This document explores an alternative strategic asset allocation framework for foreign exchange reserves, whose main purpose is to maximize the risk-adjusted returns maintaining the objectives of liquidity and safety of a foreign reserves' portfolio.The overall portfolio can be fragmented into two tranches.On the one hand the Safety Tranche is comprised of liquid, almost default-free and low volatile assets, where the financial goals of safety and liquidity are met.On the other hand, the Wealth Tranche aims to maximize the return with a broader range in the asset space and a longer investment horizon.It is found that through this framework both the historical and forward looking performance of an aggregate portfolio is improved, while maintaining the safety and liquidity needs of a traditional foreign exchange reserves portfolio.