Global Tactical Asset Allocation - Risk Books
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Global Tactical Asset Allocation

By Daan Potjer and Chris Gould


Global Tactical Asset Allocation (GTAA) - This Risk Executive Report explains what it is, what products exist and how these are managed. GTAA is the area in active investment management that seeks to exploit relative price movements between asset classes, markets, investment styles, currencies and commodities, with an absolute return focus to ensure maximum gains.

Publish date: 3 Dec 2007

Availability: In stock


Book description

Almost everyone in the global investment community will have heard the buzz surrounding GTAA, for example the French state pension fund, the Fonds de réserve des retraites (FRR), tendering a GTAA mandate over its EUR 31 billion in assets. Most large institutional investors in the world are contemplating investing in GTAA products, but few are using it effectively.

This compelling report is an essential introduction for portfolio managers, investors and pension fund trustees who want a better understanding of GTAA and the processes generating the investment returns. Written by true insiders working exclusively on GTAA, it is written in a language that every investment professional will clearly understand. It assumes little knowledge of this area, and by presenting and explaining exactly what GTAA is and with the help of case study examples of its use, you will gain all the tools you need to begin using GTAA to enhance returns on your portfolios.

This is an extremely valuable resource for anyone starting to use GTAA as part of their portfolio management strategy.

Book details

Publish date
3 Dec 2007
Executive report

Author biography

Daan Potjer and Chris Gould

Daan Potjer, ASIP is Senior Vice President and Head of Tactical Asset Allocation (TAA) Portfolio Management at ABN AMRO Asset Management. Since February 1999 Daan has been in charge of the TAA team at AAAM. The team manages portfolios where active allocations are made over asset classes, regions and styles, using futures, ETFs, mutual funds and segregated sub-portfolios. Clients are both institutional mandates and mutual funds, such as the GTAA Fund, the IDAA Fund, the GAO Fund, the Model Funds and the All In Fund. Daan also contributes to the global investment policy process of AAAM, by, amongst others, membership of the Global Investment Policy group. Initially based in London, Daan moved back to Amsterdam in September 2003.

Daan joined ABN AMRO in January 1997. After training at the ABN AMRO Academy he began working as an Investment Strategist for the Investment Strategy department in Amsterdam. In this position he contributed to the global investment policy process, by providing strategic inputs for the investment committees. His main focus was on the Global Macro Group and the Global Fixed Income and Currency Committee.

Daan, born 1972, holds a Master of Science degree in Economics, specialising in Financial Economics, from the Erasmus University Rotterdam and studied at the London School of Economics and Political Science. He is an Associate of the UK Society for Investment Professionals and a regular member of the CFA Institute and UKSIP. Daan is registered as a portfolio manager with the Dutch Securities Institute and is an FSA (UK) approved person.

Chris Gould, ASIP is a Director and Head of Risk for Tactical Asset Allocation (TAA) at ABN AMRO Asset Management. Since December 2000 Chris has been in charge of the TAA risk team at AAAM. The risk team advises on active risk budget decisions and is responsible for the consistency of strategy implementation across portfolios. He has made a major contribution to the development of the investment process for the TAA team.

Chris began his professional banking career at Western Asset Management in 1993. Having spent two years on Portfolio administration, he went on to join the fixed income Portfolio Management team, focusing on managing the money market portfolios and acting as the risk manager for fixed income portfolios. During this time, Chris also spent 9 months in secondment at the US head office.

Chris is an Associate of the UK Society for Investment Professionals.


Table of contents


1. The International Investment Environment and the Potential to Create Attractive Investment Returns

Asset Class Return Comparison

Examination of a Single Market: S&P500

Relative Return Opportunities between Asset Classes

Changing Correlations Adversely Impact Strategic Asset Allocations


2. What is Global Tactical Asset Allocation (GTAA)?

Defining Global Tactical Asset Allocation?

The History of Global Tactical Asset Allocation

The Impact of Scope of Investment Opportunities on the Ability to Generate Returns

Where does GTAA fit into the Range between Traditional and Advanced Portfolio Management Techniques?

GTAA versus Macro Long/Short Hedge Funds

What does GTAA do to Generate Investment Returns?

Investment Instruments used by GTAA Products

The Role of GTAA in an Investment Portfolio

3. GTAA Products

GTAA Overlay Products

Multi-Asset GTAA Products

GTAA as Part of a Balanced Mandate or Mix Fund

GTAA Advice Products

Which GTAA Product to Choose

4. How is GTAA managed

Alpha Generation

Portfolio Construction

Portfolio Implementation


Performance Analysis


5. Risk Management

Techniques for Calculating Risk

Considerations when Calculating Risk

Involvement of Risk Management in Portfolio Management

Risk Systems for GTAA


6. Where Will GTAA Progress from Here?

Development of the Different GTAA Product Types

The Likely "Standardisation"

Continuing Development of GTAA as a Specialist Area

Quantitative versus Qualitative Drivers

Investment Instruments and GTAA

Areas of Investment for GTAA Managers

The Return Generating Potential for GTAA

7. Case Studies: GTAA in Practice

A Pension Fund Invests in GTAA Overlay

A Liability Driven Investment (LDI) Mandate Invests in Dynamic Asset Allocation (DAA)

A Lifecycle Mix Fund uses Active GTAA




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