27
February
13:30 — 17:30
Kosmopol, Auditoriet
Kosmopol, Auditoriet, Fiolstræde 44, København, 1171, Denmark
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Theme – Alternative investments and long term market assumptions

Allocating an investment portfolio is basically a competition between risk and return characteristics of the investment opportunities at hand at any given time, with various constraints of course. Thus having an opinion on risk and return is crucial. Alternatives is not a homogenous asset group and involves taking many different kind of risks. All these sources of risk should entail compensation i.e. returns.

But how do we actually put a number on the return associated with a specific risk exposure? And is the compensation stable or does it vary significantly? And what is the return we should expect going forward from Alternatives? Has increased competition for the returns associated with Alternatives influenced the level of expected return? Does the increased competition play a bigger role in certain segments of the Alternatives investment universe? And what about increasing rates? What is the impact on return expectations on Alternatives from this and has Alternatives become less relevant as investors now get better compensated for fixed income exposure?

One could also ask the question if return expectations at all matter in the allocation decision process? Do investors actually use return expectations? If so, how are they integrated into the allocation process both at portfolio level and within the Alternatives universe?

To discuss these subjects we have invited Greg Brown, Professor of Finance, Executive Director at Kenan Institute of Private Enterprise & Research Director of IPC, William Kinlaw, Senior Managing Director, Head of State Street Associates, State Street Global Markets, David Turkington, Senior Managing Director and Head of Portfolio and Risk Research at State Street Associates, Juliana Hadas, CFA, Vice President, Client Solutions & Capital Markets, Asset & Wealth Management, Goldman Sachs, Daniel Murphy, Managing Director, Client Solutions & Capital Markets, Asset & Wealth Management, Goldman Sachs, Vidy Vairavamurthy, Managing Director, Head of Quantitative Research ASG, BlackRock and [JPM (TBA)] to discuss long term market assumptions and risk drivers.

Christian Kvorning, CFA, CAIA, Senior Partner, Danske Private Equity and member of the Alternatives Network Committee will moderate the event.

Only the following network debate will be held in Danish.

Agenda

1:00 PM
Networking, snacks og registration
1:30 PM
Welcome and introductory remarks
Peter Harrington, The Danish Finance Society/CFA Society Denmark
1:40 PM
Overall views of research (working title)
Greg Brown, Professor of Finance, Executive Director at Kenan Institute of Private Enterprise & Research Director of IPC
2:10 PM
State Street – Long term risk and market assumptions for alternative investments (working title)
William Kinlaw, Senior Managing Director, Head of State Street Associates
David Turkington, Senior Managing Director and Head of Portfolio and Risk Research at State Street Associates
2:40 PM
Goldman Sachs – Goldman Sachs – Alternative Investments in 2023 and Beyond
Juliana Hadas, CFA, Vice President, Client Solutions & Capital Markets, Asset & Wealth Management, Goldman Sachs
Daniel Murphy, Managing Director, Client Solutions & Capital Markets, Asset & Wealth Management, Goldman Sachs
3:10 PM
A modern take on constructing outcome-oriented, multi-alternatives portfolio
Vidy Vairavamurthy, Managing Director, Head of Quantitative Research ASG, BlackRock
3:40 PM
JPM – Long term market assumptions for alternative investments (working title)
TBA
4:10 PM
Coffee break & Networking
4:40 PM
Network debate
Christian Kvorning, CFA, CAIA, Senior Partner, Danske Private Equity and member of the Alternatives Network Committee. Moderator
5:25 PM
Concluding remarks

Greg Brown, Professor of Finance

Executive Director at Kenan Institute of Private Enterprise & Research Director of IPC

Greg Brown is a professor of finance and executive director of the Frank Hawkins Kenan Institute of Private Enterprise. He also is the founder and research director of the Institute for Private Capital. His recent research centers on alternative investments, including hedge funds and private equity funds. He also is a leading expert on financial risk and the use of derivative contracts as risk management tools. Dr. Brown’s research has been published in leading academic and practitioner finance journals, including The Journal of Finance, The Journal of Financial Economics, The Review of Financial Studies, The Journal of Derivatives and The Financial Analyst Journal. He serves on the editorial board of the Journal of Alternative Investments.
He previously served as director of research for Amundi Smith Breeden Associates, a global asset management firm specializing in fixed income investments. He has served as a consultant on financial risk and portfolio management for money management firms, the U.S. government, non-profits and Fortune 500 companies. Prior to joining UNC Kenan-Flagler, he worked at the Board of Governors of the Federal Reserve System in the Division of Research and Statistics. He also worked in artist relations for a subsidiary of Capitol Records in Hollywood. He received his PhD in finance from the University of Texas at Austin and his BS with honors in physics and economics from Duke University.

