pension liabilities and risk parity investing
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Pension liabilities and risk parity investing

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One popular outgrowth of MPT is the now-classic equities-bonds mix. Risk parity tinkers with MPT and divides assets into equal shares, such as stocks, bonds, commodities and Treasury inflation-protected securities. Then managers ladle on dollops of borrowed money to get a bigger bang for this buck. Nonetheless, this is hardly a magic formula, and idiosyncratic application from managers produces losers as well as winners.

Complicating the picture, as NISA points out, is that risk parity is hard to benchmark. The upshot is that a lot of the proclaimed alpha benchmark-beating returns are not that great and owe more to leverage. The key concept of a risk parity strategy can be mathematically represented by the following formula 1. The risk contribution from each asset to the overall portfolio total risk is the same. Risk parity strategies have become increasingly popular and familiar to institutional investors over the past few decades 2.

In this study, we explore the feasibility of applying the strategy to fixed-income-only portfolio, which may be more interesting to insurance asset and pension fund managers. The effectiveness, implementation variables and limitations of this strategy when applied to a fixed-income-only portfolio are the focus of this report.

As shown in Table 1, we used nine asset indices that were selected to represent major public fixed income sectors, taking into account both the data availability and the available history. There are several sectors in the Global Agg Index that are not included in the selected asset universe and vice versa. For the assets that are included in both, the weights of these assets in the risk parity portfolio could be significantly different from those in the Global Agg Index.

Therefore, the Global Agg Index should only be viewed as an overall fixed income market gauge, rather than a strict benchmark. Some of the selected assets are highly correlated. Adding lower- and negatively- correlated assets such as private corporates and commercial mortgages might further improve portfolio performance and risk profile.

However, adding these more risky and illiquid assets would introduce rebalancing constraints, because of the trading cost and risk-based capital requirements, which are portfolio specific. Therefore, to generalize the findings of this report, only pubic indices were selected, and no criteria of asset correlation was applied for selecting these assets. Extremely low volatility assets were also not included, e. Therefore, portfolio returns would be very low, although relatively more stable.

Both weekly and monthly data were used. Figure 1 shows the cumulative returns of the selected asset indices. Rebalance was done at a monthly frequency. The rebalancing objective was to achieve an equal risk contribution from each asset by finding the appropriate weight combination. To calculate asset standard deviation and the covariance matrix, the lookback period and data frequency need to be determined. From our hypothetical back-testing results in the next section we found that these two were the most important variables, providing that the asset universe had been defined.

For performance measurement, higher return does not necessarily mean that the strategy is better, because the associated risk needs to be considered. Therefore, a return-to-volatility ratio, a risk adjusted risk measure, was used to evaluate portfolio performance. The higher the return-to-volatility ratio, the better the portfolio performance. Maximum Drawdown MDD was used to measure the portfolio risk profile.

A 2-year rolling window was used for MDD. Figure 2 shows that in our simulations the risk parity portfolio with 6-month lookback period the blue line produced not only a higher cumulative return but also a higher return-to-volatility ratio than those of the Global Agg Index the dark gray line.

Several lookback periods were tested ass hown in Table 3. The first observation is that, the risk parity portfolios with different lookback periods all outperformed the Global Agg Index, a buy and hold strategy. This shows that the hypothetical risk parity portfolio achieved a higher risk-adjusted return, with robustness, over the periods tested. Second, as the lookback period increases, both annualized return and annualized volatility decreased.

However, the return-to-volatility ratio reached its highest level of 1. The ratio diminished when the lookback period was increased to months. If the lookback period is too long, the portfolio may not be sensitive enough to adapt to the changes in market volatility.

Our back-testing results support this explanation. We believe that 6- to 9- months is a reasonable lookback range that achieves a balance between the under- and over-reaction for the selected asset universe. In this report, the lookback period was not optimized for two reasons.

First, the optimization in back-testing could introduce a data-mining issue. Second, the optimal lookback period is specific to the selected asset universe, data frequency and benchmark. When the asset universe and other constraints change, the optimal lookback period may change accordingly.

