High-Performance Investing Symposium

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G L O B A L O R G A N I S E R S O F I N S T I T U T I O N A L F I N A N C E & I N V E S T M E N T C O N F E R E N C E S High-Performance
Investing Symposium THE NINTH ANNUAL MONACO High-Performance
Investing Symposium Europes Definitive High-Profile Investment Symposium Europes Definitive High-Profile Investment Symposium PLEASE VISIT www .imn.org/hedgemonaco/m FOR PR OGRAMME UPD ATES AGENDA UPDA TED DAIL Y With The Participation Of: S.A.S. LE PRI NC E ALBERT DE MONACO (Invited) Gala Opening Night Cocktail Reception Courtesy Of: & & 19 TH -21 ST SEPTEMBER 2004 Ho t e l d e Pa ri s Ho t e l He r m i t a g e Sp o r t i n g d Hi ve r MONTE-CARLO, MONACO 2 l To Register For This Symposium, Please Visit: www.imn.org/hedgemonaco/m THE SYMPOSIUM ORGANISER Information Management Network (IMN) was established in 1994 and is a leading organiser of educational and
networking programmes for business executives worldwide. Our flagship High-Performance and Hedge Fund Investing
programmes attract leading industry executives to Monaco and Milan each Autumn. In addition, IMN organises closed-
door Capital Introduction Hedge Fund Roundtables each year in the US and Europe. We take exceptional pride in the
quality of our delegates, speakers and programmes. www.imn.org
Frank J Fabozzi, PhD, CFA, an Adjunct Professor of Finance at Yale University's School of Management and the editor
of the Journal of Portfolio Management, is a principal advisor to IMN. He has authored and edited over 100 highly-
acclaimed books, including such standards as The Handbook of Fixed-Income Securities and The Handbook of
Mortgage-Backed Securities. www.frankfabozzi.com THE NINTH ANNUAL MONACO SYMPOSIUM IMNs Ninth Annual High-Performance Investing Symposium will be held at the Hotel de Paris, Hotel Hermitage and
the Sporting dHiver in Monte-Carlo, Monaco on 19 TH -21 ST September 2004. This unique event, co-chaired by Joel Press of Ernst & Young LLP and Jean Karoubi of The Longchamp Group, brings together leading European and US investors,
managers and intermediaries in an elegant setting.
On the afternoon of 21 ST September, IMN will present the Third Annual Monaco Capital Introduction Hedge Fund Roundtable. This closed-door invitation-only event will provide an excellent opportunity for invited investors and
leading managers to meet privately following the conclusion of the Symposium sessions. The Roundtable sessions will
be followed by a gala Cocktail Reception for all Roundtable participants at the Hotel de Paris. THE PRINCIPALITY OF Monaco & The Symposium Venues Monaco, an exquisite emerald in a setting of craggy rocks rising from the azure-blue Mediterranean Sea, basks between
enchanting French Medieval villages and the ski trails of the Alps. With over 300 days of sunshine a year and mild
temperatures, it celebrates the arts, culture, outstanding cuisine, restoration of mind and body, and features the Formula
1 Grand Prix, casino gaming, land and water sports and exciting nightlife. Monaco is on the Riviera between Provence
and Italy, close to the museums of Nice and the glamorous shopping boulevards of Cannes.
Hotel de Paris. In the heart of Monte-Carlo, the Hotel de Paris is a real golden legend. For more than a century, the
splendid traditions of the establishment have been passed on and maintained. It has been the home-away-from-home
for kings, magnates and movie stars and its Louis XV restaurant is world famous. Today, staying at the Hotel de Paris
is a dazzling experience, taking you back to the luxurious elegance of the turn of the century.
Hotel Hermitage. Built in the early 1900s, the Hotel Hermitage is today a historical monument and a masterpiece
of elegance. Another spot favoured by royalty, its unique Belle Epoque atmosphere is embellished by the magnificent
dome of the Jardin dHiver, built by Gustave Eiffel. The Hotel Hermitage majestically overlooks the harbour and the
Rock of Monaco. The panoramic view from its terrace is one of the most spectacular in the Principality. After several
months of renovation work and redecorating, the Hotel Hermitage is a member of "The Leading Hotels of the World".
The Sporting d'Hiver is a multi-purpose facility located in close proximity to the Hotel de Paris and Hotel Hermitage.
