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Advances in the Practice of Public Investment Management

Portfolio Modelling, Performance Attribution and Governance

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  • © 2018

Overview

Editors:
  1. Narayan Bulusu

    1. Bank of Canada, Ottawa, ON, Canada

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  2. Joachim Coche

    1. Bank for International Settlements (BIS), Basel, Switzerland

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  3. Alejandro Reveiz

    1. Finance Department, Inter-American Development Bank, Washington, DC, USA

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  4. Francisco Rivadeneyra

    1. Bank of Canada, Ottawa, ON, Canada

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  5. Vahe Sahakyan

    1. Bank for International Settlements (BIS), Basel, Switzerland

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  6. Ghislain Yanou

    1. World Bank, Washington, DC, USA

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  • Presents research and analysis around topics of interest to public investment managers, such as sovereign wealth funds, foreign reserves, and public pension funds
  • Discusses the latest developments in the management of public funds
  • Summarizes the work presented at the 6th annual Public Investors Conference, jointly organised by the BIS, World Bank and the Bank of Canada

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Table of contents (14 chapters)

  1. Front Matter

    Pages i-xxviii
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  2. Foreign Reserves Management Strategies: Implementation, Performance and Governance

    1. Front Matter

      Pages 1-1
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    2. Hedging Potential Liabilities of Foreign Reserves Through Asset Allocation

      • Daniel E. Diaz, Julián David García-Pulgarín, Cristian Porras, Marco Ruíz
      Pages 3-25

    3. Setting the Appropriate Mix Between Active and Passive Management in the Investment Tranche of a Foreign Reserves Portfolio

      • Daniel Vela Barón
      Pages 27-44

    4. A New Fixed-Income Fund Performance Attribution Model: An Application to ECB Reserve Management

      • Francesco Potente, Antonio Scalia
      Pages 45-72

    5. Sovereign Wealth Fund Investment Performance, Strategic Asset Allocation, and Funding Withdrawal Rules

      • Michael G. Papaioannou, Bayasgalan Rentsendorj
      Pages 73-99

  3. Asset Allocation and Interest Rate & Credit Risk Environment

    1. Front Matter

      Pages 101-101
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    2. A Macro-Based Process for Actively Managing Sovereign Bond Exposures

      • Jacob Bjorheim, Joachim Coche, Alex Joia, Vahe Sahakyan
      Pages 103-129

    3. Carry On?

      • Joachim Coche, Mark Knezevic, Vahe Sahakyan
      Pages 131-159

    4. Short-Term Drivers of Sovereign CDS Spreads

      • Marcelo Yoshio Takami
      Pages 161-213

    5. Long-Term Expected Credit Spreads and Excess Returns

      • Erik Hennink
      Pages 215-244

  4. Portfolio Construction

    1. Front Matter

      Pages 245-245
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    2. Regime Identification for Sovereign Bond Portfolio Construction

      • Santiago Alberico, Joachim Coche, Vahe Sahakyan, Omar Zulaica
      Pages 247-274

    3. Benchmark-Relative and Absolute-Return Are the Same Thing: Conditions Apply

      • Robert Scott
      Pages 275-289

    4. Factors and Sectors in Asset Allocation: Stronger Together?

      • Marie Brière, Ariane Szafarz
      Pages 291-309

  5. Asset Classes for Public Investors

    1. Front Matter

      Pages 311-311
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    2. The Impact of Benchmark Investing by Institutional Investors on International Capital Allocations

      • Claudio Raddatz, Sergio L. Schmukler, Tomás Williams
      Pages 313-340

    3. Equity Markets Integration and Active Portfolio Management

      • Gabriel Petre, Olga Sulla, Daniel Vela Barón
      Pages 341-367

    4. Government Bond Clienteles and Yields

      • Jianjian Jin, Francisco Rivadeneyra, Jesús Sierra
      Pages 369-391

  6. Back Matter

    Pages 393-394
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Keywords

About this book

This book covers the latest advances in the theory and practice of public investment management. It includes the most up-to-date developments in the implementation of public asset management – including multiple contributions on portfolio allocation in varying interest-rate and credit-risk environments. Other highlights include implementation, performance attribution and governance issues surrounding reserves management, portfolio construction techniques appropriate for public investors and an in-depth discussion of the challenges to achieving international diversification.



Editors and Affiliations

  • Bank of Canada, Ottawa, ON, Canada

    Narayan Bulusu, Francisco Rivadeneyra

  • Bank for International Settlements (BIS), Basel, Switzerland

    Joachim Coche, Vahe Sahakyan

  • Finance Department, Inter-American Development Bank, Washington, DC, USA

    Alejandro Reveiz

  • World Bank, Washington, DC, USA

    Ghislain Yanou

About the editors

Narayan Bulusu is a Principal Researcher in the Funds Management and Banking Department at the Bank of Canada.

Joachim Coche is Head of Financial Analysis at the Bank for International Settlements (BIS).

Alejandro Reveiz is the Head of Treasury Middle Office and Banking at the Inter-American Development Bank (IDB).

Francisco Rivadeneyra is a Research Advisor in the Funds Management and Banking Department at the Bank of Canada.

Vahe Sahakyan is an Asset Management Specialist in the Banking Department at the Bank for International Settlements (BIS).

Ghislain Yanou is an Investment Officer in the Quantitative Solutions, Strategic Asset Allocation and Analytics (QSA) Department at the World Bank Treasury.


Bibliographic Information

  • Book Title: Advances in the Practice of Public Investment Management

  • Book Subtitle: Portfolio Modelling, Performance Attribution and Governance

  • Editors: Narayan Bulusu, Joachim Coche, Alejandro Reveiz, Francisco Rivadeneyra, Vahe Sahakyan, Ghislain Yanou

  • DOI: https://doi.org/10.1007/978-3-319-90245-6

  • Publisher: Palgrave Macmillan Cham

  • eBook Packages: Economics and Finance, Economics and Finance (R0)

  • Copyright Information: The Editor(s) (if applicable) and The Author(s) 2018

  • Hardcover ISBN: 978-3-319-90244-9Published: 13 August 2018

  • Softcover ISBN: 978-3-030-07972-7Published: 21 December 2018

  • eBook ISBN: 978-3-319-90245-6Published: 28 July 2018

  • Edition Number: 1

  • Number of Pages: XXVIII, 394

  • Number of Illustrations: 74 b/w illustrations, 6 illustrations in colour

  • Topics: Investments and Securities, Personal Finance/Wealth Management/Pension Planning

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