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Global tactical asset allocation: exploiting the opportunity of return differentials across asset classes and global financial markets

Author: Potjer, Daan ; Gould, ChrisPublisher: Risk Books, 2007.Language: EnglishDescription: 145 p. : Graphs ; 30 cm.ISBN: 9781906348007Type of document: BookBibliography/Index: Includes bibliographical references and index
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Item type Current location Collection Call number Status Date due Barcode Item holds
Book Asia Campus
Main Collection
Print HG4521 .P68 2007
(Browse shelf)
Available 900193221
Book Europe Campus
Main Collection
Print HG4521 .P68 2007
(Browse shelf)
Available 32419001246919
Total holds: 0

Includes bibliographical references and index


Global Tactical Asset Allocation Exploiting the Opportunity of Return Differentials across Asset Classes and Global Financial Markets Contents List of Figures List of Tables About the Authors Introduction 1 The International Investment Environment and the Potential to Create Attractive Investment Returns Asset Class Return Comparison Examination of a Single Market: SandP500 Relative Return Opportunities between Asset Classes Changing Correlations Adversely Impact Strategic Asset Allocations Summary vii ix xi 1 3 4 5 7 8 9 2 What is Global Tactical Asset Allocation (GTAA)? 11 Defining Global Tactical Asset Allocation? 12 The History of Global Tactical Asset Allocation 13 The Impact of Scope of Investment Opportunities on the Ability to Generate Returns 15 Where does GTAA fit into the Range between Traditional and Advanced Portfolio Management Techniques? 18 GTAA versus Macro Long/Short Hedge Funds 19 What does GTAA do to Generate Investment Returns? 21 Investment Instruments used by GTAA Products 22 The Role of GTAA in an Investment Portfolio 30 3 GTAA Products GTAA Overlay Products Multi-Asset GTAA Products GTAA as Part of a Balanced Mandate or Mix Fund GTAA Advice Products Which GTAA Product to Choose 4 How is GTAA managed Alpha Generation Portfolio Construction Portfolio Implementation Monitoring 33 35 45 49 52 53 57 58 67 80 85 Performance Analysis Conclusion 5 Risk Management Techniques for Calculating Risk Considerations when Calculating Risk Involvement of Risk Management in Portfolio Management Risk Systems for GTAA Conclusion 6 Where Will GTAA Progress from Here? Development of the Different GTAA Product Types The Likely "Standardisation" Continuing Development of GTAA as a Specialist Area Quantitative versus Qualitative Drivers Investment Instruments and GTAA Areas of Investment for GTAA Managers The Return Generating Potential for GTAA 7 Case Studies: GTAA in Practice A Pension Fund Invests in GTAA Overlay A Liability Driven Investment (LDI) Mandate Invests in Dynamic Asset Allocation (DAA) A Lifecycle Mix Fund uses Active GTAA References Index 93 97 99 100 110 115 120 121 123 123 125 126 127 128 129 130 133 133 136 137 141 143

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