Most of our educational sessions will be held at the Sporting d'Hiver, while the majority of the networking events will
be held at the Hotel de Paris and Hotel Hermitage. (please see the programme agenda for details). Important Note: Delegates wishing to reserve rooms at the Hotel de Paris or Hotel Hermitage must fax the Hotel Reservation Form (downloaded from the IMN website at www.imn.org) directly to Monaco. The Hotels will not accept reservations by phone. Rooms at the IMN Symposium rate are limited, so please reserve early. Cancellation fees may apply; please see the Hotel Reservation Form for complete details. ABOUT ... INFORMATION MANAGEMENT NETWORK Email: mail@imn.org Tel: +1-212-768-2800 Fax: +1-212-768-2484 l 3 S UNDAY E VENING , 19 TH S EPTEMBER 2004 18.30 Gala Opening Night Cocktail Reception For All Delegates Courtesy Of: (15 Avenue dOstende, Monte-Carlo, Monaco) 20.30 Sunday Programme Concludes M ONDAY M ORNING , 20 TH S EPTEMBER 2004 Note: All Symposium Sessions will be held at Sporting d'Hiver, unless otherwise indicated 08.00 Registration...Continental Breakfast
Exhibit Hall Opens (Salle Francois Blanc, Sporting d'Hiver) 08.40 OPENING REMARKS FROM INFORMATION MANAGEMENT NETWORK &
INTRODUCTION OF SYMPOSIUM CHAIRMEN (Salle des Arts, Sporting d'Hiver) 08.45 CHAIRMENS OPENING REMARKS: JOEL PRESS, Partner ERNST & YOUNG LLP
JEAN KAROUBI, President THE LONGCHAMP GROUP 09.00 HOW CAN AN INDUSTRY THAT PRIDES ITSELF ON INGENUITY COPE WITH THE
EFFECTS OF AN INCREASINGLY INSTITUTIONAL INVESTOR BASE? Regulation:Which issues is the SEC focusing on that may change the game? Are prime brokerage
fees and capital introduction issues next on regulators' radar? Brain drain at the investment
banksare the newly independent managers at a competitive advantage or at a disadvantage
compared with their former colleagues? Does a manager's geographic base affect his ability to
compete in regional markets? Importance of hedge fund indexing & investable Index Products
Structured products: are all investors affected by the leverage and principal protection being used
by more and more funds-of-funds and institutions? The evolving role of Incubators 10.00 HEDGE FUND ASSET ALLOCATION IN THE CURRENT ENVIRONMENT: FINDING
WINNING POSITIONS IN A YEAR OF DISAPPOINTING RETURNS Relative opportunity around the globe Productivity & demographic trends worldwide
Terrorism concerns, record defecits and rising interest rates: how to react? Strategy allocations
US range-bound trading: which way the breakout? when? $40+ oil forever? Volatility levels:
when will they turn up? Leverage, derivatives and the demise of the carry trade. If going
directional, in what direction? Have arbitrage opportunities been arbitraged away? 11.15 Refreshments 11.45 KEYNOTE MORNING ADDRESS Tanya Styblo Beder, Chief Executive Officer
TRIBECA INVESTMENTS LLC, CITIGROUP ALTERNATIVE INVESTMENTS 12.15 CASE STUDIES: INVESTABLE EVENTS Managers in event-driven, special situation and capital structure arbitrage strategies analyse recent
corporate events in detail, diagramming the different trades and sub-trades they made, wish they
made and regret having made. Through a detailed examination of these case studies, presenting
managers will illuminate the thought process and risk/return analysis employed, the actual
process of making these investments, and where the opportunities for alpha and risk pitfalls lie.
