By Martin L. Leibowitz
Publication by way of Leibowitz, Martin L.
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Extra resources for A New Perspective on Asset Allocation
Application of this rate on a monthly basis to the integrated liability schedule generates the sequence of returns shown in Figure 37. These returns are very volatile at the outset. In many months the liability returns reached significant positive levels of 5 percent or higher. Moreover, several periods produced significant runs of such high monthly returns, which is Surplus Manageme~zt hardly surprising during a period of declining interest rates. Figure 38 compares the liability returns with the asset returns from the 60 percent S&P 500140 percent BIG Index portfolio.
The traditional efficient portfolio is constructed by seeking asset classes that have the lowest correlation, or, ideally, even negative correlations, with each other. In the new surplus framework, where there is a chronic shortage of duration on the asset side, there is a definite value to positive correlations with bond returns. Thus, any asset class having a high (negative) correlation with interest rates is far more desirable for a given prospective return and for a given level of residual risk.
Within the 1iabilityJsurplus framework, these problems can be addressed only through a revised asset allocation process that explicitly models the interestrate risk characteristics of all fund components, including bonds, equity, and liabilities. This makes the total portfolio duration an important risk measure for the asset side. Such a framework has implications for return enhancement as well as for risk control. Thus, for certain interest-rate scenarios within a tactical allocation, the liability return could become a significant positive contributor to surplus.
A New Perspective on Asset Allocation by Martin L. Leibowitz
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