Ryan ALM
White Papers
Bond Math… Let THE FORCE be with you!
Defined Benefit pension planseverywhereface serious risk factors: Liquidity Risk The true objective of a pension is to fund liabilities in a cost-efficient manner with prudent risk. Pension liabilities are a...
Cash… A Risky and Costly Investment For Pensions
Pension funds tend to have a cash portfolio, which is usually held by the custodian bank and often has an average maturity/duration of about 3 months. That cash “bucket” is...
What Do Pension Sponsors Want For Christmas?
When asked this question, most pension sponsors would answer lower or stable pension cost and lower volatility on funded status, yet the asset allocation of most pension plans is...
Pension Doctor: Specialist or Generalist?
Pension Doctor: Generalist or Specialist When a person gets sick or has an injurythey go see a doctor. Usually, they prefer to see a Specialist who is the recognized expert...
When is a Pension Fully Funded?
The Funded Ratio tends to be the acid test and benchmark for funded status… but is it? We have written several research white papers (www. RyanALM/Research/White Papers) about the glaring...
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...
What’s It All About? Liabilities!
Most institutional assets are required to fund some type of liability objective (Pensions, OPEB, Lottery, Endowment & Foundation) yet liabilities tend to be missing in every function related to assets:...
Bond Yields… Caveat Emptor
Most bonds are priced and traded on some yield calculation. These yield calculations are based on assumptions that are difficult, if not impossible, to achieve. For example: Yield to Maturity...
Operation Home Run
Pension Solution: Operation Home Run The true objective of a pension is to secure and fully fund benefits in a cost-efficient manner with prudent risk . This is best accomplished...
Problem/Solution: Asset-only Focus
Most, if not all asset allocation models are focused on achieving a total return target or hurdle rate… commonly called the ROA (return on assets). This ROA target return is derived from a weighting 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 Pension Crisis of 2000-02
In my 2013 book “The U.S. Pension Crisis” I detailed the causes of the 2000-02 pension crisis where funded ratios deteriorated significantly from a surplus position in the 1990s. This...