Asset Allocation Summit February 4, 5 & 6, 2009 Toronto

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Workshops

Workshops 1:

9:00-noon   -   Trends and Evaluation of Asset Allocation Strategies
Wayne Morgan, Manager, Risk & Investment Analytics, RBC Dexia Investor Services

Since the repeal of the foreign content restriction a few years ago, the range of investment options available for plan sponsors has increased. Increasingly, plan sponsors and institutional investors need to not only know what their returns are but also where the investment strategies have succeeded and where they have failed. They must also understand the strengths and challenges of their approach. Measuring the performance and risk of the investments and attributing the results is one of the most important and difficult parts of their job. New and risky asset classes, volatile markets and keeping up with the latest methodologies only add to the challenge. This interactive workshop will provide you with practical techniques for quantitatively and qualitatively measuring investment and fund manager performance.

? Elements of performance evaluation and determining whether performance is based on manager's strategy or skill
? Risk analytics: how to use absolute and relative risk measures in managing a portfolio
? What is appropriate to what fund?
? What is a fair comparison: Peers? Benchmarks?
? VaR as a portfolio management tool
? How to tie it all together to understand the message and fulfill your governance duty


Wayne Morgan is Manager, Risk & Investment Analytics, at RBC Dexia Investor Services. RBC Dexia Investor Services, established January 2006, is a joint venture equally owned by Royal Bank of Canada and Dexia – the first of its kind in the institutional investor services market. RBC Dexia Investor Services partners with clients, using their insight, global reach and commitment to excellence to enhance their business results.


Workshops 2:

1:30-4:30   -   Increasing Pension Plan Utility through Liability-Driven Investing
Robert Chepelsky, Principal, Morneau Sobeco

The recent volatility in stock markets and interest rates, has given many pension funds a wake-up call to look at their plan investments in a different way. Many plans are now pursuing investment strategies that provide a better match to their future liabilities and hence limit volatility in their plan's funded status and related pension expense. This has led plans to contemplate establishing a liability-driven investment (LDI) strategy. But what is LDI and how does it differ from the traditional approach to asset allocation? Is this the best approach to take? The answer may be in what you consider to be your "liability" and how differences between this liability and your asset base affect your "utility." Join this interactive workshop and discover how you can invest assets with a much sharper eye on funding liabilities and increasing utility, including such issues as:

? What is wrong, if anything, with current approaches to asset allocation?
? Identifying what liabilities to hedge: measuring risk
? Dissecting utility into its components and applying them to asset mix decisions
? Different immunization strategies available and when and how to use them
? Blending liability matching approaches with return-enhancing strategies
? Measuring LDI performance
? Fee implications for LDI strategies


Robert Chepelsky joined Morneau Sobeco in 2002, and is a Principal in Morneau Sobeco's Asset Management consulting practice. Rob has 15 years experience in the investment and risk management fields. His most recent position before joining Morneau Sobeco was as a Portfolio Manager for an investment counseling firm, where he managed the firm's fixed income assets and currency allocations. Previous to his work in the counseling industry he worked as an Asset and Liability Analyst at a large insurance company.