Our goal is to explore and demonstrate the implementation factors and evaluate the applicability of risk parity strategy in a fixed-income-only portfolio, rather than providing a specific strategy with a defined universe and a set of parameters. The hypothetical risk parity strategy with a 6-month lookback period was chosen to demonstrate the frequency and magnitude of the asset weight changes overtime, as shown in Figure 3.

As can be seen, the riskier assts, e. The shorter the lookback periods and the higher the rebalance frequency, the more frequently the asset weights shift. Besides the whipsaw effects, frequent weight changes also increase transaction costs, given the nature of fixed income securities and illiquidity assets, if included.

For simplicity reasons, transaction costs and other portfolio fees and expenses are not considered in the back-testing results herein. Transaction costs and fees and expenses will reduce performance when a strategy is implemented. Regardless how frequently the asset weights changes, the risk contribution from each asset remains the same, as shown in Figure 4, which is the definition of risk parity strategy.

However, the MDDs of the risk parity portfolio were larger during the Great Financial Crisis and during the current pandemic March The combination of the asset universe, rebalance frequency and lookback periods determined the portfolio risk profile in terms of MDD. During crises, the values of these riskier assets dropped suddenly. The monthly rebalance frequency was not able to cut down the weights of these asset quickly enough, therefore, the MDDs of the risk parity portfolio were bigger than those of Global Agg Index during crisis periods.

In a relatively slow-moving bearish market, the risk parity portfolio with a 6-month lookback period and monthly rebalance frequency was able to adjust the weights more gradually. Therefore, the MDDs of the risk parity portfolio were smaller than those of the Global Agg Index during a slow-moving market.

Although our simulation suggests a risk parity strategy could potentially achieve a higher risk adjust return, it is not necessarily the case that the total return is always higher than that of a benchmark. The main reason could be that the risk parity portfolio is not taking enough risk, so the total return of the risk parity portfolio underperforms the benchmark in terms of total return.

In order to try and boost the total return, leverage could be used to adjust the overall portfolio volatility to the benchmark level. Two common leverage methods are borrowing cash and using derivatives e. Borrowing costs and collateral requirements need to be considered respectively for the two methods.

It should be noted, however, that while leverage can be used in an effort to boost total return, leverage can also magnify losses that would not occur in the absence of leverage. In Figure 2, the light gray line shows that in our simulations the leveraged risk parity portfolio significantly outperformed the Global Agg Index, while maintaining the same amount of risk i.

The leveraged portfolio returns were calculated by multiplying the return-to-volatility ratio 1. No specific leverage method was modeled in this leveraged portfolio. The MDD of the leveraged risk parity portfolio was bigger than that of the unleveraged portfolio during crisis periods, as shown Figure 5.

Leverage cost was not considered in the leveraged risk parity strategy, since the leverage cost could be different for each firm. Nevertheless, we believe these costswould not eliminate the outperformance of the strategy in our simulation. The back-testing results showed that a hypothetical risk parity strategy could be applied to a fixed-income-only portfolio and achieve a higher risk-adjusted-return than that of a fixed income benchmark.

Leverage can also be a useful tool to try and boost the total return of a risk parity portfolio, while maintaining the same amount of risk as the benchmark, or at any desired risk level. Factor tilting, e. This analysis is not intended for distribution with Retail Investors.

The views expressed herein are solely those of MIM and do not necessarily reflect, nor are they necessarily consistent with, the views held by, or the forecasts utilized by, the entities within the MetLife enterprise that provide insurance products, annuities and employee benefit programs.

The information and opinions presented or contained in this document are provided as the date it was written. It should be understood that subsequent developments may materially affect the information contained in this document, which none of MIM, its affiliates, advisors or representatives are under an obligation to update, revise or affirm.

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Under the current Internal Revenue Service IRS and accounting rules, pensions can be funded by cash contributions and company stock, but the amount of stock that can be contributed is limited to a percentage of the total portfolio. Companies generally contribute as much stock as they can to minimize their cash contributions.

However, this is not good portfolio management because it results in a fund that is "overinvested" in the employer. The portfolio is overly dependent on the financial state of the employer for both future contributions and good returns on the employer's stock. The need to make this cash payment could materially reduce EPS and equity. The reduction in equity could trigger defaults under corporate loan agreements, which generally have serious consequences, ranging from higher interest rates to bankruptcy.

