The Eighth Public Investors Conference

27-28 October, 2018
Ottawa, Canada


The last several years have challenged public investors in unprecedented ways. Prolonging the earlier environment of low interest rates and compressed term premia, the Covid-19 outbreak has challenged the outlook for asset prices, while highlighting the need to ensure adequate liquidity of investment portfolios. The sharp, but uneven, subsequent recovery has compounded the challenge, as extraordinary monetary and fiscal policy measures have interacted with a waxing and waning pandemic. More recently, the debate over the extent to which inflationary pressures will prove transient has forced yet another reassessment of investment decisions, tied in with questions about the timing and extent of the ongoing process of policy normalisation. Meanwhile, a growing sense of urgency around climate-related risks has led investors of all types to redouble their efforts to incorporate sustainability considerations into their investment processes are giving rise to additional trade-offs in asset allocation decisions.

In this context, the Eighth Public Investors Conference explored a range of relevant issues:

  • New methodologies for risk-return modelling that incorporate the risks of the current environment
  • Integration of environmental, social and governance (ESG) considerations into the investment process
  • Robust asset allocation and asset-liability models for public investors
  • Emerging technologies and their application to portfolio construction as well as investment and risk management

The conference proceedings were published by the BIS.


Thursday, 27 October

09:00 a.m.


09:40 a.m.

Welcoming remarks

09:45 a.m.

Opening remarks
Toni Gravelle, Deputy Governor, Bank of Canada

Session 1: Reserve Management Frameworks
Chair: Tommaso Perez, Banca d'Italia

10:30 a.m.

Risk preferences, global market conditions and foreign debt: Is there any role for the currency composition of FX reserves?
Lebogang Mateane, University of Cape Town, School of Economics, South Africa

11:00 a.m.

Central bank governance and reserve portfolios investment policies: an empirical analysis
Carmen Herrero, Daniela Klingebiel, Marco Ruiz, and James Seward, The World Bank

11:30 p.m.

ESG integration in foreign exchange reserves management: perspectives from a small African central bank
Melvin M. Khomo, Central Bank of Eswatini

Session 2: Greening the Investment Process
Chair: Omar Zulaica, Bank for International Settlements

01:30 p.m.

Doing well while doing good – the elusive quest for green bond returns
Juliusz Jabłecki, Narodowy Bank Polski

02:00 p.m.

Green sentiment, stock returns, and corporate behavior
Marie Briere, Amundi Asset Management
Stefano Ramelli, University of Zurich

02:30 p.m.

Adding the climate dimension to extant credit risk models: teaching old dogs new tricks
David Bolder, The World Bank

Session 3: Climate Risk
Chair: Ingo Fender, Bank for International Settlements

03:30 p.m.

Assessing Climate and Sustainability Risks: A Public Investor Perspective
Ivan Faiella, Enrico Bernardini, Johnny Di Giampaolo, Marco Fruzzetti, Simone Letta, Davide Nasti and Raffaele Loffredo, Banca d'Italia

04:00 p.m.

The Term Structure of Carbon Risk Premia
Dora Xia and Omar Zulaica, Bank for International Settlements

04:30 p.m.

Climate Scenarios for Fixed-Income Investors
Eric Bouyé, Carmen Herrero, Daniel Vela, The World Bank

Friday, 28 October

08:30 a.m.

Keynote address: "How to measure transition risks"
Ron Dembo, Chief Executive Officer, riskthinking.AI

Session 4: Active Management Strategies 
Chair: Daniela Klingebiel, The World Bank 

09:30 a.m.

Systematic investment strategies for sovereign fixed-income portfolios: design and implementation
Mike McMorrow, Bank for International Settlements

10:00 a.m.

Sustainable Alpha in Sovereign and Corporate Bonds
Karishma Kaul, Katharina Schwaiger, Muling Si, Andrew Ang, BlackRock

10:30 a.m.

Currency Anomalies
Söhnke M. Bartram, University of Warwick and CEPR
Anthony Garratt, University of Warwick

Leslie Djuranovik, Bank Indonesia

Session 5: Quantitative Portfolio Management
Chair: Eric Bouyé, The World Bank

11:30 a.m.

Dynamic Portfolio Optimization with Scenario-based Reinforcement Learning
David P. Kroon, Hens Steehouwer, Maurits van Joolingen, and Marc K. Francke, Ortec Finance

12:00 p.m.

Machine Learning Applied to Fixed Income Portfolio Management: A Lasso logit approach
Mercedes de Luis, Emilio Rodríguez, Diego Torres, Banco de España

12:30 p.m.

Middle Out: Only Extreme Deciles Matter
Ashwin Alankar, Philip Maymin, Myron Scholes, Janus Henderson Investors

Session 6: Risk Management
Chair: Étienne Lessard, Bank of Canada

02:00 p.m.

Effective public investor risk management in a world of low interest rates
Thomas Brophy, David Doran, and Steve Kilkenny, Central Bank of Ireland

02:30 p.m.

A Better Criterion for Forced Selling in Bond Markets: Credit Ratings versus Credit Spreads
Jae Yong Choi, Bank of Korea
Junesuh Yi and Sun-Joong Yoon, Dongguk University Korea

03:00 p.m.

The backtesting of Value at Risk (VaR) and Expected Shortfall (ES): methods and challenges
Marco Fruzzetti, Davide Nasti, Marco Orlandi, Banca d'Italia

03:30 p.m.

Closing remarks
Therese Couture, Director, Asset Management and Advisory, The
World Bank Treasury