Active Quantitative Equity Quarterly

Using Equities to Manage Risk and Boost Returns in a Liability Driven Investment (LDI) Strategy

Many US pensions are engaged in a critical balancing act, as they seek to manage funded status volatility and close funding gaps on their glide path to fully hedged liabilities. Recent research by Adhi Mallik, Portfolio Strategist on the Active Quantitative Equity team and  Orhan Imer, Senior Portfolio Manager on the Fixed Income Team, found that plans which are able to tolerate a degree of risk and have an interest in alpha generation (not just in drawdown mitigation) could benefit from defensive equity strategies, which carry a dual risk-and-return mandate.

September 2019

Equity Risk Exposure in DB Pension Plans: How Defensive Equities Can Fit into an LDI Strategy

Defined-benefit pension plans that implement a liability-driven investment (LDI) framework  for their assets often face challenges on their way to a fully hedged portfolio – they must continue to seek returns in order to reach fully funded status, but are under pressure to reduce liability-hedging risk.

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Where We See Opportunity in Emerging-Market IT Stocks

Where We See Opportunity in Emerging-Market IT Stocks. 

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What an 80:60 Equity Strategy Can Teach Investors as Market Volatility Rises

Defensive equity strategies seeking to participate substantially in up markets while limiting exposure to market downsides (i.e., approximately an 80:60 ratio of upside to downside capture) can significantly outperform their benchmarks.

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Volatility Among Historically Divergent Sectors is Now Converging. A Comparison of Utilities and Insurers Illustrates What This Means for Portfolio Construction.

Utility stocks are becoming more volatile and, from a valuation perspective, less attractive. Meanwhile, insurance stocks are currently expressing the risk and return attributes of a classically defensive exposure.

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