Inhoudstabel
HOOFDSTUK 1: STATE OF AFFAIRS .......................................................................................................................... 1
1.1. GEOPOLITICAL RISK BAROMETER .......................................................................................................................... 1
1.2. VASTGOEDCRASH .............................................................................................................................................. 3
HOOFDSTUK 3: ASSET ALLOCATIE............................................................................................................................ 5
3.1. ALLOCATIESTRATEGIEËN ...................................................................................................................................... 5
3.1.1. STRATEGISCHE ASSET ALLOCATIE ................................................................................................................................ 5
3.1.2. TACTISCHE ASSET ALLOCATIE ..................................................................................................................................... 6
3.1.3. ASSET ALLOCATIE: “ONE SIZE FITS ALL?” ....................................................................................................................... 7
3.2. PORTEFEUILLECONSTRUCTIE – BEPALEN VAN EEN GEPASTE STRATEGISCHE ASSET ALLOCATIE................................................ 8
3.2.1. STAP 1: INPUT......................................................................................................................................................... 8
3.2.2. STAP 2: MODELLERING ............................................................................................................................................. 8
3.2.3. STAP3: OPTIMALISATIE (EN BACKTESTING)EN RAPPORTERING .......................................................................................... 8
3.3. LDI’S (LIABILITY DRIVEN INVESTMENTS) ................................................................................................................. 9
3.3.1. INLEIDING ............................................................................................................................................................... 9
3.3.2. LD-BELEGGEN – 4 STAPPEN ....................................................................................................................................... 9
3.4. CORE-SATELLITE OF CORE INDEX BENADERING ........................................................................................................ 10
3.4.1. CORE PORTFOLIO ................................................................................................................................................... 10
3.4.2. SATELLITE PORTFOLIO ............................................................................................................................................. 10
3.5. ACTIVE VS PASSIVE .......................................................................................................................................... 11
3.5.1. ACTIVE SHARE ....................................................................................................................................................... 11
3.6. BEHAVIORAL FINCANCE ..................................................................................................................................... 12
HOOFDSTUK 4: MACRO-ECONOMISCHE INDICATOREN ......................................................................................... 13
4.1. INLEIDING ...................................................................................................................................................... 13
4.2. SLEUTELINDICATOREN ....................................................................................................................................... 13
4.2.1. ANDERE CATEGORIEËN ................................................................................................................................... 16
4.2.2. KLASSIEKE TRANSMISSIEMECHANISME ....................................................................................................................... 16
4.3. MONETAIRE STRATEGIE ..................................................................................................................................... 16
4.3.1. QUANTITATIVE EASING............................................................................................................................................ 16
4.3.2. INTEREST RATES ..................................................................................................................................................... 17
4.4. STRATEGIC ASSET ALLOCATION ≠STATIC ASSET ALLOCATION ..................................................................................... 18
4.4.1. PROBLEMS WITH POLICY PORTFOLIOS (STRATEGIC ASSET ALLOCATION) ........................................................................... 18
4.4.2. FIRST GENERATION SOLUTION: LET’S ALL LOOK AT YALE ................................................................................................ 18
4.4.3. SECOND GENERATION SOLUTION: LET’S ALL LOOK AT BRIDGEWATER (RISK PARITY) ............................................................ 19
4.4.4. ALTERNATIVE: I WANT TO BREAK FREE! .................................................................................................................... 20
4.5. SIX QUESTIONS TO CONSIDER BEFORE INVESTING .................................................................................................... 20
HOOFDSTUK 5: INFLATION LINKED BONDS ............................................................................................................ 22
5.1. DEFINITIE ....................................................................................................................................................... 22
5.1.1. WAAROM IS DE MARKT ONTWIKKELD? .................................................................. FOUT! BLADWIJZER NIET GEDEFINIEERD.
5.1.2. WIE ZIJN DE SPELERS .......................................................................................... FOUT! BLADWIJZER NIET GEDEFINIEERD.
5.2. VOOR-EN NADELEN .......................................................................................................................................... 22
5.2.1. OBLIGATIEHOUDER ............................................................................................ FOUT! BLADWIJZER NIET GEDEFINIEERD.
5.2.2. UITGEVER/ EMMITENT ........................................................................................ FOUT! BLADWIJZER NIET GEDEFINIEERD.