Topics to be discussed include: inflection points, timing, risk analysis, position sizing, currency, and
legal and regulatory considerations. 13.00 Luncheon (Salle Belle Epoque, Hotel Hermitage) S YMPOSIUM F ACULTY C URRENTLY I NCLUDES : Mick Swift, Director
ABBEY CAPITAL David Fiorino,
VP Foreign Exchange Asset Allocation
ABN AMRO Jacob H Schmidt, Director
ALLENBRIDGE HEDGEINFO Francesco Di Carlo, Partner
ANNUNZIATA E ASSOCIATI Arne Hassel, CIO
CORONATION FUND MANAGERS Dermot Butler, Chairman
CUSTOM HOUSE ADMINISTRATION Angelo Lercara, Partner
DECHERT LLP Lionel Martinelli, Scientific Director
EDHEC RISK AND ASSET MANAGEMENT
RESEARCH CENTER Joel Press, Partner
ERNST & YOUNG LLP John Prout, Senior Fund Analyst
EUROFINANCIAL INVESTMENT COMPANY Stephen Attard, Partner
GANADO & ASSOCIATES Lynnelle Jones, Director
HATHERSAGE CAPITAL John Godden, Managing Director
HEDGE FUND RESEARCH Nicholas Mitsiou, VP
ING ALTERNATIVE ASSET MANAGEMENT Henry Green, Chairman & CIO
JACOBSON ASSET MANAGEMENT (CONTINUED ON PAGE 5) THE HIGH-PERFORMANCE SYMPOSIUM BEGINS (Updated daily at www.IMN.ORG/HEDGEMONACO/M) 4 l To Register For This Symposium, Please Visit: www.imn.org/hedgemonaco/m M ONDAY A FTERNOON , 20 TH S EPTEMBER 2004 C ONCURRENT S ESSIONS : CHOOSE A OR B 17.30 Day Two Sessions Conclude 18.15 Networking Cocktail Reception At Salle Empire & Terrace, Hotel de Paris Courtesy Of: 19.30 Day Two Concludes SESSION A THE MIXED GRILL Each moderated mixed grill will focus on the risks and returns of
particular strategies and will feature investors conducting due diligence on
select managers. The sessions will also provide insights into strategy and
possible fund performance under current and future market conditions. 14.40(A) THE MIXED GRILL SESSION I GLOBAL INVESTMENT STRATEGIES IN AN UNCERTAIN
WORLD Effect of American elections Impact of global terrorism
threat Relative geographic opportunities: European
Productivity, Growth in China, Japanese Deficit and Recovery,
Russian Policy, Indian Infrastructure, Latin American Currency
Reserves New European Absorption, and more 15.30(A) THE MIXED GRILL SESSION II CURRENCIES AS A SOURCE OF ALPHA Understanding the FX market, the asset, the risks, the rewards
Examining individual absolute return currency trading styles
Unique features of currency funds, due diligence, transparency,
credit Advantage of a multi-manager currency product New
trends in delivering currency alpha 16.20 Refreshments 16.40(A) THE MIXED GRILL SESSION III FIXED-INCOME INVESTING IN A COMPLEX INTEREST
RATE ENVIRONMENT Opportunities in a rising rate environment Is position-level
transparency even meaningful in this company strategy? Have
tail risks increased and if so how are you dealing with them?
Preparing for survival in a possible run on liquidity a la 1998
How important of an advantage are your analytic systems?
MBS prepayment modeling: analytic tool or black box? G10
strategies: is the excessive leverage worth the risks? Structured
finance: does it compensate enough for the lack of liquidity? SESSION B INTERACTIVE WORKSHOPS Participants will have the opportunity to meet and interact with their
colleagues in a dialogue format. Interactive discussion is strongly
encouraged. 14.40(B) REGULATORY DEVELOPMENTS:THE US & EUROPEAN APPROACHES Liberalisation and opportunities in Germany and other
European markets Hedge Fund industry lobbying Effect
of proposed US SEC registration requirements on non-US
investors and offshore funds of US managers Will over-
regulation lead to manager exodus? Opening up of
retailisation Registration and mandatory disclosures 15.30(B) MANAGING YOUR HEDGE FUND: FINDING THE COMPETITIVE EDGE Proprietary research resources Financing agreements
Increasingly sophisticated index, single stock and interest
rate options, futures, swaps and other derivatives Hedging
and taking outright positions on volatility
Valuation mechanisms & tools 16.20 Refreshments 16.40(B) ADVANTAGES & DISADVANTAGES OF ESTABLISHED VS. EMERGING OFFSHORE JURISDICTIONS Dublinno longer the new kid on the block
Jerseyfast track registration Luxembourghas the charm
