• Defining alternative beta and alternative alpha
• Which alternative beta can be replicated at low cost?
• Actual replication experience
• How can replication help to build better portfolios?

• Pure alpha - the ultimate way of separating alpha and beta
• What is our experience at AP 7?
• Will managers take on the challenge?

• Diversified exposure to the FX markets
• Investments versus funding applications
• Optimised currency and volatility exposure

• Beta return replication
• Alpha return generation
• Effective solution to Investors: core–satellite fund

• What are the benefits of a regression approach?
• Which index to replicate?
• Modelling before fees or after fees: does it matter?
• How can these products be used in practice?

• Modeling and benchmarking hedge fund returns
• Linear factor replication: issues
• Alternative Beta Strategies - steps to accessing the real benefits of hedge funds

• Should alpha be measured against a hedge fund index?
• Clarifying common alpha, beta and benchmarking misnomers
• Indexation strategies pave the way for hedge fund replication models
• Hedge fund replication models - tapping into alternative beta

• Embedding non-linear dynamics through rule-based trading strategies
• Customized replication by fund class
• Quantitative non-linear models for dynamic weightings of instruments and strategies
• Trade-off between tracking risk, total risk and turnover
• Review of alt-era since launch date

• What are the benefits of a strategy-by-strategy approach?
• Which strategies can and cannot be replicated?
• Is there a danger that trades become too “crowded”?
• What are the pitfalls and challenges of this approach?
• What does the future hold for product development in this space?

• Hedge fund returns: absolute returns or just alternative risk premia?
• If systematic risks come from alternative betas then what drives tail risk?
• Can the risk in alternative risk premia be managed passively?

• Benchmarking of hedge funds
• Segregating alpha producers from the rest
• Active-passive Investing in hedge funds
• New fee contracts with new hurdle rates?
• Landscape in the next five years – a conjecture

• Using alternative beta overlays to adjust risk and fine-tune exposures
• Using replication algorithms to benchmark and reward managers
• Is my manager “factorisable?” How can alternative beta aid manager selection?
• Using alternative beta trackers as shorting instruments
• Hedging failed managers with long lock-ups
• How alternative beta facilitates true portable alpha

• Identifying alternative beta in hedge funds
• How important are non linearity and time lag effects in analysing hedge fund risk?
• How can we properly integrate non-linear behaviour, correlation breaks under a market crisis and lagged impact within a structured framework?
• How can these concepts be used in portfolio construction and risk mitigation?

• Acceptable and unacceptable downside risk
• When is a fat tail good? When is it bad?
• The dangers of using standard statistical tools
• What’s the alternative to normal distributions?
• Getting reliable statistics from small data samples
• Understanding omega metrics tail risk analysis

• An opportunity to quiz leading researchers, academics and product developers

• Conventional wisdom on equity market neutrality
• Volatility: be careful what you wish for, because you may get it
• Summer 2007: was it a failure of "market neutrality"?
• Present and future scenarios in market neutral land

• What is the track record of synthetic offerings to date?
• Have they lived up to their promises: in sample vs out-of-sample results?
• What have been the reasons for divergence from “expected” performance?
• What lessons have been learned? 

Expert panel of product providers to be selected in early 2008

• Do you believe that hedge fund replication will deliver what it promises?
• Which approaches do you think will prove to be the most robust?
• How will synthetic replication change the way investors think about hedge funds?
• Are there better ways that investors can harvest these “alternative beta” risk premiums?
• As an investor, what are the “take-aways” from the last two days?

The operation of robust risk budgeting and risk management procedures is fundamental to the investment process of all institutional investors. Within this, risk transparency is becoming an ever more important and topical issue.

This “Risk Workshop” is tailored to the needs of institutional investors in hedge funds, including; funds of hedge funds, pension plan sponsors, large family offices, endowments and institutions, traditional multi-manager providers expanding into alternative investments, investment advisors and consultants.

Workshop participants will learn, from one of the industry’s most respected practitioners, sophisticated techniques for incorporating risk and liquidity issues into the investment process, with particular emphasis on the crucial issue of risk transparency.

Workshop led by:

Dr Raphael Douady, Founder & Head of Research, Riskdata S.A.

• How to integrate uncertainty on expected future performance and liquidity problems within the portfolio construction process
• How to enhance the investment process using a risk budgeting framework

• For operational risk monitoring
• To feed an Asset Liability Management process

• How can we assess an indicator’s reliability?
• Out of sample back testing