INVESTMENT OBJECTIVE • Preserving the value and liquidity of investments in conditions where bank failure is most likely • (Portfolio performance on a standalone basis is of secondary importance)
ALL INVESTING IS ABOUT RISK MANAGEMENT • Our viewpoint: risk • There is no risk‐free investment • What type of investment risk is b e n e f i c i a l for a DIF? – Which asset classes perform when bank spread (bank risk premium) is on the rise? – Which asset types perform when the banking sector in our country / region / the entire world is in trouble?
”In recent years, the timing of sovereign crises has coincided or has directly followed banking crises. The link between sovereigns and banks tightened as the contingent liability that the banking sector represents for the sovereign grew.” Correa, R. – Sapriza. H.: Sovereign Debt Crises, 2014.
UPCOMING RULE IN THE EU THE GOLDEN RULE OF DIVERSIFICATION • Deposit Guarantee Directive of the European Union, Article 9: – “The available financial means of DGS shall be invested in a low‐risk and sufficiently diversified manner.”
WHO CARES ABOUT BENCHMARKS? • Does any benchmark behave right for you when the next bank fails? • Does any benchmark optimally communicate your needs to the asset managers? • Could a risk budget be helpful?
