Ryan ALM
White Papers
Pension Conundrum: Same or Similar ROA
The Funded Ratio (FR) of a pension is usually based on the actuarial value of assets / actuarial value of liabilities. The Funded Status (FS) is the actuarial value of...
Problem/Solution: Generic Indexes
Problem: Find Pension Liabilities in any Generic Bond Index Solution: Custom Liability Index (CLI) Pension liabilities are unique to each plan sponsor… different salaries, benefits, expenses, contributions, mortality, inflation assumptions,...
The Smartest Beta
The term “beta” is credited to William F. Sharpe, Ph.D. in his 1964 work in development of the “Capital Asset Pricing Model (CAPM)”. It means (1) the covariance of the...
Optimizing Asset Allocation
The asset allocation decision is the single most important asset decision since it affects all assets and the funded status of a pension plan. Strategic asset allocation (AA) takes a...
Liability Beta vs. Market Beta
Beta is a term first pioneered by PhD. William Sharpe in his 1970 book “Portfolio Theory and Capital Markets”. Here he introduced his famous capital asset pricing model (CAPM) which...
How To De-risk a Pension
Risk is best defined as the “uncertainty” of meeting the client objective. The pension objective is to fund liabilities in a cost-effective manner such that contribution costs remain low and...
Cash Flow Matching Overview
Cash Flow Matching Pension Objective Fund benefits in a cost-efficient manner with prudent risk Pension Needs Liquidity to fund benefits Reduce Contribution costs Reduce Volatility of Funded Status Strategy Value...
Pension Solutions Series Part 4 - Performance Measurement
Pension Solution: Performance Measurement Most pension assets are managed versus a market index as the objective or benchmark. However, the true objective of a pension is to fund the pension...
Pension Solutions Series Part 1 - Custom Liability Index (CLI)
Pension Solution: Custom Liability Index (CLI) Most pension assets are managed versus a market index as the objective or benchmark. However, the true objective of a pension is to fund...
Becoming Liability Aware
A Strategy For Improved Pension Funding The Objective in managing a defined benefit plan is to fund benefit payments (liabilities) in a cost effective manner and to reduce risk over...
The Smartest Beta
The term “beta” is credited to William F. Sharpe, Ph.D. in his 1964 work in development of the “Capital Asset Pricing Model (CAPM)”. It means (1) the covariance of the...