By Martin L. Leibowitz
Publication by means of Leibowitz, Martin L.
Read Online or Download A New Perspective on Asset Allocation PDF
Similar reference books
Шотландские полки современной британской армии - организация, вооружение, транспортные средства униформа и знаки отличия.
пароль на архив - infanata
- An intensive course in Tamil : dialogues, drills, exercises, vocabulary, grammar, and word index
- Strategies and Policies in Digital Convergence (Premier Reference Series)
- Advances in Positioning and Reference Frames: IAG Scientific Assembly Rio de Janeiro, Brazil, September 3–9, 1997
- Pell's Equation
- Elektromagnetische Wellen: Eine Einführung in die Theorie als Grundlage für Ihre Anwendung in der Elektrischen Übertragungstechnik
Additional resources for A New Perspective on Asset Allocation
A e. G 8 a. = 3 2 2 a r g 0 5' I Q-c 0 r3ngz cw Liability Refurns This formula refers to liabilities existing at the beginning of the period and does not incorporate additional liabilities that may accrue during the period. To illustrate this point, suppose the retired-lives liabilities depicted in Figure 22 were subject to a market discount rate of 8 percent at the beginning of the year, resulting in a present value of $100 million. 87 million are paid out during the year. 86 million. 73 percenta $100 million Ignoring intraperiod compounding In the past, actuarial smoothing and the highly lagged process for revision of actuarial valuation rates contributed to the perception that the present value of the liabilities had little immediate bearing on fund management.
In particular, if assets and Liabilities are equal at the outset-that is, if the surplus is zero-then the asset return rrnust equal this liability return for the asset and liability values to remain even. 6 00% 8 0Oo!? 0090 10 00 4'0 Interest Rate Figure 36. Liability Return (Dollars in Millions) If the surplus is not zero-that is, if there is a surplus or a deficit--asset returns must equal liability returns, in dollars, to maintain a constant dollar surplus. Thus, for the surplus condition to be preserved, the asset return times the asset base must equal the liability return times the liability base.
While the asset returns of both classes have performed well over the six-and-onequarter-year period January 1, 1980 to March 31, 1986, the return on the liabilities also has been extremely high. In fact, the liability returns from the long-duration active-lives liability schedule far exceed the stellar performance of both the stock and bond A Perspectiz9e on Asset Allocation markets. More concretely, the true economic surplus for many pension funds has actually shrunk, even though asset performance has forged ahead at a historic pace.