5th Risk & Performance Summit
22 August 2023
The Fullerton Hotel Sydney
Agenda
09.00-09.10 // Welcome and conference opening
09.10-10.00 // Modelling for a changing paradigm
Charging inflation, rapidly rising interest rates, geopolitical crises and tensions and growing protectionism have increased volatility and correlations and are fundamentally challenging investment return assumptions and risk models with it. The threat of contagion in the banking system is fuelling further market turmoil. This session will discuss the implications for investment risk modelling going forward.
- How has the risk/return landscape changed and what’s the outlook for the next 12 months?
- What are the relevant time horizons and optimum historical data sets to inform risk models?
- Model validation: critically assessing correlations and risk estimates
- Common weaknesses in risk models: where do models typically break down?
- Updating stress-testing and scenario analyses
- From theory to practice: using model outputs to potentially change allocations and/or implement hedges
Michael Sommers
General Manager – Portfolio Construction & Risk,
HESTA
10.00-10.45 // Squaring the circle: Asset allocation, CPI+ targets and the YFYS benchmark
This session will discuss how investment managers are managing higher inflation and CPI+ targets, alongside performance benchmarks and the need to pass the YFYS test. It will consider:
- Modelling inflation and interest rate risk exposures
- How are funds using investment risk models to make asset allocation or hedging / risk management decisions?
- How are funds incorporating YFYS objectives, risk assessment and stochastic modelling into portfolio construction?
- What tools are used to manage these risks?
- The role for unlisted assets in portfolios
10.45-11.15 // Refreshments and networking
11.15-12.00 // Uplifting the role of risk and performance in portfolio management
This session will discuss how firms are uplifting standards, along with the role of investment risk and performance insights in investment decision-making. It will consider:
- Integrating ex ante and ex post insights in portfolio management
- Calibrating models to achieve optimum functionality
- Tools, systems, database considerations and the role for AI
- Evaluating different opinions
- Skin in the game: who carries the risk if decisions are suboptimal?
- Unofficial performance analytics: use cases
- Following the sun: expanding global operations
12.00-12.45 // Currency risk and performance in volatile markets
This session will discuss how different investment managers model, manage and measure currency exposures in light of current market conditions. It will consider:
- How are different funds treating currency exposures in portfolios?
- Modelling currency risk
- Rethinking hedging ratios
- Performance attribution challenges: assessing and disaggregating the performance of currency overlays and exposures
12.45-13.45 // Lunch & networking
13.45-14.15 // Geopolitical risk in focus
This presentation will explore how institutional investors can model geopolitical investment risk using analytical tools. Using the evolving situation with respect to China and Taiwan as a case study, it will consider:
- Lessons from ‘Brexit’, COVID and Russia
- Insights from options pricing analysis
- Modelling fat tails versus ‘Black Swans’
- From theory to practice: using model outputs to potentially change allocations and/or implement hedges
- Timing is everything: how to decide when to get out
14.15-15.00 // Climate modelling as an investment risk function
In many investment management organisations, climate risk and performance falls under the ESG investment teams. However, with energy stocks outperforming, the confluence with geopolitical risk and a growing regulatory focus on scenario analysis and stress testing for climate risk, this is increasingly pushed into the investment risk space.
This session will explore:
- The role of the investment risk and performance functions in modelling, monitoring and measuring climate risk and ESG more broadly
- Best practice scenario analysis and stress-testing
- Risk models: evaluating different solutions
- Benchmarking performance
15.00-15.30 // Refreshments and networking
15.30-16.15 // Measuring performance of ‘benchmark agnostic’ portfolios
This session will discuss challenges and solutions with respect to performance measurement and attribution in the absence of a relative benchmark, as can be the case with multi-asset portfolios and alternative portfolios that are held to hedge a risk or provide uncorrelated return streams.
- Performance attribution in the absence of an SAA/performance benchmark
- SAA/DAA attribution: monitoring the performance of internal investment teams
- Measures of portfolio diversification and risk-equivalency
Razfi Halith
Manager – Risk and Performance Analytics,
IFM Investors
16.15-17.00 // Fixed income: furthering best practice
This session will discuss how different investment managers optimise analytics and investment performance in fixed income markets. It will consider:
- Different approaches to pre-trade analytics, attribution and reporting.
- How to ensure the attribution matches the investment strategy.
- Managing fixed income data; portfolio and market data implications.
- Adding value: understanding results and challenging investment teams.
Senior Investment Performance Analyst – Fixed Income & Multi-Asset,
Perpetual Investments
17.00-18.00 // Networking reception, drinks and canapés