Workshop on Governance and Fundamentals of Strategic Asset Allocation — SAA I

GOAL

Provide participants with understanding of the fundamental concepts and techniques for formulating an investment policy, a set of investment guidelines, and developing a Strategic Asset Allocation (SAA) for a Central Bank’s reserves portfolio, or other pools of assets managed by an official institution. Participants will have the opportunity put into practice learned concepts and apply quantitative techniques to develop a SAA proposal in the context of a case study that they will present to others in the workshop.

COURSE DESCRIPTION

The workshop will introduce a conceptual framework and lay out the theoretical foundation necessary to develop critical thinking with respect to the overall SAA process. The participants will also have the opportunity put in practice learned concepts and apply quantitative techniques to develop an SAA proposal in the context of a case study. The workshop will consist of a combination of presentations and case study assignments.

DISCUSSION TOPICS

• Governance and the strategic asset allocation process
• Portfolio tranching and currency composition
• Fixed Income asset classes, and historical risk/return analysis
• Yield curve modeling, and forward looking scenarios
• Portfolio construction and optimization
• Validation and implementation of the SAA
• Overview of the Asset Allocation Workbench tool

TARGET AUDIENCE

This course is best suited for junior and mid-level staff directly involved in asset allocation work with limited prior exposure to the SAA concepts and all levels of portfolio managers interested in an introductory overview of the asset allocation process.