Research and Publications
Featured White Papers:
The Blind Side: Managing downside contribution risk in corporate defined benefit plans concludes that conventional asset-liability models seriously under-state downside contribution risk. And some of today's more popular strategies, including de-risking and fully dynamic asset allocation, in our view do not provide the hoped-for benefit in reducing such risk. The authors, however, propose a comprehensive framework that may not only help plan sponsors manage downside contribution risk, but manage median contributions and pension expense at the same time. Follow the link to access the full report or executive summary.
Defending the 'Endowment Model': Quantifying Liquidity Risk in a Post-Credit Crisis World discusses the evaporation of liquidity during and after the recent credit crisis and calls into question key assumptions about asset allocation to alternatives that are at the core of the so-called 'endowment model.' With that collective soul-searching in mind - along with the need to strike a balance between risk and return - the paper sets out to determine whether an optimal level for a liquidity allocation exists and, if so, how that changes subject to various investment constraints.
Read our white papers below (sort by date, title, or topic):