5.3. MECHANISME: CASHFLOWS VAN ILB’S ................................................................................................................. 23
5.4. BREAK-EVEN INFLATION .................................................................................................................................... 23
,HOOFDSTUK 6: ALTERNATIVES .............................................................................................................................. 24
6.1. DEFINITION .................................................................................................................................................... 24
6.2. OVERVIEW ..................................................................................................................................................... 24
6.2.1. PRIVATE EQUITY .................................................................................................................................................... 24
6.2.2. PRIVATE DEBT ....................................................................................................................................................... 25
6.2.3. HIGH YIELD BONDS ................................................................................................................................................. 25
6.2.4. EMERGING MARKET DEBT ........................................................................................................................................ 25
6.2.5. REAL ESTATE ......................................................................................................................................................... 25
6.2.6. INFRASTRUCTURE ................................................................................................................................................... 25
6.2.7. COMMODITIES ...................................................................................................................................................... 25
HOOFDSTUK 7: HEDGE FONDSEN .......................................................................................................................... 26
7.1. INLEIDING ...................................................................................................................................................... 26
7.2. VOOR- EN NADELEN ......................................................................................................................................... 27
7.2.1. VOORDELEN...................................................................................................... FOUT! BLADWIJZER NIET GEDEFINIEERD.
7.2.2. NADELEN ......................................................................................................... FOUT! BLADWIJZER NIET GEDEFINIEERD.
7.3. LONG-SHORT STRATEGIE ................................................................................................................................... 28
7.3.1. EXPLAINED........................................................................................................ FOUT! BLADWIJZER NIET GEDEFINIEERD.
7.3.2. RISK AND OPERATIONAL ISSUES ................................................................................................................................ 28
HOOFDSTUK 8: CREDIT DERIVATIVES .................................................................................................................... 29
8.1. CREDIT DEFAULT SWAPS .................................................................................................................................... 29
8.1.1. MAIN CASHFLOW STRUCTURE .................................................................................................................................. 29
8.1.2. CREDIT EVENTS ...................................................................................................................................................... 30
8.2. ADVANTAGES AND DISADVANTAGES .................................................................................................................... 30
8.2.1. AVANTAGES ...................................................................................................... FOUT! BLADWIJZER NIET GEDEFINIEERD.
8.2.2. RISKS AND DRAWBACKS ...................................................................................... FOUT! BLADWIJZER NIET GEDEFINIEERD.
8.2.3. EFFECTS ON FINANCIAL STABILITY .............................................................................................................................. 30
HOOFDSTUK 9: SUSTAINABLE FINANCE ................................................................................................................. 31
HOOFDSTUK 10: PERFORMANCE ATTRIBUTION .................................................................................................... 34
,
, Hoofdstuk 1: State of Affairs
1.1. Geopolitical Risk Barometer
Uitgangspunt: Je bent een assetmanager van een portfolio & je moet reageren op (potentiële) gebeurtenissen. Dit si
portfoliobeheer
1
HOOFDSTUK 1: STATE OF AFFAIRS .......................................................................................................................... 1
1.1. GEOPOLITICAL RISK BAROMETER .......................................................................................................................... 1
1.2. VASTGOEDCRASH .............................................................................................................................................. 3
HOOFDSTUK 3: ASSET ALLOCATIE............................................................................................................................ 5
3.1. ALLOCATIESTRATEGIEËN ...................................................................................................................................... 5
3.1.1. STRATEGISCHE ASSET ALLOCATIE ................................................................................................................................ 5
3.1.2. TACTISCHE ASSET ALLOCATIE ..................................................................................................................................... 6
3.1.3. ASSET ALLOCATIE: “ONE SIZE FITS ALL?” ....................................................................................................................... 7
3.2. PORTEFEUILLECONSTRUCTIE – BEPALEN VAN EEN GEPASTE STRATEGISCHE ASSET ALLOCATIE................................................ 8
3.2.1. STAP 1: INPUT......................................................................................................................................................... 8
3.2.2. STAP 2: MODELLERING ............................................................................................................................................. 8
3.2.3. STAP3: OPTIMALISATIE (EN BACKTESTING)EN RAPPORTERING .......................................................................................... 8
3.3. LDI’S (LIABILITY DRIVEN INVESTMENTS) ................................................................................................................. 9
3.3.1. INLEIDING ............................................................................................................................................................... 9
3.3.2. LD-BELEGGEN – 4 STAPPEN ....................................................................................................................................... 9
3.4. CORE-SATELLITE OF CORE INDEX BENADERING ........................................................................................................ 10
3.4.1. CORE PORTFOLIO ................................................................................................................................................... 10
3.4.2. SATELLITE PORTFOLIO ............................................................................................................................................. 10
3.5. ACTIVE VS PASSIVE .......................................................................................................................................... 11
3.5.1. ACTIVE SHARE ....................................................................................................................................................... 11
3.6. BEHAVIORAL FINCANCE ..................................................................................................................................... 12
HOOFDSTUK 4: MACRO-ECONOMISCHE INDICATOREN ......................................................................................... 13
4.1. INLEIDING ...................................................................................................................................................... 13
4.2. SLEUTELINDICATOREN ....................................................................................................................................... 13
4.2.1. ANDERE CATEGORIEËN ................................................................................................................................... 16
4.2.2. KLASSIEKE TRANSMISSIEMECHANISME ....................................................................................................................... 16
4.3. MONETAIRE STRATEGIE ..................................................................................................................................... 16
4.3.1. QUANTITATIVE EASING............................................................................................................................................ 16
4.3.2. INTEREST RATES ..................................................................................................................................................... 17
4.4. STRATEGIC ASSET ALLOCATION ≠STATIC ASSET ALLOCATION ..................................................................................... 18
4.4.1. PROBLEMS WITH POLICY PORTFOLIOS (STRATEGIC ASSET ALLOCATION) ........................................................................... 18
4.4.2. FIRST GENERATION SOLUTION: LET’S ALL LOOK AT YALE ................................................................................................ 18
4.4.3. SECOND GENERATION SOLUTION: LET’S ALL LOOK AT BRIDGEWATER (RISK PARITY) ............................................................ 19
4.4.4. ALTERNATIVE: I WANT TO BREAK FREE! .................................................................................................................... 20
4.5. SIX QUESTIONS TO CONSIDER BEFORE INVESTING .................................................................................................... 20
HOOFDSTUK 5: INFLATION LINKED BONDS ............................................................................................................ 22
5.1. DEFINITIE ....................................................................................................................................................... 22
5.1.1. WAAROM IS DE MARKT ONTWIKKELD? .................................................................. FOUT! BLADWIJZER NIET GEDEFINIEERD.
