In Buy-and-Hold and Constant-Mix May Be Better Allocation Strategies Than You Think, in the June 2020 Multi-Asset Special Issue of The Journal of Portfolio Management, Thomas J. O’Brien of the University of Connecticut discusses the relative practicality and utility of various basic multiperiod allocation strategies. Applying a three-period binomial model, O’Brien calculates how much anticipated future wealth investors might forgo from following simpler portfolio-management strategies such as buy-and-hold or constant-mix, instead of a more complex optimal reallocation plan. He also determines which fixed-income vehicles would better suit which investors. By making assumptions about equities and interest rates in his analyses, O’Brien derives conclusions about the best allocation and fixed-income strategies for investors with differing risk thresholds. He finds that in an environment where equity mean-reversion and interest-rate uncertainty prevail, investors can pursue either buy-and-hold or constant-mix portfolio strategies without incurring much economic cost. Investors’ preferred allocation strategies and fixed-income approaches should be guided by their risk tolerance. The more risk averse would opt for a constant-mix allocation strategy paired with horizon-maturity fixed-income instruments. More-risk-accepting investors would apply a buy-and-hold allocation strategy coupled with a sequenced series of shorter-term bills. TOPICS: Portfolio management/multi-asset allocation, portfolio theory, portfolio construction
在《投资组合管理杂志》2020年6月的多资产特刊中，康涅狄格大学的托马斯·j·奥布莱恩(Thomas J. O 'Brien)在《买入并持有和持续组合可能是比你想象的更好的配置策略》一篇文章中讨论了各种基本多期配置策略的相对实用性和实用性。奥布莱恩运用一个三期二项模型，计算了投资者在遵循简单的投资组合管理策略(如买入并持有或固定组合)、而不是更复杂的最佳再分配计划时，可能会放弃多少对未来财富的预期。他还决定哪些固定收益工具更适合哪些投资者。通过在分析中对股票和利率做出假设，奥布莱恩得出了针对不同风险阈值投资者的最佳配置和固定收益策略的结论。他发现，在股票均值回归和利率不确定性盛行的环境中，投资者可以选择买入并持有或固定组合投资策略，而不会产生太多的经济成本。投资者的首选配置策略和固定收益方式应以其风险承受能力为指导。风险厌恶程度更高的人会选择固定组合配置策略，搭配期限较短的固定收益工具。更愿意接受风险的投资者将采用买入并持有的配置策略，同时持有一系列有顺序的短期票据。主题:投资组合管理/多资产配置、投资组合理论、投资组合构建
{"title":"Practical Applications of Buy-and-Hold and Constant-Mix May Be Better Allocation Strategies Than You Think","authors":"Thomas J. O'Brien","doi":"10.3905/pa.9.2.441","DOIUrl":"https://doi.org/10.3905/pa.9.2.441","url":null,"abstract":"In Buy-and-Hold and Constant-Mix May Be Better Allocation Strategies Than You Think, in the June 2020 Multi-Asset Special Issue of The Journal of Portfolio Management, Thomas J. O’Brien of the University of Connecticut discusses the relative practicality and utility of various basic multiperiod allocation strategies. Applying a three-period binomial model, O’Brien calculates how much anticipated future wealth investors might forgo from following simpler portfolio-management strategies such as buy-and-hold or constant-mix, instead of a more complex optimal reallocation plan. He also determines which fixed-income vehicles would better suit which investors. By making assumptions about equities and interest rates in his analyses, O’Brien derives conclusions about the best allocation and fixed-income strategies for investors with differing risk thresholds. He finds that in an environment where equity mean-reversion and interest-rate uncertainty prevail, investors can pursue either buy-and-hold or constant-mix portfolio strategies without incurring much economic cost. Investors’ preferred allocation strategies and fixed-income approaches should be guided by their risk tolerance. The more risk averse would opt for a constant-mix allocation strategy paired with horizon-maturity fixed-income instruments. More-risk-accepting investors would apply a buy-and-hold allocation strategy coupled with a sequenced series of shorter-term bills. TOPICS: Portfolio management/multi-asset allocation, portfolio theory, portfolio construction","PeriodicalId":179835,"journal":{"name":"Practical Application","volume":"78 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-06-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"122951607","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
In Target-Date Funds, Glidepaths, and Risk Aversion, from the Winter 2020 issue of The Journal of Wealth Management, author Javier Estrada (of IESE Business School in Barcelona, Spain) explores why target-date funds (TDFs) use glidepaths that reallocate assets out of high-growth investments and into capital preservation funds as individuals approach retirement. The simple answer is that people become more risk averse as they get older. But therein lies a problem: People tend to have less to invest when younger and more when older–so shifting money into low-growth investments reduces investors’ earnings potential as they accumulate more principal to invest. This may leave them with less at retirement. Whether this strategy is suitable depends on how much investors’ risk aversion really increases with age. Estrada investigates how much risk aversion would have to increase to match the risk reduction implemented by a popular TDF that starts off with a 90%/10% stock/bond allocation and ends up at 50%/50% at retirement. Using statistical analysis, Estrada determines that risk aversion would have to more than double during the last 25 years of working life to match the glidepath. Financial advisors may wish to take these findings into account in discussions with clients. TOPICS: Equity portfolio management, retirement, wealth management, risk management
