Advances in the Practice of Public Investment Management

Description

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. Front Matter ....Pages i-xxviii Front Matter ....Pages 1-1 Hedging Potential Liabilities of Foreign Reserves Through Asset Allocation (Daniel E. Diaz, Julián David García-Pulgarín, Cristian Porras, Marco Ruíz)....Pages 3-25 Setting the Appropriate Mix Between Active and Passive Management in the Investment Tranche of a Foreign Reserves Portfolio (Daniel Vela Barón)....Pages 27-44 A New Fixed-Income Fund Performance Attribution Model: An Application to ECB Reserve Management (Francesco Potente, Antonio Scalia)....Pages 45-72 Sovereign Wealth Fund Investment Performance, Strategic Asset Allocation, and Funding Withdrawal Rules (Michael G. Papaioannou, Bayasgalan Rentsendorj)....Pages 73-99 Front Matter ....Pages 101-101 A Macro-Based Process for Actively Managing Sovereign Bond Exposures (Jacob Bjorheim, Joachim Coche, Alex Joia, Vahe Sahakyan)....Pages 103-129 Carry On? (Joachim Coche, Mark Knezevic, Vahe Sahakyan)....Pages 131-159 Short-Term Drivers of Sovereign CDS Spreads (Marcelo Yoshio Takami)....Pages 161-213 Long-Term Expected Credit Spreads and Excess Returns (Erik Hennink)....Pages 215-244 Front Matter ....Pages 245-245 Regime Identification for Sovereign Bond Portfolio Construction (Santiago Alberico, Joachim Coche, Vahe Sahakyan, Omar Zulaica)....Pages 247-274 Benchmark-Relative and Absolute-Return Are the Same Thing: Conditions Apply (Robert Scott)....Pages 275-289 Factors and Sectors in Asset Allocation: Stronger Together? (Marie Brière, Ariane Szafarz)....Pages 291-309 Front Matter ....Pages 311-311 The Impact of Benchmark Investing by Institutional Investors on International Capital Allocations (Claudio Raddatz, Sergio L. Schmukler, Tomás Williams)....Pages 313-340 Equity Markets Integration and Active Portfolio Management (Gabriel Petre, Olga Sulla, Daniel Vela Barón)....Pages 341-367 Government Bond Clienteles and Yields (Jianjian Jin, Francisco Rivadeneyra, Jesús Sierra)....Pages 369-391 Back Matter ....Pages 393-394