5.1.2. WIE ZIJN DE SPELERS .......................................................................................... FOUT! BLADWIJZER NIET GEDEFINIEERD.
5.2. VOOR-EN NADELEN .......................................................................................................................................... 22
5.2.1. OBLIGATIEHOUDER ............................................................................................ FOUT! BLADWIJZER NIET GEDEFINIEERD.
5.2.2. UITGEVER/ EMMITENT ........................................................................................ FOUT! BLADWIJZER NIET GEDEFINIEERD.
5.3. MECHANISME: CASHFLOWS VAN ILB’S ................................................................................................................. 23
5.4. BREAK-EVEN INFLATION .................................................................................................................................... 23
,HOOFDSTUK 6: ALTERNATIVES .............................................................................................................................. 24
6.1. DEFINITION .................................................................................................................................................... 24
6.2. OVERVIEW ..................................................................................................................................................... 24
6.2.1. PRIVATE EQUITY .................................................................................................................................................... 24
6.2.2. PRIVATE DEBT ....................................................................................................................................................... 25
6.2.3. HIGH YIELD BONDS ................................................................................................................................................. 25
6.2.4. EMERGING MARKET DEBT ........................................................................................................................................ 25
6.2.5. REAL ESTATE ......................................................................................................................................................... 25
6.2.6. INFRASTRUCTURE ................................................................................................................................................... 25
6.2.7. COMMODITIES ...................................................................................................................................................... 25
HOOFDSTUK 7: HEDGE FONDSEN .......................................................................................................................... 26
7.1. INLEIDING ...................................................................................................................................................... 26
7.2. VOOR- EN NADELEN ......................................................................................................................................... 27
7.2.1. VOORDELEN...................................................................................................... FOUT! BLADWIJZER NIET GEDEFINIEERD.
7.2.2. NADELEN ......................................................................................................... FOUT! BLADWIJZER NIET GEDEFINIEERD.
7.3. LONG-SHORT STRATEGIE ................................................................................................................................... 28
7.3.1. EXPLAINED........................................................................................................ FOUT! BLADWIJZER NIET GEDEFINIEERD.
7.3.2. RISK AND OPERATIONAL ISSUES ................................................................................................................................ 28
HOOFDSTUK 8: CREDIT DERIVATIVES .................................................................................................................... 29
8.1. CREDIT DEFAULT SWAPS .................................................................................................................................... 29
8.1.1. MAIN CASHFLOW STRUCTURE .................................................................................................................................. 29
8.1.2. CREDIT EVENTS ...................................................................................................................................................... 30
8.2. ADVANTAGES AND DISADVANTAGES .................................................................................................................... 30
8.2.1. AVANTAGES ...................................................................................................... FOUT! BLADWIJZER NIET GEDEFINIEERD.
8.2.2. RISKS AND DRAWBACKS ...................................................................................... FOUT! BLADWIJZER NIET GEDEFINIEERD.
8.2.3. EFFECTS ON FINANCIAL STABILITY .............................................................................................................................. 30
HOOFDSTUK 9: SUSTAINABLE FINANCE ................................................................................................................. 31
HOOFDSTUK 10: PERFORMANCE ATTRIBUTION .................................................................................................... 34
,
, Hoofdstuk 1: State of Affairs
1.1. Geopolitical Risk Barometer
Uitgangspunt: Je bent een assetmanager van een portfolio & je moet reageren op (potentiële) gebeurtenissen. Dit si
portfoliobeheer
1
