6th Risk and Performance Summit
4 September 2024
The Fullerton Hotel Sydney
Agenda
09.00-09.10 // Welcome and conference opening
09.10-10.00 // Investment risk management into 2025
High valuations; the dominance of the magnificent seven; technological disruption; the possibility of Trump 2. There is no shortage of risks in a market which appears to operate on increasingly short cycles. This session will discuss key themes and investment risks moving into 2025; scenario analyses and stress-testing methodologies that are being applied; and implications for portfolio management:
- Identifying and evaluating risks and returns into 2025.
- Risk modelling technological disruption and political change.
- How can investment risk modelling, stress-testing and scenario analysis improve investment decision-making.
10.00-10.45 // The whole of portfolio view: building resilience across portfolios
Whole of portfolio look through and risk management remains a sizeable challenge for many if not all firms, particularly in periods of high volatility. This session will discuss how different fund managers are identifying, tracking and measuring portfolio resilience across multiple investment portfolios:
- How relevant / reliable are off-the-shelf systems to measure risk across multi-asset portfolios?
- Where there are gaps, what assumptions are made and how reliable are the outputs?
- Where different risk models interact, how can firms get a reliable whole of portfolio perspective?
- Incorporating unlisted assets: challenges and solutions.
Helen Llorente (Chair)
Senior Investment Risk Manager,
Mercer Super Trust
10.45-11.15 // Refreshments and networking
11.15-12.00 // Concentration risk: thematics, risk modelling and portfolio management considerations
Concentration risk looms large in today’s markets. That is both the case in stock markets, as evidenced by a small number of outperforming stocks and themes; as well as on the investment management front where a smaller number of investors manage a growing pool of assets – either internally, and/or through M&A.
This session will discuss how investment risk teams are identifying, tracking and measuring concentration risks across portfolios; the challenges that arise when high performers are heavily concentrated and the contribution that investment risk teams can bring to portfolio management decisions:
- Is there a systematic bias to align a portfolio relative to an index?
- How to manage and reduce concentration risk to sector, country or investment manager?
12.00-12.30 // What’s under the hood?: adequately capturing ESG risks
ESG investing is gaining prominence, emphasising the critical importance of a thorough understanding and access to comprehensive data for informed decision-making. This presentation will discuss how firms can identify, track and monitor ESG across investment portfolios:
- Value add gained from ESG investing in terms of returns and mitigating risk.
- Data requirements and challenges.
- Approaches in overcoming data challenges.
12.30-13.30 // Lunch & networking
13.30-14.15 // Improving dynamic asset allocation
As investment cycles become shorter and more volatile, the case for dynamic asset allocation becomes more compelling. This session will discuss how investment risk and performance teams can contribute to improving dynamic asset allocation decisions:
- Are current risk systems fit for purpose in a higher volatility environment?
- SAA vs DAA: identifying appropriate risk assumptions and metrics.
- Best-practice DAA risk frameworks: understanding the risk contribution of DAA decisions.
- Performance and reporting challenges and solutions.
14.15-15.00 // Rebalancing in focus
With member switching on the rise, many funds are rethinking rebalancing models and frameworks. This session will discuss how funds can design a rebalancing framework that aligns with both risk tolerances and performance goals:
- Rethinking the traditional single banker model.
- What is the optimum rebalancing threshold / frequency.
- Attribution challenges: assessing the value-add of rebalancing processes.
- Data, input and system challenges.
15.00-15.30 // Refreshments and networking
15.30-16.15 // Bridging organisational and geographic gaps in performance
As investment teams grow larger and are more geographically spread out, performance teams are under pressure to meet increased demand for their services without the proximity and depth of relationships that the traditional operating set up would have afforded. This session will discuss how performance and investment teams can maintain in-depth relationships in a geographically dispersed operating environment:
- Structuring performance functions to meet increasing demands, different timezones and varying stakeholder expectations.
- What processes, systems and training can help improve connectivity between geographically disparate teams?
- Practicalities of ‘following the sun’.
16.15-16.45 // The ‘Peer Perspective’
This session will discuss the role that ‘peer risk’ is playing in today’s risk and performance landscape and how investment risk and performance practitioners are managing for these challenges:
- Cause and effect: what is driving the growing focus on peer risk?
- Pressure to conform: How are peer comparisons impacting on individual funds’ investment philosophies and strategies?
- Implications for risk and performance teams: how feasible and practical is it to understand other funds’ drivers of risk and performance?
- How are funds across the industry positioned & opportunities for funds to differentiate?
16.45-18.00 // Networking reception, drinks and canapés