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
Ludwig B. Chincarini, Frank Ohara, University of San Francisco, Salvatore Bruno, IndexIQ, Jesse Davis, Blackrock


Session 1: Reserve Management Strategies

11:00 a.m.

Hedging potential liabilities of foreign reserves through asset allocation
Marco Ruíz, Daniel Diaz, Julián Garcia, Cristian Porras, Banco de la Republica Colombia

11:30 a.m.

Dynamic Strategic Asset Allocation: why and how to implement in a Central Bank
Etienne Lavigne, Banque Nationale de Belgique

12:00 p.m.

Setting the appropriate mix among active and passive management in the investment tranche of a foreign reserves portfolio
Daniel Vela, The World Bank


Session 2: Public Investment Governance

02:00 p.m.

Benchmark-relative and absolute return are the same thing
Robert Scott, Schroder Investment Management

02:30 p.m.

Sovereign Wealth Fund Investment Performance - The Role of Strategic Asset Allocation
Michael Papaiounnou, IMF
Bayasgalan Rentsendorj, International Forum of Sovereign Wealth Funds

03:00 p.m.

Transparency and Accountability of SWF: A Decade of Experience
Edwin Truman, Sarah Stone, Peterson Institute for International Economics


Session 3: Active Management and Portfolio Diversification

04:00 p.m.

A Macro-Based Valuation Model for Sovereign Bonds
Jacob Bjorheim, Joachim Coche, Alex Joia, Vahe Sahakyan, BIS

04:30 p.m.

Stock Markets Integration and Active Portfolio Management - Country and Industry Analysis
Gabriel Petre, Olga Sulla, Daniel Vela, The World Bank

05:00 p.m.

Market timing and performance attribution in the ECB reserve management framework
Francesco Potente, Antonio Scalia, Banca d'Italia



Tuesday, 8 November

09:00 a.m.

Keynote address: Unconventional Policies: Emerging Markets Policy Options
Laura Alfaro, Harvard Business School & NBER

Session 4: Factor-based Investing and Strategies

10:00 a.m.

Regime Optimal Portfolios
Santiago Alberico, Omar Zulaica, Banco de México
Joachim Coche, Vahe Sahakyan, BIS

10:30 a.m.

Factor-Based v. Industry-Based Asset Allocation: The Contest
Marie Briere, Amundi Asset Management
Ariane Szafarz, Université Libre de Bruxelles

11:00 a.m.

Carry On?
Joachim Coche, Mark Knezevic, Vahe Sahakyan, BIS


Session 5: Fixed Income Valuation and Term Structure Models

11:45 a.m.

Long-Term Expected Credit Spreads and Excess Returns
Erik Hennink, Ortec Finance

12:15 p.m.

Short-Term Drivers of Sovereign CDS spreads
Marcelo Yoshio Takami, Central Bank of Brazil

12:45 p.m.

Modelling the Term Structure of Interest Rates Close to the Effective Lower Bound
Joachim Coche, Vahe Sahakyan, BIS
Ken Nyholm, ECB

Session 6: Fixed Income Valuation and Term Structure Models

02:30 p.m.

International Asset Allocations and Capital Flows: The Benchmark Effect
Sergio Schmukler, The World Bank
Claudio Raddatz, Central Bank of Chile,
Tomas Williams, Universitat Pompeu Fabra & London School of Economics

03:00 p.m.

Equity Markets' Clustering and the Global Financial Crisis
Carlos León, Constanza Martínez, Banco de la Republica Colombia,
Geun-Young Kim Daeyup Lee, Bank of Korea

03:30 p.m.

Investor Heterogeneity and International Investment Positions: Estimating a Gravity Model with Security-by-Security Data
Robert Vermeulen, De Nederlandsche Bank N.V.

04:00 p.m.

Institutional clienteles and bond prices
Francisco Rivadeneyra, Jianjian Jin, Bank of Canada
Jesus Sierra, CDIC

04:40 p.m.

Closing remarks