LDI-Sensitive Equity Factor Portfolios: The ALM Perspective to Smart Beta Investing
研究如何通过动态调整权益风险因子权重，在控制负债跟踪误差的同时获取超额收益，为养老金计划发起人提供负债驱动型投资策略。
Pension plans often assume that the cost of producing high excess equity returns relative to their liability is a commensurate increase in liability tracking error. However, the authors show that a nuanced approach to equity risk factors may benefit plan sponsors by allowing them to generate upside gains while more effectively controlling their liability tracking error. Although equity risk factors may exhibit varying degrees of co-movement with a plan’s liability, a set of factors may be reconfigured to maximize liability sensitivity. By dynamically reweighting a portfolio of major equity risk factors, it is thus possible to create a liability-driven investing equity factor that can produce excess return versus plan liability while reducing tracking error. <b>TOPICS:</b>Retirement, analysis of individual factors/risk premia