That was the simple part. Now it starts to get complicated. Determining whether a company has an underfunded pension plan appears to be as simple as comparing the fair value of plan assets—which includes the current value of the plan assets that the company estimates it will have in the future—to the accumulated benefit obligation, which includes the current and future amounts owed to pensioners.

If the fair value of the plan assets is less than the benefit obligation, there is a pension shortfall. The company is required to disclose this information in a footnote in a company's K annual financial statement. However, this simple comparison is a deceptive process because it is unlikely that the company will actually have to pay the full amount in a relatively short time frame.

A company must place a current value on the benefits that won't be paid until several years into the future and then compare this number to the current value of pension assets. To put it another way, it's like comparing the mortgage on your recently purchased home to your savings account.

The gap is currently very large, but you expect to make the payments from future earnings. It would be hard to gauge the "real" risk that you will default on your mortgage by making such a comparison. Assumption risk occurs when companies use assumptions to reduce the need to add cash to their pension funds. As we are dealing with long-term obligations and uncertainties, assumptions are necessary for estimating both the accumulated benefits and the amount the company needs to invest to provide those benefits.

These assumptions can be made in good faith, or they can be used to minimize any adverse impact on corporate earnings. There is a very real risk that companies will adjust their assumptions to minimize the shortfall and the need to contribute additional money to the pension fund. A company could, for example, assume a long-term rate of return of 9. It is also reasonable to assume that the pension fund would have some bond holdings to meet the near-term payment obligations.

Another way that companies can manipulate pension liability is to assume a greater discount rate. The accumulated pension obligation is the net present value NPV of the future stream of expected benefit payments. A higher discount rate will result in a lower benefit obligation. Investors need to review a company's assumptions, in relation to current economic trends and expectations, to evaluate how reasonable they are.

The risk of underfunded pensions is real and growing. An underfunded pension and an aging workforce present a very real risk to companies and investors, but the shortfall and assumption risks can be very hard to evaluate. Internal Revenue Code.

Securities and Exchange Commission. Retirement Planning. Your Money. Personal Finance. Your Practice. Popular Courses. Retirement Planning Pensions. Key Takeaways Only defined-benefit pension plans can be at risk of underfunding because an employee, not the employer, bears the investment risk in defined-contribution plans. Underfunding means that pension payout liabilities exceed the assets a company has to cover those payouts; the company must increase its contribution to its pension portfolio—usually in the form of cash.

It can be difficult to determine whether underfunding is happening because pension liabilities are for future payouts and companies may make overly optimistic assumptions about long-term rates of return on investments. Thus, although an inflation assumption is embedded in the assumed salary growth assumption when calculating the PBO of accruing plans, it is typically not material enough to be hedged.

As we remarked previously, pension liabilities typically have long durations, generally 10—18 years. Being short duration relative to the liabilities—that is, having a small hedge ratio—can degrade the effectiveness of the liability-hedging portfolio and result in significant underperformance of assets relative to liabilities. Liabilities are valued using the Citigroup Pension Discount Curve. Some aspects of the liability, such as mortality and other demographic assumption changes, as well as plan experience i.

Putting these aside, it is still virtually impossible to perfectly mimic the behavior of a discounted liability stream through an investable bond portfolio. In this section, we discuss the most notable challenges in creating the elusive liability-replicating, or immunized, portfolio.

Specifically, we note the following chief challenges in perfectly hedging a liability stream: curve matching, credit spread constraints, high-quality concentration, and downgrade decay. Because many of these challenges cannot be completely eliminated, we advise plan sponsors to devise the most effective liability hedge that mitigates these trade-offs, and then to manage funded status risk to an acceptable level, rather than try to attain a false sense of precision at a greater cost.

The first step in constructing the liability-hedging portfolio is matching the interest rate duration of the portfolio to the duration of the liability or another duration target that is sensible relative to the liabilities. A liability-hedging portfolio that matches the liability duration may still take on a certain amount of curve risk.

