Workshops

D1: Recent academic evidence on the performance of the fund management industry

The vast majority of the academic literature on fund manager performance suggests that active managers cannot generate alpha, cannot time the market, and instead poor performance tends to persist.  In this workshop Andrew Clare will review some of this evidence and will:
Argue that the extant literature on this subject may be underestimating the number of fund managers that can outperform the market; and
Explore the related evidence on simple investment strategies that do seem to produce alpha over long periods of time.

Speaker: Professor Andrew Clare, CASS Business School

D2: Risk and compensation

German banks (especially the public sector Landesbanken) have been some of the hardest hit by the financial crisis. In response, the authorities have introduced various laws and regulations, based on international guidelines, requiring financial institutions to manage risk and ensure that the compensation of “risk-takers” and managers is aligned with the actual risks being taken.  Key issues have been how to define and measure “risk” and how long a period should an employee’s pay package be at risk of possible claw-back.  This highly topical session examines why these changes have been introduced and how firms are responding.

Speakers: Peter Devlin, Deloitte Consulting, Germany and
FSA speaker to be confirmed

D3: Risk adjusted performance measurement working party

Performance measurement within financial firms typically takes the form of some measurement of profit expressed as a percentage of committed capital resources.  The working party contrasts various approaches for risk adjustments, both to the numerator and the denominator. These include the use of CAPM and replicating portfolio approaches as examples of methodologies that rely on a separation of market and non-market risk. We also look at non-risk adjustments which may bias performance measures. These include allowances for frictional costs, illiquidity costs and premiums, risk and service margins as well as equity risk premiums within liability measurement, leading to higher initial liabilities and a subsequent source of profit.

Speaker: Andrew Smith, Deloitte