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Economic and Asset Risk Return Expectations-
Does Finance Theory Lead Us Astray? with Robert
D. Arnott, Chairman, Research Affiliates, LLC
New York Chapter Meeting October 10th 2006
The Arithmetic of Returns A Lower Returns
World? Where Do We Turn for Opportunity?
The Trouble With Cap Weighting Market
Efficiency and CAPM Mistaking Theory for
Fact? How has Finance Theory Led Us Astray?
Thank you to our host and sponsor
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Economic and Asset Risk Return Expectations
- Does Finance Theory Lead Us Astray? Presented
by Robert D. Arnott, Chairman, Research
Affiliates, LLC PRMIA assembled a diverse panel
of experts to comment on investment issues -
pension crisis, asset allocation,
etc. Panelists Michael Peskin, Managing
Director, Morgan Stanley Investment Management
Thomas K. Philips, Ph.D., Head of Investment
Strategy and Risk Control, OTA Asset Management
Leo M. Tilman, Chief Institutional Strategist
Senior Managing Director, Bear, Stearns Co.
Inc
New York Chapter Meeting October 10th 2006
Thank you to our host and sponsor
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Robert D. Arnott Chairman, Research Affiliates,
LLC Editor, Financial Analysts Journal
New York Chapter Meeting Economic and Asset
Risk Return Expectations October 10th 2006
Rob Arnott authored over 70 refereed articles
(Financial Analysts Journal, Journal of Portfolio
Management Harvard Business Review), received 5
Graham Dodd Scrolls/Awards (CFA Institute) and
2 Bernstein-Fabozzi/Jacobs-Levy awards (Journal
of Portfolio Management Institutional
Investor). In 2002, with PIMCO he offered the
first global asset allocation product to actively
use alternative markets, beyond conventional
stocks, bonds cash. His Fundamental Indexation
is built on a theoretical foundation that
challenges some core assumptions of modern
finance. He was Chairman of First Quadrant, LP,
global equity strategist at Salomon (now
Citigroup), President of TSA Capital Management
(now Analytic), VP at The Boston Company (now
PanAgora), Visiting Professor of Finance at UCLA,
on editorial boards of Journal of Portfolio
Management and 2 others, on product advisory
board of the Chicago Board Options Exchange and 2
others and 1977 summa cum laude graduate from
University of California in economics, applied
mathematics and computer science.
Thank you to our host and sponsor
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Michael Peskin Managing Director Morgan Stanley
Investment Management
Michael Peskin is Managing Director, Morgan
Stanley Investment Management. Previously he was
Managing Director, Morgan Stanleys Global
Capital Markets and a principal in Morgan
Stanley's Global Pension Group where he headed
the unit responsible for helping insurers,
corporate plan sponsors, and others, with
investment strategy and asset/liability studies
in a corporate financial framework. His widely
published research includes strategic asset
allocation and benefit financial theory and he
has published widely on pension finance. He is an
Associate of the Society of Actuaries and the
Institute of Actuaries, a Fellow of the
Conference on Consulting Actuaries, and a Member
of the American Academy of Actuaries. Previously
he worked at Buck Consultants and was President
of Michael Peskin Associates, Inc.
New York Chapter Meeting Economic and Asset
Risk Return Expectations October 10th 2006
Thank you to our host and sponsor
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Thomas K. Philips Head of Investment Strategy
and Risk Control OTA Asset Management
Dr. Thomas Philips joined OTA from Paradigm Asset
Management, where he was Chief Investment Officer
where he managed investments, developed new
products, launched hedge funds, and created
market neutral products. Before that Tom was
Managing Director of Research and Alternative
Investments at RogersCasey. Prior to that, he
spent eight years at the IBM Corporation - the
last three at the IBM Retirement Fund and his
first five conducting research on problems in
Operations Research, Computer Science and Applied
Mathematics at the IBM Thomas J. Watson Research
Center. Tom received his M.S. and Ph.D. in
Electrical and Computer Engineering from the
University of Massachusetts at Amherst, where he
was elected a fellow of the graduate school. He
has published over 25 journal papers and book
chapters on topics in finance, engineering and
mathematics. He was awarded the first Peter
Bernstein / Frank Fabbozzi / Jacobs Levy prize
for his Journal of Portfolio Management paper
Why Do Valuation Ratios Forecast Long-Run Equity
Returns.
New York Chapter Meeting Economic and Asset
Risk Return Expectations October 10th 2006
Thank you to our host and sponsor
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Leo M. Tilman Senior Managing Director Chief
Institutional Strategist Bear Stearns
Leo M. Tilman is head of Bear Stearns Fixed
Income Investment Strategy Committee and is
responsible for providing some of the worlds
most sophisticated financial institutions and
corporations with comprehensive advice and
solutions, including investment strategy,
portfolio management, debt issuance,
asset/liability management, corporate finance,
risk management, and analytics. Previously Mr.
Tilman was a Director at BlackRock, Inc.and
developed advanced financial models and advised
large financial institutions on a wide range of
strategies and practices. Mr. Tilman is editor
of Asset/Liability Management of Financial
Institutions Maximizing Shareholder Value
Through Risk-Conscious Investing (Institutional
Investor, 2003), co-author of Risk Management
Approaches for Fixed Income Markets (J. Wiley
Sons, 2000 Japan, 2002 China, 2005), and
contributing editor of The Journal of Risk
Finance. He makes regular TV and media
appearances, including The Wall Street Journal,
New York Times, Forbes, and Barrons. Mr. Tilman
has a B.A. in mathematics and an M.A. in
statistics with concentration in finance, both
from Columbia University.
New York Chapter Meeting Economic and Asset
Risk Return Expectations October 10th 2006
Thank you to our host and sponsor
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Forward Calendar

• Oct 17-18 2006 PRMIA Institute Credit Derivatives
  2-Day Intensive Training Course
• Nov 2nd 2006 Market Risk C-Suite Roundtable
• (Invitation Only)
• Dec 5th 2006 Year in Risk
• Jan 10th 2007 PRMIA Institute Columbia
  University Business Schools Complete Course
  in Professional Risk Management (20 week
  course) begins
• Feb 13th 2007 Frontiers in Credit Forum
• Jun 12th 2007 The PRMIA Technology Expo
• Sep 13th 2007 The PRMIA Operational Risk and
  Capital Allocation Forum
• Nov 14th 2007 The PRMIA Hedge Funds and
  Proprietary Trading Risk Management Forum
• Other topics Hedge Fund Risk Management Best
  Practices, Pension Risk, Basel 1a, Real Estate
  and MBS Risk, Environmental Risk, Leveraged Loans

New York Chapter Meeting Economic and Asset
Risk Return Expectations October 10th 2006
Thank you to our host and sponsor
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New York Chapter Meeting Economic and Asset
Risk Return Expectations October 10th 2006

• Network of Top Universities
• Columbia University Business School
• George Washington University (MS Finance Program)
• Groupe HEC Paris
• Hong Kong University of Science and Technology
• Macquarie University Applied Finance Center
• National University of Singapore Centre for
  Financial Engineering
• Technical University of Munich - HVB-Institute
  for Mathematical Finance
• The University of Cyprus
• The University of Michigan College of Engineering
  
• The University of Reading ICMA Centre
• The University of Toronto Risk Lab

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New York Chapter Meeting Economic and Asset
Risk Return Expectations October 10th 2006
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