Announcement: SOA releases June 2019 Exam STAM passing candidate numbers and congratulates the new FSAs for August 2019.

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