Description: Uses Blackrock's macroeconomic and style factors in asset allocation examples for an insurance portfolio and a pension portfolio.

Description: Chairperson’s column discussing the state of the world today and how that influences investment strategies and describes to seminars the section sponsored to keep members apprised of changes.

Description: The article introduces a cashflow matching strategic asset allocation (SAA) framework for life insurers. Given the recent shift to higher interest rates after two decades of persistent low interest rates, insurers have an opportunity to enhance their asset liability management by rebalancing asset portfolios to narrow duration gaps and attain higher risk-adjusted yields. The framework aims to align investment objectives with economic, regulatory, and rating agency requirements. It prioritizes cashflow matching as the primary optimization goal and incorporates security-level asset information to assist portfolio managers in executing SAA seamlessly. The article highlights the benefits of the cashflow matching SAA framework, including greater attention to cashflow matching, unbiased results, readily executable strategies, and stable economic reserves. A case study is included to demonstrate the effectiveness of the framework in improving risk-adjusted return and cashflow matching for a representative liability block.

Description: “Global tactical asset allocation GTAA is an invest¬ment approach that seeks to exploit short-term mar¬ket inefficiencies to generate uncorrelated absolute returns by taking positions in various asset classes, regions, styles and currencies. Due to its low correlation with tradi¬tional asset classes, GTAA can diversify an existing portfolio without making material changes to the portfolio’s overall risk characteristics.”

Description: The paper demonstrates that the most popular rationalization for evolving glide paths is flawed and should be discarded. The paper also demonstrates that glide paths should generally evolve for investors that endeavor to optimize outcomes and reevaluate their portfolios regularly.

Description: Explains the more granular breakout of bond RBC factors proposed to the NAIC. Evaluates alternative asset allocation choices for insurers under the new rules.

Description: Is Risk/Return a sound tool for decision-making? No. It is not consistent, not objective, distorts decision and degrades governance. Why? What shall we do then?

Description: This article provides an analysis of Treasury Inflation-Protected Securities TIPS, examining the mechanics of these bonds, how they have performed to date and what may be expected for the future.

Description: Argues public plans should only hold bonds, on the basis of tax and finance arguments.

Description: This article speculates on the presence and magnitude of the benefits attributable to regular rebalancing of one's investment portfolio. It surveys the extant literature, discusses certain implications, and presents conclusions.