The Sixth Public Investors Conference
7-8 November, 2016
Washington, DC
In recent years, the global financial markets have been characterized by fragile economic recoveries, accommodative monetary policies and extraordinary price movements in commodities and currencies.
Looking forward, public and private investors alike are seeking investment solutions in an environment of monetary tightening in the United States, ongoing policy easing in the Eurozone and heightened investment risk in emerging markets.
However, the practices by public institutions in response to these challenges may differ markedly from the private sector due to the fundamental differences in investment rationales, risk preferences, governance structures and accountabilities as well as the availability of human and technical resources.
These characteristics have far-reaching implications on how portfolio and risk management activities are organized and performed.
During this year's Sixth Joint Public Investors Conference, there is strong interest to explore ideas on policy frameworks, asset allocations as well as processes and methods of portfolio and risk management in the context of the current uncertain and challenging global monetary and macroeconomic landscape. Proposals for papers are also welcome in the following areas related to central banks and sovereign wealth funds:
- Organization and governance of the investment functions
- Strategic, tactical and dynamic asset allocation
- Optimal currency allocation
- Asset and liability management
- Framework, processes and techniques for active management
- Measuring and managing market and credit risk
The conference was targeted at central bank reserve managers and sovereign wealth managers (including commodity savings funds and sovereign pension funds) as well as academics. It aims to facilitate an ongoing dialogue between the reserve, risk and asset management experts of the participating organisations, encouraging knowledge-sharing and collaboration across organisations and fostering the development and dissemination of best practices in public sector portfolio and risk management.
The proceedings of this conference were published through Palgrave Macmillan.
Agenda
Monday, 7 November
08:15 a.m. | Registration |
09:15 a.m. | Opening remarks |
09:45 a.m. | Keynote address: Portfolio Construction and Crowding |
Session 1: Reserve Management Strategies
11:00 a.m. | Hedging potential liabilities of foreign reserves through asset allocation |
11:30 a.m. | Dynamic Strategic Asset Allocation: why and how to implement in a Central Bank |
12:00 p.m. | Setting the appropriate mix among active and passive management in the investment tranche of a foreign reserves portfolio |
Session 2: Public Investment Governance
02:00 p.m. | Benchmark-relative and absolute return are the same thing |
02:30 p.m. | Sovereign Wealth Fund Investment Performance - The Role of Strategic Asset Allocation |
03:00 p.m. | Transparency and Accountability of SWF: A Decade of Experience |
Session 3: Active Management and Portfolio Diversification
04:00 p.m. | A Macro-Based Valuation Model for Sovereign Bonds |
04:30 p.m. | Stock Markets Integration and Active Portfolio Management - Country and Industry Analysis |
05:00 p.m. | Market timing and performance attribution in the ECB reserve management framework |
Tuesday, 8 November
09:00 a.m. | Keynote address: Unconventional Policies: Emerging Markets Policy Options |
Session 4: Factor-based Investing and Strategies
10:00 a.m. | Regime Optimal Portfolios |
10:30 a.m. | Factor-Based v. Industry-Based Asset Allocation: The Contest |
11:00 a.m. | Carry On? |
Session 5: Fixed Income Valuation and Term Structure Models
11:45 a.m. | Long-Term Expected Credit Spreads and Excess Returns |
12:15 p.m. | Short-Term Drivers of Sovereign CDS spreads |
12:45 p.m. | Modelling the Term Structure of Interest Rates Close to the Effective Lower Bound |
Session 6: Fixed Income Valuation and Term Structure Models
02:30 p.m. | International Asset Allocations and Capital Flows: The Benchmark Effect |
03:00 p.m. | Equity Markets' Clustering and the Global Financial Crisis |
03:30 p.m. | Investor Heterogeneity and International Investment Positions: Estimating a Gravity Model with Security-by-Security Data |
04:00 p.m. | Institutional clienteles and bond prices |
04:40 p.m. | Closing remarks |