4th Risk and Performance Summit
August 18, 2022
The Fullerton Hotel Sydney
Agenda
09.00-09.15 // Welcome and conference opening
09.15-10.00 // Performing in a perfect storm: investment risk management into 2023
Managing the risk/return trade-off has never been more challenging, with risk, volatility, capacity and performance pressures at an all-time high. This session will discuss how to optimise investment risk and performance through 2023 and beyond:
- Modelling portfolio risk in volatile markets.
- Known knowns, known unknowns and unknown unknowns: stress-testing & scenario analysis into 2023.
- Alpha opportunities or hamstrung by regulation: reviewing YFYS.
Kate Griffin
Divisional Risk Manager – Investments,
Australian Retirement Trust
10.00-10.45 // Rethinking benchmark selection
The world has changed dramatically over the course of the past few years. In this new environment, are your go-to benchmarks still fit for purpose? This session will discuss best practice benchmark selection in light of new market conditions:
- What tools and analytics can help to understand risk structures embedded in different benchmarks?
- Managing for ex-ante tracking errors and benchmark mismatches.
- Planning for an evolving regulatory landscape: reviewing ‘Your Future Your Super’ and its potential impact on benchmark selection.
- What are the implications for alternative/ ESG investments?
Christopher Worthington
Head of Quant & Risk,
JANA
10.45-11.15 // Refreshments and networking
11.15-12.00 // Performance infrastructure: building for the future
This session will discuss how different asset owners and managers are re-designing performance teams, along with the solutions that are put in place or built:
- Off-the-shelf, internal build, or a combination of the two?
- Tools to support bespoke/internal solutions.
- Common drawbacks and limitations of performance systems.
- Customisation and self-service.
- Resource and skill requirements.
- How involved/responsible should performance team be for data feeding into systems?
- Outsourcing performance: a feasible alternative?
12.00-12.45 // Multi-asset class attribution: a deep dive
This session will discuss different approaches to multi-asset class attribution:
- Top-down or bottom-up?
- Does a Brinson-style attribution make sense?
- Decision process attribution and the incorporation of holistic investment decisions across a multi-asset class design.
- Structuring by traditional asset class or by ‘betas’ (risks)?
- Measuring benefits of diversification.
- Capturing unlisted assets as part of the process.
- Incorporating different views and perspectives.
Victor Ng
Senior Analyst – Data & Reporting,
Aware Super
12.45-13.45 // Lunch & networking
13.45-14.30 // Fixed income attribution: furthering best practice
This session will discuss different approaches to fixed income attribution undertaken by asset managers and asset owners across the market:
- Different approaches to 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.
14.30-15.15 // Reporting: mastering the regulatory challenge and beyond
Transparency and disclosure are increasingly important, both to regulators and the broader public at large. This session will discuss the future of reporting, from both a regulatory and a client perspective, and the challenges this presents.
How can organisations streamline the flow of regulatory data requirements and what are the next-level communications to improve client engagement?
- Streamlining data requirements to support Portfolio Holdings Disclosure and APRA asset allocation and exposure reporting requirements, including SPS 530, SRS 550 and SRS 705.
- Reporting technology and the advent of no/low code solutions.
- Uplifting client reporting.
15.15-15.45 // Refreshments and networking
15.45-16.30 // Cutting edge: crypto risk and performance
Many investment managers are starting to consider investing in crypto assets as part of a diversified long-term portfolio. This session will discuss the implications for risk and performance teams:
- Risk-modelling crypto assets.
- Appropriate valuation and performance methods and benchmarks.
- Common challenges and how to manage these.
16.30-17.15 // Managing for a talent shortage: skills, culture and talent management (joint plenary held in hotel ballroom)
As organisations become more data-centric, the investment data and technology landscape is struggling with a significant talent shortage. This session will discuss practical ways in which organisations can attract and up-skill talent to create high-performing analytics teams, while also creating a data culture that supports data governance, instills confidence in enterprise-wide data and supports investment analytics at scale.
- What core capabilities and skillsets are required to project manage, implement change and develop a data culture?
- Who owns data and technology and what’s the role played by IT?
- How can firms attract and retain much coveted data and quant talent?
17.15-18.15 // Drinks and canapes