11:00 Chairman's opening remarks

Nick Sawyer, Editor, Risk Magazine

• What does traditional theory tell us?
• What are the limitations of conventional thinking?
• Adapting strategies for various market regimes
• Putting it all together: the alpha-beta framework

Gareth Witten, Head of Research, Peregrine Securities

11:10 South Africa’s economic policy risks in a post recession climate

• Fiscal policy in South Africa after the recession: what might be the response of the Ministry of Finance in their 2010/11 budget?
• Assessing the inflation targeting system of the MPC and the effect of changes in the existing regime
• Considering the impact of possible future interest rate movements
• Examining possible changes to current industrial policies and their economic implications
• What are the shortfalls of current labour policy?

Dawie Roodt, Chief Economist, Efficient Group

• Alpha to take a backseat: why absolute return and alpha on their own are problematic
• Examples of very desirable payoffs without the need for alpha
• The future of hedge fund fees
• International feedback from large institutional investors on leverage, fees, risks in hedge funds
• Why active-risk-management will topple active-return-management

Roland Rousseau, Independent expert

• Market data and pricing model calibration
- In-house models and pricing transparency
- Valuation service models and pricing transparency
• Pricing considerations in implementing VaR, PFE and CVA

Nick Haining, Managing Director, EMEA, Numerix

12:30 The continuing debate between passive vs. active management
• Why passive?
• Why active?
• Active passive…
• What happens in practice?
• What should you do?

George Herman, Investment Manager & Chief Dealer, Eskom Pension and Provident Fund

• VaR and the credit crisis: lessons learnt
• Realising the imperfection of models
• How can we analyse risk now?

Warren Brown, Chief Executive Officer, Vunani Portfolio Solutions

14:10 Active management in a concentrated, domestically constrained investment environment
• Examining the nature of the South African domestic market
• Assessing what kind of active risks are feasible
• What fund objectives should long-only funds be envisioning?
• Strategies for comparing the performance of actively managed funds
• What gap, if any, do short-extension funds fill for the South African investor?

Heidi Raubenheimer, Faculty, Graduate School of Business, University of Cape Town

• To what extent should we apply scientific method to risk analysis?
• Accounting for uncertainty in your data
• Beyond quantitative methods: the importance of judgement and common sense

Piet Viljoen, Founder, Regarding Capital Management

• Unique position of funds of hedge funds in SA
• Lessons learnt from the past and their future application
• Risk measurement, monitoring and mitigation: raising the bar
• Changing investor preferences: shaping an industry
• Challenges on the regulatory front
• Where will growth come from?

Carla de Waal, Portfolio Manager, Novare Investments

14:50 Mitigating pro-cyclicality through the use of stress testing
• Improving stress testing in the light of the crisis
• Reducing reliance on cyclical VaR-based capital estimates
• Using stress testing to validate capital buffers

Evan Sekeris, Assistant Vice President, Federal Reserve Bank of Richmond

16:00 An economic scenario approach to global asset allocation
• How to manage portfolio risk by using multiple economic scenarios
• Defining possible economic scenarios
• Deriving possible company earning scenarios
• Investment opportunities given current asset class valuations
• Bringing it all together in the optimal portfolio

Maarten Ackerman, Investment Strategist, Head of Portfolio Construction, Citadel Private Clients

Three key components of the investment process: alpha, risk and cost
• Transaction costs and market impact
• Transaction costs can decrease the information ratio substantially
• State-of-the-art measurement of transaction cost and execution risk
• Efficient frontier for optimal trading

Dawie de Jongh, Professor, Centre for Business Mathematics and Informatics, North-West University