Italian paper looks at ECB’s reserve management
Diversified investment styles may improve aggregate returns, researchers say
A working paper published by the Bank of Italy studies the performance of foreign exchange reserve managers responsible for investing the European Central Bank's reserves in US dollars.
In Market timing and performance attribution in the ECB reserve management framework, Francesco Potente and Antonio Scalia use a new dataset that features details of ECB portfolio holdings from 2006 to 2010. All the managers show a positive ability at selecting securities overall, they say.
The authors develop a
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