Read e-book online A New Perspective on Asset Allocation PDF

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By Martin L. Leibowitz

ISBN-10: 094320500X

ISBN-13: 9780943205007

Booklet through Leibowitz, Martin L.

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This could be obtained in several ways; for example, the original stream could be aged from the preceding month's calculation. To keep the argument simple and to retain a consistent archetype over time, assume that the retired-lives liability of February 1, 1980, has the same (unaged) shape as depicted in Liability Rctz~~ns Figure 22. Given this assumption, the liability return for each succeeding month can be computed, and a comparison with the Salomon Brothers BIG Index return can be developed, as shown in Figure 24.

With this static choice for fixed income, the bond component is valued as a predictably dull volatility-dilution agent. Thus, in traditional allocation procedures, the sole decision variable is the magnitude of the equity component; the bond component becomes a derived residual that follows from the equity decision. This traditional approach fails to address three major facets of the current pension and market environment. First, it focuses solely on asset return, with no explicit treatment of liability return, liability risk, or the Ailocations Using Total Portfolio Durations A New Perspective on Asscrt Allocatio~z resulting surplus vulnerability.

Few portfolios consist entirely of stocks or entirely of bonds. For more representative results, the integrated liability should be compared with a fund allocation that includes both stocks and bonds. Accordingly, a fund with 60 percent invested in the S&P 500 and 40 percent deployed in the BIG Index was formulated, producing the performance results depicted in Figure 28. 1186 1981 1982 1983 1984 1985 1986' Cumulative Returns Figure 28. 1986 At no point in the entire period did the fund returns pull ahead of the liability performance.

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A New Perspective on Asset Allocation by Martin L. Leibowitz

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