William Kinlaw, Senior Managing Director

Head of State Street Associates

Will is senior managing director and head of State Street Associates, a partnership that bridges the worlds of financial theory and practice. Will oversees the development of investment indicators and research which are delivered daily to thousands of investment managers, pension funds and sovereign wealth funds around the world. These products leverage State Street’s proprietary information assets as well as data sourced through strategic partnerships with alternative data partners. State Street Associates also serves as State Street’s hub for academic partnerships, focused on tackling real-world investment challenges spanning ESG, private markets, asset allocation, risk management, investor behavior, and other topics.
His recent areas of research include business cycle forecasting, risk, private equity investing and asset allocation. Will and his co-authors were awarded the 2013 Peter L. Bernstein Award as well as the 2013, 2014, and 2015 Bernstein Fabozzi/Jacobs Levy “Outstanding Article” awards as well as “Honorable Mention” for the 2016 Peter L. Bernstein Award. The second edition of his book, “Asset Allocation: From Theory to Practice and Beyond,” co-authored with Mark Kritzman and David Turkington, is forthcoming in June 2021.
Will serves on the editorial boards of the Journal of Portfolio Management and the Journal of Alternative Inestments as well as the advisory board for the Journal of Investment Management conference. He holds an M.S. in finance from the Carroll School of Management at Boston College and a B.A. in Economics from Tufts University, as well as a CFA designation. He joined State Street in 2002.

David Turkington, Senior Managing Director

Head of Portfolio and Risk Research at State Street Associates

David Turkington is Senior Managing Director and Head of Portfolio and Risk Research at State Street Associates. His team is responsible for research and advisory spanning asset allocation, risk management and quantitative investment strategy. Mr. Turkington is a frequent presenter at industry conferences, has published research articles in a range of journals, and led the development of State Street’s systemic risk and turbulence indicators. He is also co-author of the book A Practitioner’s Guide to Asset Allocation. His research has received the 2013 Peter L. Bernstein Award, four Bernstein-Fabozzi/Jacobs-Levy Outstanding Article Awards, and the 2010 Graham and Dodd Scroll Award. Mr. Turkington graduated summa cum laude from Tufts University with a BA in mathematics and quantitative economics, and he holds the CFA designation.

Juliana Hadas, CFA

Vice President, Client Solutions & Capital Markets, Asset & Wealth Management, Goldman Sachs

Juliana is a Vice President in the Client Solutions & Capital Markets team in Asset & Wealth Management, responsible for private markets portfolio solutions and thought leadership. Juliana first joined Goldman Sachs as an analyst in the Investment Banking Division, and rejoined the firm in 2020. Prior to rejoining the firm, she held a number of roles at Neuberger Berman, most recently as co-head of the Investment Strategy Group advising high net worth, endowment and foundation clients on customized portfolio strategy, and, prior to that, as director of investment risk focused on private equity. Juliana graduated with a Bachelor of Science in Economics (Summa Cum Laude) from The Wharton School and a MBA (with Distinction) from Harvard Business School. She is a CFA charterholder.

Daniel Murphy

Managing Director, Client Solutions & Capital Markets, Asset & Wealth Management, Goldman Sachs

Dan is a managing director in the Client Solutions & Capital Markets team in Asset & Wealth Management, leading a team dedicated to advising and developing portfolio solutions for institutional clients in alternative investments. Prior to his current role, Dan led the portfolio research efforts for the open architecture business in asset management, focusing on developing risk management, performance analysis and portfolio construction techniques for private investments. He has written papers on several topics including risk management in private equity, a quantitative framework for analyzing private asset allocations and performance analysis in illiquid assets. His work has been published in The Journal of Private Equity. Dan joined Goldman Sachs as an analyst in 2001 and was named managing director in 2017. Dan earned a BS in Physics and Economics from the California Institute of Technology.

Vidy Vairavamurthy

Managing Director, Head of Quantitative Research ASG, BlackRock

Vidy Vairavamurthy is the Managing Director and is Head of Quantitative Research of the Alternative Solutions Group (“ASG”) within BlackRock Alternative (“BA”) and a member of ASG’s management committee. He is responsible for driving research innovation in alternative portfolio construction framework. His research focuses on developing relative-value views, optimization models, and risk analytics that aid in the portfolio construction process.

Mr. Vairavamurthy began his career with BlackRock in 2005 as an analyst in BlackRock Solutions supporting BlackRock’s Fixed Income Portfolio Management Group and was also a member of the Risk and Quantitative Analysis Group as a fixed income risk manager where he was responsible for risk management and performance analytics for the multi-sector and credit portfolios.

Mr. Vairavamurthy graduated, magna cum laude, with a BS degree in Information and Systems Engineering and an MS degree in Analytical Finance from Lehigh University.

TBA

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Christian Kvorning, CFA, CAIA, Senior Partner

Danske Private Equity and member of the Alternatives Network Committee. Moderator

Christian Kvorning joined Danske Private Equity in early 2018 and brought more than 20 years of investment and industry experience.

Before joining Danske Private Equity, Christian was an investment director at PKA AIP, the alternatives investment arm of the Danish labor market pension fund, PKA. Before PKA, Christian spent eight years at Cambridge Associates in London, most recently as a Managing Director. In that position, he advised pension funds, family offices and SWFs regarding their alternative investment allocations. Christian started out his career in the energy industry which included rotations to the US, the UK and Brazil.

Christian holds a M.Sc. in Finance and Accounting from Aarhus University and an MBA from Rice University in Houston, Texas. He is also a Chartered Financial Analyst (CFA) and a Chartered Alternative Investment Analyst (CAIA).

Kun for medlemmer af Alternatives netværket

Et medlemskab af et netværk koster årligt kr. 4.500 ekskl. moms. Du kan læse mere om netværket her.

Kontakt os på mail@finansforeningen.dk, hvis du er interesseret i at høre mere om netværket.

CFA PL credits

If you are a CFA Institute member, you are eligible to record 3.25 PL credits hours for your participation in this meeting.

Details

Date:
27 February
Time:
13:30 - 17:30
Event Category: