HSBC Reserve Management Trends 2020
First published:
ISBN: 978 1 78272 985 3
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A hundred ways to skin a cat – or some practical thoughts on benchmark replication
Juliusz Jabłecki and Jacek Próchniak
Executive summary
Trends in reserve management: 2020 survey results
Interview: Ma. Ramona Santiago
Scoring climate risks: which countries are the most resilient?
A hundred ways to skin a cat – or some practical thoughts on benchmark replication
Developing a sovereign ALM framework: a case study of Mauritius
Developing an integrated information system for reserve management: the experience of Peru
Appendix 1: Survey questionnaire
Appendix 2: Survey responses and comments
Appendix 3: Reserve statistics
The cornerstone of any reserve manager’s strategic asset allocation is the selection of a benchmark – ie, a portfolio that represents the institution’s mandate, long-term risk/return preferences and general investment guidelines (see, for instance, Box 4.1). Choosing a benchmark is critical as it typically determines the lion’s share of the variance of actual portfolio returns.
In the fixed income space, benchmarks tend to either be made up of one or several readily available broad bond indices compiled by investment banks and other external providers, or constructed in-house to more
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