However, such duration positioning often comes with a significant amount of curve risk Figure 7. As a result, relative to liabilities, this implementation results in a meaningful overweight to changes in the year yield and underweights elsewhere, especially in the year yield. In other words, if the year yield were to fall—or year yield were to rise—while the rest of the curve were not to change as much, the assets would significantly underperform the liabilities.

Indeed, no yield-curve change affects all maturities equally, so such positioning is therefore susceptible to the flattening, steepening, and kinking that can result in a term structure of rates over time. It is possible to mitigate these curve exposures by matching not only the total liability duration but also key rate durations through customized portfolio construction and the use of derivatives. This is crucial for well-funded plans with large allocations to liability-hedging portfolios.

However, as we will discuss in the next section, plans with low funded status and large allocations to growth assets are typically better served by hedging overall duration via cost-efficient long duration strategies such as indexed STRIPS rather than expensive, customized key-rate, duration-matching portfolios.

Using the accounting methodology, pension liabilities are discounted using a Aa corporate bond curve, which embeds a spread above the risk-free Treasury curve. This credit spread component creates at least five issues for liability-hedging purposes:. Similar to the challenges associated with managing curve exposures, the plan sponsor must arrive at the best solution that manages credit exposure in the most effective manner possible, while keeping in mind the growth portfolio.

The Aa nature of the liability discount rate may seem conservative on the surface, yet plans that elect to perfectly mimic this high-quality exposure by investing solely in Aa-rated bonds assume a substantial amount of issuer concentration risk in their corporate bond portfolios Figure 8.

The corporate Aa universe has exhibited elevated issuer concentration since the Global Financial Crisis. Plan sponsors can mitigate this concentration risk by investing in a blend of Treasuries and investment-grade bonds which include bonds rated Baa or higher such that the quality profile of the total portfolio is similar to that of the Aa universe.

The total investment-grade universe is much broader, allowing for a significantly more diversified and less concentrated portfolio. A significant disconnect between the liability discount curve drawn from the Aa corporate bond universe and the liability-hedging portfolio is the impact of bond downgrades and defaults.

If an issuer is downgraded below Aa or sustains a default, its yield generally rises, which means that the market value of the liability-hedging portfolio decreases. This resulted in a 20 bp decrease in the Citigroup Pension Liability Index discount rate, a commonly used discount curve source. This is not an isolated issue. In the broad investment-grade universe, which has many more issuers, the effects are similar, although smaller.

Still, when they are compounded over time across many downgrades, the drag from this issue becomes extremely meaningful. This effect is compounded by forced selling immediately following the downgrade, if the investment guidelines are particularly strict. The downgrade decay shows why effective active management is crucial for managing the credit exposure within the liability-hedging portfolio. In addition, flexible investment guidelines that broaden the permissible credit quality of holdings into securities rated Baa, for example allow limited exposure to high yield i.

The previous section touched on the constraints inherent in perfectly matching a liability proxy based on Aa corporate bond yields. We now address a key aspect of liability-hedging portfolio construction: the impact of the weight and composition of the growth portfolio on the liability-hedging portfolio. The end goal of the total asset allocation is to maximize asset return over a liability return at a controlled level of funded status risk.

Thus, the liability-hedging portfolio should not attempt to perfectly immunize a cash flow stream, but rather optimize duration, curve, and credit spread exposures within the broad asset-liability context that includes all assets. Credit spreads are a component of liability discount rates, but a plan should be cautious in assuming that heavy or exclusive use of credit-related securities is appropriate in all cases.

Changes in credit spreads and equity markets are highly correlated Figure 9 ; this is intuitive, as healthy economic conditions and an improved risk sentiment that drive equity returns are also conducive to lower implied credit spread risk and therefore lower credit spreads , and better performance among corporate bonds. Notes: Changes in credit spreads are month-to-month. All equity returns are net of dividend taxes. As a result of this relationship, plans must take into account the relative size and riskiness of the growth portfolio i.

It shows that equity risk can have substantial implications for implementing the liability-hedging portfolio:. In Figure 10, we assumed that the liability-hedging portfolio is duration matched to the liabilities. While this would lower the two curves in Figure 11 , the overall conclusion that lower weight to credit at higher growth portfolio weights decreases funded status volatility would still hold.

