Strategic Tilting around the SAA Benchmark

Aaron Drew, Richard Frogley, Tore Hayward and Rishab Sethi

Chapter 10 in Interest Rate Models, Asset Allocation and Quantitative Techniques for Central Banks and Sovereign Wealth Funds, 2010, pp 189-206 from Palgrave Macmillan

Abstract: Abstract Long-run mean reversion in asset market returns is one of a set of core ‘investment beliefs’ of the Guardians of the New Zealand Superannuation Fund (NZSF). These beliefs underpin the investment strategies of the Fund. In this chapter, we present a dynamic portfolio asset allocation strategy that we call ‘strategic tilting’ which aims at exploiting the mean reversion process in asset markets. It is one of a set of portfolio strategies that the NZSF regards as a source of additional value over market returns. Strategic tilting involves adjusting (or tilting) exposures to broad asset classes around their benchmark weights in the strategic asset allocation (SAA) according to their relative return prospects.

Keywords: Real Exchange Rate; Risk Premium; Asset Return; Government Bond; Asset Allocation (search for similar items in EconPapers)
Date: 2010
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Persistent link: https://EconPapers.repec.org/RePEc:pal:palchp:978-0-230-25129-8_10

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DOI: 10.1057/9780230251298_10

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