Title: Practical Applications of Capital-Market-Aware LDI: <i>Actively Navigating the De-Risking Journey</i>
Abstract: <h3>Practical Applications Summary</h3> In <b><i>Capital-Market-Aware LDI: Actively Navigating the De-Risking Journey</i></b>, published in the 2017 special multi-asset-class issue of <b><i>The Journal of Portfolio Management</i></b>, <b>Joseph Simonian, Ognjen Sosa, Ed Heilbron, Michael Senoski</b>, and <b>Thomas McFarren</b>, all at <b>Fidelity Investments</b> in Boston, examine an active management strategy based on a formulaic trigger mechanism and compare its performance with a basic 60/40 asset allocation strategy. They conclude that the trigger-based active strategy outperforms the 60/40 allocation. The authors then apply the trigger-based active strategy to the case of a pension fund that is assumed to be in the process of de-risking as its funded status improves over time. They conclude that a using the trigger-based active strategy as an overlay to the de-risking process improves returns and lowers risk. They also find that a strategy of potentially re-risking a pension fund based on a worsening funded status is significantly weaker. <b>TOPICS:</b>Retirement, risk management
Publication Year: 2018
Publication Date: 2018-03-21
Language: en
Type: article
Indexed In: ['crossref']
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