The portfolio is rebalanced monthly. Funded status volatility is computed assuming no contributions, no benefit payments, no manager value-add, and no transaction costs over a five-year period ending December 31, In this case, long duration obtained cheaply reduces funded status risk much more efficiently than a finely tuned, curve-matching portfolio. Conversely, a well-funded plan that invests nearly all of its assets to hedge the liabilities has a very low tolerance for funded status volatility, raising the degree of liability- hedging precision.

Most plans are likely somewhere between the two end points described above. In determining the appropriate definition and implementation of a liability hedge, plans should consider the trade-offs associated with:. After incorporating all of the duration, curve, and credit nuances described above to arrive at an optimal liability hedge, plans can implement the portfolio in a variety of ways.

In this section, we review the key benefits and drawbacks of commonly used approaches. As noted earlier, because few plans offer COLAs in their benefit structure, liability-hedging portfolios contain mostly nominal fixed rate corporate and government securities. Practically speaking, corporate bond investments are only investable in the physical format, as credit default swaps—the only liquid and investable credit derivatives—reflect a significant basis risk and are not appropriately calibrated in terms of duration.

A physical approach does have drawbacks, although the nature of the drawbacks is uniquely different for poorly funded versus well-funded plans:. However, derivatives also present unique risks and considerations from investment, operations, and reporting perspectives, including ASC formerly FAS Plans should ensure that these risks and complexities are well articulated and managed at a policy level, and implementation of derivatives may very often need to reside with an external manager.

Three key derivative types are covered below: Treasury futures, interest rate swaps, and swaptions. As the demand for liability-hedging strategies has grown, other fixed income derivatives have been developed, including zero-coupon swaps and total return swaps on specific Treasury bonds or STRIPS. The former enables plan sponsors to gain duration even more efficiently than traditional interest rate swaps, while the latter provides exposures to specific, potentially nonstandard maturity points e.

While these over-the-counter derivatives are not as commonly used as the three types we describe above, their usage may grow. Treasury Futures. Like futures on other assets commodities, equities, etc. Treasury futures provide exposure to two-, five-, ten-, and year Treasury yields, allowing plans to gain exposure to various interest rate points along the curve.

If interest rates fall and both liabilities and Treasury bonds experience positive returns, the long side of the futures contract benefits and is paid by the short side of the contract. Given the long duration nature of pension liabilities, plans typically extend duration by purchasing ten- and year Treasury futures adjusted as needed for curve parameters. Similarly, a pension investor can lighten duration exposure at various maturities e.

In custom strategies, Treasury futures are used in combination with physical bonds to manage the key rate exposures of the portfolio relative to the liabilities. Another benefit of Treasury futures is that they are exchange-listed with daily margin settlement, eliminating considerations of counterparty risk and complexities tied to International Swap and Derivatives Association ISDA or other over-the-counter OTC procedures. One key consideration of Treasury futures is the management of margin requirements particularly in stress environments when interest rates rise sharply thereby requiring the posting of additional margin.

Unless outsourced to the manager responsible for managing the futures, a plan must maintain the proper operational resources to handle the funding and maintenance of margin. Finally, margin presents additional reporting requirements. Interest Rate Swaps. A fixed-for-floating interest rate swap is a contract whereby one party agrees to pay the other party a fixed amount in exchange for a floating amount periodically for a pre-determined amount of time.

For instance, in a year interest rate swap, party A agrees to pay party B a fixed amount equal to a fixed rate times a notional amount determined in advance in exchange for a floating amount equal to a short-term rate, typically LIBOR, plus a spread, times the same notional amount. The parties can also settle the swap by netting out the present value of future payments based on current swap rates.

In this transaction, party B has effectively purchased a fixed-term bond with a fixed coupon rate but without the principal payment at the end and has therefore assumed interest rate duration consistent with owning a bond. The duration of the floating rate leg is negligible as the rate resets quarterly or monthly. Thus, a pension investor can add duration by assuming a position similar to party B or lighten up on duration by assuming a position similar to party A.

A significant advantage of employing swaps is the capital efficiency of the position. Since neither party is required to pay any amount up front, investors can increase the duration of their portfolios without having to tie up a significant amount of capital.

