April 06, 2012
A Focus on the Portfolio
Investment Strategies for Uncertain Times
When the Treasury Investment Managers’ Peer Group met for its Fall 2011 meeting, members focused on a variety of topics relat- ed to the economy and portfolio structure, including practical approaches to enhancing portfolio performance.
1) Asset Allocation Update. There has been more risk-taking than risk-reducing since the middle of 2011.
Key Takeaway: Prime funds are out, while emerging market debt and ABS are in.
2) Financial Institution Exposure Management. Members discussed the impact of Basel III, CSA/ISDA agreements, bank downgrades, and contingency planning.
Key Takeaway: Basel III will help banks in the long run, but it will be a while before the desired effects are achieved, since currently no one wants to touch any bank in Europe.
3) Parsing Up Duration. Two case studies from member companies led to discussions on strategies around duration structuring.
key takeaway: Several members are open to, or actively engaged in tools such as roll-down strategy to achieve their targeted duration, and it is just as important to be able to communicate effectively with the board.
4) Using Mutual Funds—traditional and ETF’s. Several members offered their insights and experience on the pros and cons of using mutual funds.
Key Takeaway: Traditional funds and ETF’s have been adopted by some as a good way to achieve specific mandates in a short period of time.
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