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LIABILITY-DRIVEN INVESTMENT
Conference held in Toronto on April 25, 26 & 27, 2006
Chairs: Christopher G. Brisebois, Watson Wyatt Worldwide; Karen M. Figueiredo, Towers Perrin; Robin Pond, Morneau Sobeco; David Greenleaf, State Street Global Advisors
CD-ROM: Ov. 9 hours of video presentations
To purchase, please contact Federated Press.
INVESTMENT RISK & LIABILITY
Inflation Protection Within a Liability-Driven Investment Framework
David Greenleaf, State Street Global Advisors
- What role does inflation play?
- The impact of inflation on funding shortfalls
- How to implement LDI strategies
- Inflation protection using inflation-linked bonds and nominal swaps
- Limitations in the Canadian market and other issues
- Practical solutions for Canadian investors
"Although inflation protection is difficult in Canada due to liquidity problems, the problem can be addressed to some degree by restructuring bond allocations to better manage liability risk. This involves a basic rethinking of risk and return assumptions based on expected liabilities."
Video: 43 minutes • Overheads
The new investment paradigm for institutional investors
Christopher G. Brisebois, Watson Wyatt Worldwide
- The shift in investment paradigm
- Portable alpha, portable beta and their roles
- Pension fund experience with porting strategies and examples
- Implementation issues
- Governance issues
"The new investment paradigm for institutional investors revolves around the separation of liability management from asset management, thus putting increased focus on new skill, leverage and governance."
Video: 42 minutes • Overheads
Employing tactical asset allocation techniques
Paul E. Fahey, Aurion Capital Management Inc. and Arun Muralidhar, Mcube Investment Technologies LLC
- Innovative approaches to managing pension funds
- Assets: PME investment decision process
- Examples of dynamic beta strategies
- Sample investment fund structure
"The new models of asset allocation involve moving from the old, simple rebalancing strategies to a dynamic beta and alpha management. These allocations are linked closely to liability benchmarks."
Video: 43 minutes • Overheads
Managing the corporate finance risks of defined benefit pension plans
Patrick K. Walsh, SEI Investments Canada
- Understanding the effect of pension operations on corporate finance
- Case study: when good pensions go bad
- Tools for managing corporate pension risk
- Measuring and managing corporate risk
"Managing the corporate finance risks of defined benefit pension plans requires a more dynamic approach than in years gone by. Today, all plan management functions must be fully coordinated, while assets and liabilities are balanced in tandem."
Video: 42 minutes • Overheads
MANAGING INVESTMENT RISK
Panel discussion: Minimizing asset-liability risk
Michelle D. Peshko, Falconbridge Limited and Karen Figueiredo, Towers Perrin
- The objectives of a defined benefit pension fund
- Defining risk: how likely is it to be bad?
- Integrated thinking: assets and liabilities
- Customized total balance sheet approach
- Liability benchmarking samples
- Strategic duration matching
"The recent financial environment has raised the problems and awareness of asset/liability mismatches, and the need in the pension industry for a more dynamic approach to setting asset mix. This requires a more integrated thinking and a total balance sheet approach."
Video: 48 minutes • Overheads
Asset/Liability risk management: the distortions of short-term focus
Leo de Bever, MGF Global Investment Management
- Pooled financing of long-term pension obligations
- The investment optimization process
- Expected return on passive and active risk
- Explaining rising pension costs and the consequences of risk
"To avoid the distortions that can come out of short-term focus on "feel-good" policies, pension management must avoid these distractions by maintaining consistency with total long-term objectives. This, in practice, involves increasing long-term incremental return with a total risk constraint."
Video: 31 minutes • Overheads
The CPPIB risk-return management framework
Sterling Gunn, Canada Pension Plan Investment Board
- CPPIB investment mission
- Risk-return accountability framework
- Total portfolio decision-making
- Measuring and judging success
"The Canada Pension Plan risk-return management framework is built upon a risk-return accountability framework, which in turn operates a total portfolio decision -making process."
Video: 39 minutes • Overheads
Hedging pension liability risk
Aaron Meder, UBS Global Asset Management and Drew Carrington, UBS Global Asset Management
- Challenges facing pension plans
- Managing funding ratio risk and return
- Overcoming implementation issues: interest rate hedging
- Linking liabilities to assets
- Integrating return-focused an risk-focused approaches
"In hedging pension liability risk it is important to link liabilities to assets and to assess investment policies relative as well to liabilities Interest rate derivatives can then be a powerful risk management tool. "
Video: 40 minutes • Overheads
INVESTMENT TOOLS & POLICIES
Commodities, bonds & real estate as hedges against inflation
Michel Toupin, Laval University Pension Funds
- Pension funds characteristics
- U.S. inflation and real estate
- Commodities: hedging capacity
- Real-return bonds: foreign markets
- Implementing real-return bonds, commodities and real estate: a flexible approach
"Pension plans are always seeking a match in terms of magnitude, direction and timing. The purpose of using commodities, bonds & real estate therefore is twofold: as a hedge against inflation and its effects on liabilities, and to minimize risk on assets through diversification."
Video: 49 minutes • Overheads
Panel discussion: total return approach and asset/liability management approach- can they be reconciled?
Robin Pond, Morneau Sobeco and Eric A.T. Innes, Fiera YMG Capital Management
- Nature of the liabilities
- Considerations in planning to achieve objectives
- Total return vs. asset/liability management
- Reconciliation: risk tolerance
- Alternative investments: governance issues
"If we can reconcile total return investing with a more disciplined asset/liability management approach focus, then we reduce the potential opportunity cost of dealing with the "Horse and the Barn Door."
Video: 54 minutes • Overheads
Uses of leverage in portfolio construction
Dino Bourdos, TD Asset Management
- Contributions to funding challenges
- Instruments used for bond overlay
- Case studies of using leverage in pension plan portfolios
- Liability-driven investing: duration extension strategies
"There is no question that due to the deterioration of pension fund funding in recent years, there is a place today for renewed consideration of leverage strategies in the asset/liability context."
Video: 38 minutes • Overheads
Employing portable alpha to achieve asset liability goals
Bernice Miedzinski, York Investment Strategies Inc.
- Reasons to consider portable alpha strategy
- Enhancing portfolio returns using synthetics (derivatives)
- Requirements for portable alpha strategy
- Probability of excess returns
- Portable alpha: implementation options and other considerations
"The reason to consider portable alpha strategies increasingly in the future is the existing mismatch of the plan sponsor's assets and specific liabilities. The bottom line is that for a benefit to the investor to occur, alpha source must out perform LIBOR plus costs."
Video: 47 minutes • Overheads
RISK & LIABILITY BENCHMARKING
The asset liability evaluation model
Mary Robinson, Russell Investment Group
- The fiduciary decision-making perspective
- The evolution of the traditional pension fund management
- Framework for asset liability management
- Traditional asset allocation with alternatives
- Portable alpha strategy with liability hedging
"The asset/liability evaluation process is one that takes time, resources and the paying of close attention to detail. Pension fund managers must develop a full understanding of any new investment strategies undertaken, while consistently measuring what they are managing here."
Video: 36 minutes • Overheads
The dynamic risk allocation model
F. Craig Honey, Integra Capital Management Corporation
- What kind of risks are we talking about?
- Do future investment strategies need to be different
- Can risk be managed and still meet return needs?
- Today's challenges: asset class returns and others
- Why port alpha? Better risk allocation control
"The continuous activity to consider the possibility of loss is the driving force behind any risk allocation model. This activity must include current asset/liability status, economic shifts, and agent capabilities such as alpha and beta."
Video: 37 minutes • Overheads |