PT  - JOURNAL ARTICLE
AU  - Joseph Simonian
AU  - Ognjen Sosa
AU  - Ed Heilbron
AU  - Michael Senoski
AU  - Thomas McFarren
TI  - Practical Applications of Capital-Market-Aware LDI: <em>Actively Navigating the De-Risking Journey</em>
AID  - 10.3905/pa.6.1.270
DP  - 2018 Jul 31
TA  - Practical Applications
PG  - 1--5
VI  - 6
IP  - 1
4099  - https://pm-research.com/content/6/1/1.4.short
4100  - https://pm-research.com/content/6/1/1.4.full
AB  - In Capital-Market-Aware LDI: Actively Navigating the De-Risking Journey, published in the 2017 special multi-asset-class issue of The Journal of Portfolio Management, Joseph Simonian, Ognjen Sosa, Ed Heilbron, Michael Senoski, and Thomas McFarren, all at Fidelity Investments in Boston, examine an active management strategy based on a formulaic trigger mechanism and compare its performance with a basic 60/40 asset allocation strategy. They conclude that the trigger-based active strategy outperforms the 60/40 allocation.The authors then apply the trigger-based active strategy to the case of a pension fund that is assumed to be in the process of de-risking as its funded status improves over time. They conclude that a using the trigger-based active strategy as an overlay to the de-risking process improves returns and lowers risk. They also find that a strategy of potentially re-risking a pension fund based on a worsening funded status is significantly weaker.TOPICS: Retirement, risk management