{"title":"Practical Applications of Target-Date Funds, Glidepaths, and Risk Aversion","authors":"Javier Estrada","doi":"10.3905/pa.9.1.439","DOIUrl":"https://doi.org/10.3905/pa.9.1.439","url":null,"abstract":"In Target-Date Funds, Glidepaths, and Risk Aversion, from the Winter 2020 issue of The Journal of Wealth Management, author Javier Estrada (of IESE Business School in Barcelona, Spain) explores why target-date funds (TDFs) use glidepaths that reallocate assets out of high-growth investments and into capital preservation funds as individuals approach retirement. The simple answer is that people become more risk averse as they get older. But therein lies a problem: People tend to have less to invest when younger and more when older–so shifting money into low-growth investments reduces investors’ earnings potential as they accumulate more principal to invest. This may leave them with less at retirement. Whether this strategy is suitable depends on how much investors’ risk aversion really increases with age. Estrada investigates how much risk aversion would have to increase to match the risk reduction implemented by a popular TDF that starts off with a 90%/10% stock/bond allocation and ends up at 50%/50% at retirement. Using statistical analysis, Estrada determines that risk aversion would have to more than double during the last 25 years of working life to match the glidepath. Financial advisors may wish to take these findings into account in discussions with clients. TOPICS: Equity portfolio management, retirement, wealth management, risk management","PeriodicalId":179835,"journal":{"name":"Practical Application","volume":"11 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-06-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"132459534","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
C. Wessendorf, Schneider Schneider, Kai. Shen, O. Terzidis
In Valuation of Early-Stage Technology Ventures: An Approach to Derive the Discount Rate, from the Winter 2021 issue of The Journal of Alternative Investments, authors Christoph P. Wessendorf, Jared Schneider, Kai Shen, and Orestis Terzidis of Karlsruhe Institute of Technology (KIT) seek to develop an approach venture capitalists can use to derive the discount rate of technology ventures at their early stage. Traditional venture valuation methods rely on quantifiable financial history and data that often are unavailable in early-stage ventures. To compensate for the missing data, venture capitalists often use subjective, or nonfinancial, determinants to assess a venture’s value. The authors explore which nonfinancial valuation determinants have a meaningful impact on eventual value, weigh their relative importance, and use these factors to calculate a venture-specific valuation score. Next, the authors assess mathematical models that can be used with this score to calculate a suitable discount rate. They compare the empirical results of early-stage technology ventures with the values attained using these models to find high fidelity between the exponential discount rate structure and the real observed target return data. Ultimately, the authors propose that an exponential discount rate structure can be used in tandem with nonfinancial determinants to develop sound, venture-specific valuation. TOPICS: Real assets/alternative investments/private equity, security analysis and valuation, performance measurement
《另类投资杂志》(the Journal of Alternative Investments) 2021年冬季号的《早期科技企业的估值:一种获得贴现率的方法》一文中，卡尔斯鲁厄理工学院(KIT)的作者Christoph P. Wessendorf、Jared Schneider、Kai Shen和Orestis Terzidis试图开发一种方法，风险资本家可以用它来计算早期科技企业的贴现率。传统的风险估值方法依赖于可量化的财务历史和数据，而这些在早期风险投资中往往是不可用的。为了弥补数据的缺失，风险投资家经常使用主观的或非财务的决定因素来评估风险投资的价值。作者探讨了哪些非财务估值决定因素对最终价值有意义的影响，权衡其相对重要性，并使用这些因素来计算风险特定的估值得分。接下来，作者评估数学模型，可以用这个分数来计算一个合适的贴现率。他们将早期技术企业的经验结果与使用这些模型获得的值进行比较，发现指数折现率结构与实际观察到的目标回报数据之间具有很高的保真度。最后，作者提出，指数折现率结构可以与非财务决定因素一起使用，以形成合理的、针对风险投资的估值。主题:实物资产/另类投资/私募股权，证券分析和估值，绩效评估
