2007 Spring Seminar

EVOLVING ALPHA AND BETA CONCEPTS AND WEALTH DEMOGRAPHICS


The Cloister
Sea Island, Georgia
March 25 – 28, 2007



note: Underline indicates available link. Click on link to download paper.



Sunday, March 25

6:00 pm – 8:00 pm
RECEPTION AND INFORMAL BUFFET DINNER
7:00 pm – 7:15 pm
WORDS OF WELCOME
James L. Farrell, Jr., Chairman of The Q Group and Chairman, Farrell Investments

Spring07 Cover

Monday, March 26

7:30 am – 9:00 am CONTINENTAL BREAKFAST
9:00 am – 10:00 am
ALPHA/BETA SEPARATION

Paper Slides Article

Speaker: James L. Haskel, Director-Portfolio Strategy, Bridgewater Associates, Inc.



10:00 am – 10:30 am COFFEE BREAK
10:30 am – 12:00 pm
Panel: EXPLORING CAPACITY ISSUES


Moderator: Joanne M. Hill, Managing Director, Goldman Sachs & Co.
Panelists: Dan Bienvenue, Portfolio Manager, Global Equities, CALPERS
Knut Kjaer, Portfolio Manager, Norges Bank

Slides

Matt Yamini, Managing Director-Head of Global Trading, TIAA-CREF

12:00 pm – 4:00 pm LUNCHEON AND PERSON-TO-PERSON CONFERENCES
4:00 pm – 5:15 pm
THE FUNDCREATOR APPROACH TO HEDGE FUND RETURN REPLICATION, FUND CREATION AND PERFORMANCE EVALUATION


Slides Paper
Paper
Paper
Paper

Speaker: Harry M. Kat, Professor of Risk Management, Sir John Cass Business School



5:15 pm – 5:45 pm COFFEE BREAK
5:45 pm – 7:00 pm
MODELING ALPHA

Slides Information Horizon, Portfolio turnover and Optimal Alpha Models

Speaker: Eric H. Sorensen, President and CEO, PanAgora Asset Management
Edward Qian, Director-Macro Strategies, PanAgora Asset Management



7:15 pm
RECEPTION AND KEYNOTE BANQUET
NATIONAL POLITICS TODAY – AS I SEE IT


Speaker: Cynthia Tucker, Editorial Page Editor, The Atlanta Journal-Constitution

Tuesday, March 27

7:30 am – 8:45 am CONTINENTAL BREAKFAST
8:45 am – 9:45 am

THE MAJOR PROVISIONS OF THE PENSION PROTECTION ACT OF 2006: IMPLICATIONS FOR PENSION AND INVESTMENT MANAGEMENT

Paper Slides

Speaker: Mark Warshawsky, Director – Retirement Research, Watson Wyatt Worldwide



9:45 am – 10:15 am COFFEE BREAK
10:15 am – 11:45 am
Panel: FUTURE SOURCES OF ALPHA


Moderator: Katrina F. Sherrerd, Principal – Strategic Planning & Affiliate Relations, Research Affiliates, LLC
Panelists: Chris Brightman, CEO, UVA Investment Management Company
Craig W. French, Partner, Corbin Capital Partners, L.P.
Harindra de Silva, President, Analytic Investors

11:45 am – 12:15 pm BUSINESS MEETING OF The Q Group

12:15 am – 4:00 pm LUNCHEON AND PERSON-TO-PERSON CONFERENCES

4:00 pm – 5:15 pm
DEMOGRAPHICS AND FINANCES OF THE BABY BOOMERS – Slides-Audio

Paper – Redefining Retirement – How Will Boomers Fare Speaker: Olivia S. Mitchell, International Foundation of Employee Benefit Plans and Professor, Wharton School, University of Pennsylvania
5:15 pm – 5:45 pm COFFEE BREAK
5:45 pm – 7:00 pm
NON-CAP WEIGHTED INDEXES


Slides
Slides

Paper
Paper
Paper
Paper

Speakers: Robert D. Arnott, Chairman, Research Affiliates, LLC
Clifford S. Asness, Managing Principal, AQR Capital Management, LLC

7:00 pm RECEPTION AND DINNER

Wednesday, March 28

7:00 am – 8:00 am CONTINENTAL BREAKFAST

8:00 am – 9:15 am
ALPHA MIGRATION: ISSUES AND CONSEQUENCES

Slides

Speakers: Andrew B. Weisman, Managing Director, Hedge Fund Development, Merrill Lynch



9:15 am – 9:45 am COFFEE BREAK
9:45 am – 11:00 am
EXTREME BOUND ANALYSIS



Slides

Speakers: Benson Durham, Chief, Monetary and Financial Market Analysis Section, Federal Reserve Board




THE Q Group NEXT SEMINAR WILL BE HELD ON OCTOBER 14-17, 2007.
SEE YOU AT THE FAIRMONT SCOTTSDALE PRINCESS, SCOTTSDALE, ARIZONA.


?>