evaporated? Maltainexpensive, but at what cost? IMN S S ECOND A NNUAL ITALIAN HEDGE FUND INVESTORS' SUMMIT 27-28 September 2004 Hotel Principe di Savoia Milan, Italy Held During Milano Moda Donna (Fashion Week) SUMMIT CHAIRS: Stefano Meloni, President HEDGEINVEST (MILAN) Valentina Sidoti, Executive Director of Derivatives Markets BORSA ITALIANA w w w. i m n . o r g / h e d g e m i l a n / m MARK YOUR DIARY! IMN'S TENTH ANNUAL MONACO HIGH-PERFORMANCE INVESTING SYMPOSIUM Monte-Carlo, Monaco 20-22 September 2005 MARK YOUR DIARY! IMN'S TENTH ANNUAL MONACO HIGH-PERFORMANCE INVESTING SYMPOSIUM Monte-Carlo, Monaco 20-22 September 2005 INFORMATION MANAGEMENT NETWORK Email: mail@imn.org Tel: +1-212-768-2800 Fax: +1-212-768-2484 l 5 T UESDAY MORNING, 21 ST S EPTEMBER 2004 08.30-9.45 Complete Breakfast Program Will Be Held At Salle Belle Epoque, Hotel Hermitage 08.30 Deluxe Breakfast Courtesy Of: 9.00 KEYNOTE ADDRESS 9.45 Breakfast Programme Concludes 10.00 EXHIBITION HALL REOPENS & SESSIONS RESUME AT SPORTING DHIVER 10.00 RISK MANAGEMENT TOOLS FOR FUND AND STRATEGY
PERFORMANCE MEASUREMENT AND EVALUATION
Defining risk -for the portfolio manager -for the investors overall portfolio Region, sector, style,
asset class, specific security exposure, attribution analysis, style drift General market risk
measurement tools Exposure, correlation, beta,VaR (value at risk), scenario analysis, stress
testing, liquidity, yield Curve/interest rate, currency, sector performance, volatility curve change
General credit risk problems Making risk management operational Daily monitoring of limits;
monitoring of daily profit/loss positions Systems integration, including analysis across portfolio of
hedge funds and managed accounts at the systems level Pricing & valuation tools Performance
measurement Risk management tools Strategy-specific tools 10.50 VOLATILITY AS AN ASSET CLASS
Inherent risks, correlation to other asset classes and ideal portfolio hedging characteristics
Inefficiencies in volatility pricing resulting from directional players' use of options as a hedge
Volatility is cheap, but is it cheap for a reason? What is the impact on strategies across the board?
Extracting optionality from different securities & financial instruments Non-directional trading,
skew, dispersion, correlation & cross-market opportunities 11.40 Refreshments 12.00 WHAT HEDGE FUND INVESTORS REALLY WANT: BALANCING RISK & RETURN
Fund-of-Funds vs. Direct Investment Sourcing and evaluating managers Monitoring a Hedge
Fund Portfolio Benefits and risks of managed accounts Negotiating terms Is the search for alpha
leading your manager into unfamiliar territory? Transparency: satisfying your need to assess
exposure without compromising your manager's proprietary process What measures & tools
exist to communicate & calculate exposures, from your service provider and elsewhere? What
information are Hedge Fund Managers disclosing to their clients now? What disclosure will the SEC
demand they disclose? 12.50 Day Three Sessions Conclude 13.00 Luncheon (Salle Belle Epoque, Hotel Hermitage) 14.30 IMNs Ninth Annual Monaco Symposium On High-Performance Investing Concludes THE THIRD ANNUAL HEDGE FUND CAPITAL INTRODUCTION ROUNDTABLE HOTEL DE PARIS Eight To Ten Hedge Fund Managers Will Participate In Six Half-Hour Interactive Sessions With Qualified Investors An Invitation-Only Event For Qualified Investors To register, please email hedgefunds@imn.org or call +1-212-901-0550 or +1-212-901-0503 S YMPOSIUM F ACULTY : (CONTINUED) Jean Karoubi, President
THE LONGCHAMP GROUP Tim Stallings, Head of Risk Management
THE LONGCHAMP GROUP Elroy Dimson, Professor
LONDON BUSINESS SCHOOL Dan Harley, Portfolio Manager
MELLON HBV EUROPEAN EVENT-DRIVEN
FUND Virginia Reynolds Parker
President, Founder & CIO
PARKER GLOBAL STRATEGIES, LLC Philip Richards, CIO
RAB CAPITAL PLC Daniel S Shapiro, Partner
SCHULTE ROTH & ZABEL
INTERNATIONAL LLP Richard Perry, Partner
SIMMONS & SIMMONS Tony Stocks, CEO
TENNYSON CAPITAL PARTNERS Dennis Rhee, Partner
TREESDALE PARTNERS LLC Tanya Styblo Beder, CEO
TRIBECA INVESTMENTS LLC, CITIGROUP
ALTERNATIVE INVESTMENTS T UESDAY AFTERNOON , 21 ST SEPTEMBER 2004 14.45-16.15 CAPITAL INTRODUCTION ROUNDTABLES I,II,III 16.15 Refreshments 16.30-18.00 CAPITAL INTRODUCTION ROUNDTABLES IV,V,VI 18.00 Roundtables Conclude 18.00-19.00 Networking Cocktail Reception (Hotel de Paris) D I A M O N D Barclays Capital is the investment banking division of Barclays Bank PLC, one of the largest multi-national financial services groups in the world. With a focus on
financing and risk management, Barclays Capital acts internationally as an intermediary and adviser to corporates, financial institutions, governments and
supranational organisations. Barclays Capital, which has the support of an AA rated parent bank with a balance sheet of over