Description: This session will serve as a guide on how to implement a factor-based optimization in the Strategic Asset Allocation process. The session will review a factor-based investing approach and cover the top-down macroeconomic drivers of risk and return for various asset classes. We will then illustrate implementation of this investing approach and determination of an optimal Strategic Asset Allocation through a pension fund case study. There will be an interactive element to the session as the factor sensitivities of various portfolios can be examined in real-time.

Description: In this session, senior pension and insurance investment professionals will share their thoughts on current investment topics. Attendees will hear about leading edge investment ideas and practices from industry leaders.

Description: Investment risk management has become a core competency of insurance companies, and much has been discussed on this topic. This session examines the current investment risk management practices such as product line specific hedging and macro hedging, with a focus on what still remains to be addressed—whether the tradeoff of addition risk management is worthwhile.

Description: Interest rates steadily declining ever since the Volcker Fed tackled inflation in the early eighties. Ten years of stimulating monetary policy brought new lows. We should have braced ourselves for a return to neutrality, but that concept remains elusive. We will explore structural issues that have brought rates to these low levels and the potential impacts on the insurance business.

Description: ETFs have seen explosive growth in the past decade. Due to its flexibility and embedded risk management features, insurance companies and pension funds, are showing increasing interest in this asset class. This session covers an introduction to ETFs and the risk/rewards for insurance companies and pension funds as an additional asset class.

Description: The Investment Symposium is a day-and-a-half long seminar that will focus on the issues and questions faced by investors and risk managers, especially related to insurance companies and retirement plans. Presenters will discuss the big picture issues and explore practical solutions to today’s challenges. Experts will share new approaches to portfolio management and cutting edge research in asset-liability management. Technology, regulation and the economic environment will

Description: This session will demonstrate the advantages of approaches to duration matching and cash flow matching. Plan examples and sponsor’s objectives will be presented. An overview of when to choose one approach versus a blend of the two approaches will also be covered.

Description: Recent reports have expressed concern over historically high levels of corporate indebtedness, with an increasing share of investment-grade debt now in the BBB category, just above speculative-grade. This session will explore trends in the corporate debt market, with a focus on the risks and opportunities for portfolios in the current environment.

Description: Panelists discuss issues faced by the insurance-company portfolio manager, how to measure or value interest-rate risk, some of the new cash investment vehicles available, the futures and options market, construction of a synthetic security, and the review of mortgage-backed securities under new analytical techniques. From the 1987 Record of Society of Actuaries, Vol. 13, No. 3.