[(Central Bank Reserves and Sovereign Wealth Management )] by Arjan B. Berkelaar, Joachim Coche, Ken Nyholm (eds.)

By Arjan B. Berkelaar, Joachim Coche, Ken Nyholm (eds.)

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Extra resources for [(Central Bank Reserves and Sovereign Wealth Management )] [Author: Arjan B. Berkelaar] [Jan-2010]

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5 trillion to over USD 7 trillion. Central banks typically invest their foreign exchange reserves conservatively, guided by principles of liquidity and safety, and are concerned with market losses over the accounting cycle. The investment universe for central bank reserves largely consists of short- to medium-term government bonds issued by the United States and governments in the Eurozone. In many cases, the growth of reserves has been accompanied by sterilization costs where domestic interest rates exceed the rate of return on the foreign assets in which the reserves are invested.

Trying to define the market portfolio in detail raises interesting and difficult questions, though. For example, should the market portfolio include bonds? If so, should it include only government bonds or should it include corporate bonds? Should it include private equity? Is it even possible to have a passive exposure to private equity? There are no simple or obvious answers. Moreover, when we think about the unique long-run horizon of governments it suggests to me that they definitely should take an unconventional look at what constitutes productive assets.

Although Sharpe did not advocate this contrarian tactical asset allocation approach specifically for governments, I would think that governments’ risk appetites would be less sensitive to market levels than that of private investors, and therefore I would think such a market stabilizing investment strategy might make sense for governments. Note, however, that this contrarian investment policy does not require rebalancing all the way back to a fixed weight benchmark; it simply means buying equities when the market is below a long-run trend, creating an above market weight, and selling to a position below market weight when the market is above trend.

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