November 12-16, 2012

• • • How hedge fund risk management differs from long only
    • How we should manage risk with limited transparency
    • Evaluate the risk management measures for hedge funds

November 13, 2012 - Value at Risk (VaR)

• • • What is value at risk?
    • Variance-Covariance method, historical simulation, or Monte Carlo simulation?
    • Limitations of VaR
    • Extensions of VaR

 November 14, 2012 - Risk Attribution

• • • Contribution to volatility or the tracking error
    • How to explain the differences between teh risk level of the portfolio and the benchmark; diversification and/or selectivity
    • Multi-factor models in risk attribution

 November 15, 2012 - A Client's Perspective on Risk: 
Why Managing Risk is Crucial to Meeting the Client's Goals

• • • A look at risk in terms of meeting client financial goals using both forward and backward looking approaches.
    • A shift from examining returns only to examining risk in terms of money and the client's view of "success"
    •  A long-term view of the risk and return inherent in the investment decision making process
    • A look at  traditional risk measures, with insights gained from looking at the pattern of risk over time
    • Why this is the future of Performance and Risk

November 16, 2012 - Risk Adjusted Measures

• • • Clarifying: Risk Measures vs Risk-adjusted performance measures
    • Getting to the real meaning: comparing and contrasting Sharpe, Sortino, Information ratio and other measures
    • Risk adjusted measures for hedge funds

In 2011, TSG held a week long web based conference dedicated to Attribution titled Attribution Week. Topics included: A primer on attribution with Stephen Campisi, fixed income with John D. Simpson, multi-currency with Mark Elliott, risk attribution from Jose Menchero and attribution odds and ends with David Spaulding.

This year our focus will turn to risk and will be held the week of November 12th and will cover a primer on portfolio risk, ex-post statistics, risk attribution, understanding risk and its relation to return, and risk management.