However, capital infusions may be necessary if there are material moves in interest rates. Another positive is that there is a large and liquid market for swaps of varying maturities and, as such, they can be cheap to trade, particularly when compared to physical corporate bonds. In particular, the market for ultra-long swaps above 30 years is more liquid and active than that for year Treasury bonds or STRIPS.

Plans must be aware of key considerations, however. The biggest drawback of interest rate swaps is that they reflect swap rates, which are related to Treasury yields and corporate spreads but are not perfect indications of each. For example, regulatory reform of derivatives such as the Dodd-Frank Act and changes in LIBOR calculations have significant implications for swap spreads but do not affect Treasury yields or credit spreads directly.

Thus, a liability-hedging portfolio that includes swaps is subject to a risk not found in the liabilities. In particular, since the financial crisis, somewhat counterintuitively, swap spreads i. Another consideration is operational complexity. Specifically, unlike in the case of futures, market participants wishing to enter into a fixed-for-floating interest rate swap need to negotiate with a specific counterparty—they cannot simply enter into a swap as they would into a standard futures contract on an exchange.

However, once the contract is executed, swaps are cleared via a clearing house which, as in the case of futures, is responsible for setting margin requirements and taking on counterparty risk. Nevertheless, swap position sizing, trading, and reporting can all be more complex than is the case for plain vanilla bonds or Treasury futures. In addition, the logistics of clearing may entail additional legal and administrative expenses.

Other, more customized swaps are OTC derivatives, meaning that they are not exchange cleared. This creates further complexity in contract negotiation with additional legal and administrative expenses and ongoing collateral management as margin requirements are set and enforced by the counterparties, not the clearinghouse , and heightens counterparty risk.

To the extent a plan has earned profits on a swap i. Although this risk can be mitigated by proper collateral and netting agreements, it must be monitored very closely. As with Treasury futures, swaps inherently target one point of the maturity spectrum; thus, a plan would take on significant curve risk if it only purchased swap exposure to a single reference point.

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Earn on forex instaforex The central tenet of modern portfolio theory is that the best diversification can be reached by matching different assets against each other, with riskier ones offsetting less risky ones. Risk parity strategies allow for both leverage and alternative diversificationalong with short selling in portfolios and funds. But what if pension liabilities and risk parity investing considered how funded status might evolve by measuring this association between assets and liabilities? What does this all mean and how can plan sponsors benefit from an LAI framework? This goal is often achieved by using leverage to weight risk equally among different asset classes using the optimal risk target level. Pension liabilities and risk parity investing Pension liability and keeping your eye on the ball On May 26,Harvey Haddix pitched 12 perfect innings for the Pittsburgh Pirates against the defending National League Champion Milwaukee Braves, retiring the first 36 batters on pitches—82 of them for strikes.
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Citizens investing In Hong Kong S. Leverage can also be a useful tool to try and boost the total return of a risk parity portfolio, while maintaining the same amount of risk as the benchmark, or at any desired risk level. Click R. Private Structured Credit. Any or all forward-looking statements, as well as those included in any other material discussed at the presentation, may turn out to be wrong.
Awilco drilling value investing formula Long duration bonds are favored over core bonds, public equity is favored over fixed income and real estate is favored over private equity. This tension between economic and smoothed valuations is familiar for pension funds and their actuaries. Risk parity strategies have generally evolved and developed from MPT investing. The multiple dimensions of COLA application make it difficult to generalize inflation-linked liability analysis. Asset allocation and asset class returns impact both assets and liabilities. LAI may justify taking on higher levels of asset volatility than a plan would otherwiseaccept before considering liability impacts, and thus support higher pension liabilities and risk parity investing toreturn-seeking assets.

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Everything Investors Need to Know About Risk Parity with Adam Butler

These goals are consistent with risk parity strategies; hence we propose using risk parity for the risk asset portfolio in corporate pension plans. Therefore. Many pension plans are refining asset allocation and risk mitigation after achieving higher funded status in favorable market conditions. However, the asset–liability mismatch remains highly risky when pension investments rely heavily on equity. Risk parity as a strategy that maximizes.