Capital-Market-Aware LDI: Actively Navigating the De-Risking Journey
研究了企业养老金组合中基于资金状况的去风险策略，并对比了资金状况驱动的再风险与基于市场因素的主动再风险策略，发现主动再风险有助于产生超额收益并降低下行风险。
In corporate pension portfolios, de-risking from stocks to bonds is often driven by funded status, with the bond allocation increasing as funded status improves. A question naturally arises out of the practice of de-risking: If de-risking based on funded-status improvement is an effective way for plans to preserve gains, does re-risking a plan’s portfolio as funded status deteriorates prove to be an effective way to recover from losses? To answer this question, the authors compare funded-status-driven re-risking to an active re-risking strategy driven by market factors. They find that re-risking driven solely by funded status adds marginal value at the cost of potentially significant additional risk, whereas an active approach to re-risking may assist in both generating alpha versus the liability as well as mitigating downside risk. <b>TOPICS:</b>Retirement, risk management