
University of Sydney