Global Tactical Asset Allocation

Exploiting the Opportunity of Relative Movements across Asset Classes and Financial Markets

Publication Date	December 2007
Publisher	Risk Books
Product Type	Book
Pages	158
ISBN Number	9781906348007
Product Code	RIS00376

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Summary

Almost everyone in the global investment community will have heard the buzz surrounding GTAA, for example the French state pension fund, the Fonds de rserve des retraites (FRR), tendering a GTAA mandate over its EUR 31 billion in assets. Most large institutional investors in the world are contemplating investing in GTAA products, but few are using it effectively.

This compelling report is an essential introduction for portfolio managers, investors and pension fund trustees who want a better understanding of GTAA and the processes generating the investment returns. Written by true insiders working exclusively on GTAA, it is written in a language that every investment professional will clearly understand. It assumes little knowledge of this area, and by presenting and explaining exactly what GTAA is and with the help of case study examples of its use, you will gain all the tools you need to begin using GTAA to enhance returns on your portfolios.

This is an extremely valuable resource for anyone starting to use GTAA as part of their portfolio management strategy.

Content

Contents
Introduction
Chapter 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
Chapter 2: What is Global Tactical Asset Allocation (GTAA)?
- What is 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
Chapter 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
Chapter 4: How is GTAA managed
- Alpha Generation
- Portfolio Construction
- Portfolio implementation
- Monitoring
- Performance analysis
- Conclusion
Chapter 5: Risk Management
- Techniques for calculating risk
- Considerations when calculating risk
- Involvement of risk management in portfolio management
- Risk systems for GTAA
- Conclusion
Chapter 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
Chapter 7: Case Studies: GTAA in Practice
- Three case studies (to be confirmed)