Abstract
The author divides the asset allocation decision into two asset classes: beta drivers and alpha drivers. Beta drivers, which provide broad economic exposure to the financial markets, are established by the strategic asset allocation decision. Alpha drivers are designed to provide added return beyond the return offered through passive exposure to the financial markets. Alpha drivers, chosen as part of the tactical asset allocation decision, are designed to facilitate the long-term funding goals of an organization by seeking added value. Examples of how beta and alpha drivers may be used in strategic versus tactical asset allocation are provided.
- © 2004 Pageant Media Ltd
Don’t have access? Click here to request a demo
Alternatively, Call a member of the team to discuss membership options
US and Overseas: +1 646-931-9045
UK: 0207 139 1600
Log in using your username and password
In this issue
Jump to section
Similar Articles
Cited By...
- Portfolio Diversification Using Shape-Based Clustering
- Decomposing Funding-Ratio Risk: Providing Pension Funds with Key Insights into Their Liabilities Hedge Mismatch and Other Factor Exposures
- U.S. Corporate DB Pension Plans--Todays Challenges
- U.S. Corporate DB Pension Plans--Todays Challenges
- Use Your Clients Funded Ratio to Simplify and Improve Retirement Planning Decisions
- Total Wealth Allocation: Liquidity, Longevity, and Legacy
- Tactical Asset Allocation with Macroeconomic Factors
- Optimizing Retirement Income: * An Adaptive Approach Based on Assets and Liabilities
- Asset Owners versus Asset Managers: Agency Costs * and Asymmetries of Information in Alternative Assets
- Hedging Long-Duration Liabilities with Levered * Short-Duration Bonds
- Integrating Asset-Liability Risk Management with Portfolio Optimization for Individual Investors
- An Asset-Liability Version of the Capital Asset Pricing Model with a Multi-Period Two-Fund Theorem