Global Tactical Asset Allocation
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Global Tactical Asset Allocation

Global Tactical Asset Allocation


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About the Book

Table of Contents:
Introduction 1. The International Investment Environment and the Potential to Create Attractive Investment Returns Asset Class Return Comparison Examination of a Single Market: S&P500 Relative Return Opportunities between Asset Classes Changing Correlations Adversely Impact Strategic Asset Allocations Summary 2. What is Global Tactical Asset Allocation (GTAA)? Defining Global Tactical Asset Allocation? The History of Global Tactical Asset Allocation The Impact of Scope of Investment Opportunities on the Ability to Generate Returns Where does GTAA fit into the Range between Traditional and Advanced Portfolio Management Techniques? GTAA versus Macro Long/Short Hedge Funds What does GTAA do to Generate Investment Returns? Investment Instruments used by GTAA Products The Role of GTAA in an Investment Portfolio 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 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

About the Author :
Daan Potjer and Chris Gould Daan Potjer, ASIP is Senior Vice President and Head of Tactical Asset Allocation (TAA) Portfolio Management at ABN AMRO Asset Management. Since February 1999 Daan has been in charge of the TAA team at AAAM. The team manages portfolios where active allocations are made over asset classes, regions and styles, using futures, ETFs, mutual funds and segregated sub-portfolios. Clients are both institutional mandates and mutual funds, such as the GTAA Fund, the IDAA Fund, the GAO Fund, the Model Funds and the All In Fund. Daan also contributes to the global investment policy process of AAAM, by, amongst others, membership of the Global Investment Policy group. Initially based in London, Daan moved back to Amsterdam in September 2003. Daan joined ABN AMRO in January 1997. After training at the ABN AMRO Academy he began working as an Investment Strategist for the Investment Strategy department in Amsterdam. In this position he contributed to the global investment policy process, by providing strategic inputs for the investment committees. His main focus was on the Global Macro Group and the Global Fixed Income and Currency Committee. Daan, born 1972, holds a Master of Science degree in Economics, specialising in Financial Economics, from the Erasmus University Rotterdam and studied at the London School of Economics and Political Science. He is an Associate of the UK Society for Investment Professionals and a regular member of the CFA Institute and UKSIP. Daan is registered as a portfolio manager with the Dutch Securities Institute and is an FSA (UK) approved person. Chris Gould, ASIP is a Director and Head of Risk for Tactical Asset Allocation (TAA) at ABN AMRO Asset Management. Since December 2000 Chris has been in charge of the TAA risk team at AAAM. The risk team advises on active risk budget decisions and is responsible for the consistency of strategy implementation across portfolios. He has made a major contribution to the development of the investment process for the TAA team. Chris began his professional banking career at Western Asset Management in 1993. Having spent two years on Portfolio administration, he went on to join the fixed income Portfolio Management team, focusing on managing the money market portfolios and acting as the risk manager for fixed income portfolios. During this time, Chris also spent 9 months in secondment at the US head office. Chris is an Associate of the UK Society for Investment Professionals.


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Product Details
  • ISBN-13: 9781906348007
  • Publisher: Risk Books
  • Publisher Imprint: Risk Books
  • ISBN-10: 1906348006
  • Publisher Date: 03 Dec 2007
  • Binding: Paperback


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