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Back Testing of Investment Performance by Asset Class

The Society of Actuaries’ Pension Section is pleased to make available a research report studying the impact of market performance on a pension plan’s ability to meet its obligations. The report was authored by Maneesh Sharma of Indiana-Purdue University, and Thomas Totten and John Cierzniak of Nyhart.


Materials

Back Testing of Investment Performance by Asset Class
Summary Report: Back Testing of Investment Performance by Asset Class


Questions

If you have any questions or comments regarding the report, please contact Steve Siegel, Research Actuary at ssiegel@soa.org.


Thank You

The SOA’s Pension Section would like to thank the following individuals for their input on the project:

  • Kevin Binder, Chair
  • Igor Balevich
  • Edson Edwards
  • Rene Martel
  • Ed Martin
  • Matt McDaniel
  • Joe McDonald
  • Aaron Meder
  • Antonio Silva
  • Andrew Peterson, SOA Staff Fellow
  • Steven Siegel, SOA Research Actuary
  • Barbara Scott, SOA Research Administrator