{"title":"Practical Applications of Valuation of Early-Stage Technology Ventures: An Approach to Derive the Discount Rate","authors":"C. Wessendorf, Schneider Schneider, Kai. Shen, O. Terzidis","doi":"10.3905/PA.9.1.438","DOIUrl":"https://doi.org/10.3905/PA.9.1.438","url":null,"abstract":"In Valuation of Early-Stage Technology Ventures: An Approach to Derive the Discount Rate, from the Winter 2021 issue of The Journal of Alternative Investments, authors Christoph P. Wessendorf, Jared Schneider, Kai Shen, and Orestis Terzidis of Karlsruhe Institute of Technology (KIT) seek to develop an approach venture capitalists can use to derive the discount rate of technology ventures at their early stage. Traditional venture valuation methods rely on quantifiable financial history and data that often are unavailable in early-stage ventures. To compensate for the missing data, venture capitalists often use subjective, or nonfinancial, determinants to assess a venture’s value. The authors explore which nonfinancial valuation determinants have a meaningful impact on eventual value, weigh their relative importance, and use these factors to calculate a venture-specific valuation score. Next, the authors assess mathematical models that can be used with this score to calculate a suitable discount rate. They compare the empirical results of early-stage technology ventures with the values attained using these models to find high fidelity between the exponential discount rate structure and the real observed target return data. Ultimately, the authors propose that an exponential discount rate structure can be used in tandem with nonfinancial determinants to develop sound, venture-specific valuation. TOPICS: Real assets/alternative investments/private equity, security analysis and valuation, performance measurement","PeriodicalId":179835,"journal":{"name":"Practical Application","volume":"12 3 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-06-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"126567424","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Bala G. Arshanapalli, Matthew Lutey, William A. Nelson, M. Pollak
In Who Is Better at Investment Decisions: Man or Machine?, from the Winter 2020 issue of The Journal of Wealth Management, J. P. Harrison and S. Samaddar (both of Georgia State University) examine whether robo-advisers construct better-performing portfolios than human advisers. Using a simulated contest between a top-rated robo-adviser and prominent human advisers, Harrison and Samaddar observed that the human advisers produced higher returns (even after fees) and advice that was tailored to the ages and investment amounts of hypothetical clients. By contrast, while the robo-adviser tailored advice based on the hypothetical investors’ self-declared risk tolerances, it was insensitive to age and investment amount. The findings challenge the conventional wisdom that robo-advisers can serve customers better and at lower cost than their human counterparts. TOPICS: Developed markets, financial crises and financial market history, portfolio theory, technical analysis
《谁更擅长投资决策:人还是机器?》乔治亚州立大学的j·p·哈里森(J. P. Harrison)和S.萨马达尔(S. Samaddar)在《财富管理杂志》(the Journal of Wealth Management) 2020年冬季号上研究了机器人顾问是否比人类顾问构建了更好的投资组合。哈里森和萨马达尔通过模拟顶级机器人顾问和著名人类顾问之间的竞争，观察到人类顾问产生了更高的回报(即使扣除费用)，并根据假想客户的年龄和投资金额量身定制了建议。相比之下，虽然机器人顾问根据假设投资者自我宣称的风险承受能力量身定制建议，但它对年龄和投资金额不敏感。这一发现挑战了传统观点，即机器人顾问可以比人类顾问更好、成本更低地为客户服务。主题:发达市场，金融危机和金融市场历史，投资组合理论，技术分析
{"title":"Practical Applications of The Profitability of Technical Analysis during Financial Bubbles","authors":"Bala G. Arshanapalli, Matthew Lutey, William A. Nelson, M. Pollak","doi":"10.3905/pa.9.1.429","DOIUrl":"https://doi.org/10.3905/pa.9.1.429","url":null,"abstract":"In Who Is Better at Investment Decisions: Man or Machine?, from the Winter 2020 issue of The Journal of Wealth Management, J. P. Harrison and S. Samaddar (both of Georgia State University) examine whether robo-advisers construct better-performing portfolios than human advisers. Using a simulated contest between a top-rated robo-adviser and prominent human advisers, Harrison and Samaddar observed that the human advisers produced higher returns (even after fees) and advice that was tailored to the ages and investment amounts of hypothetical clients. By contrast, while the robo-adviser tailored advice based on the hypothetical investors’ self-declared risk tolerances, it was insensitive to age and investment amount. The findings challenge the conventional wisdom that robo-advisers can serve customers better and at lower cost than their human counterparts. TOPICS: Developed markets, financial crises and financial market history, portfolio theory, technical analysis","PeriodicalId":179835,"journal":{"name":"Practical Application","volume":"10 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-04-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115446705","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Mark M. Higgins, Matthew Sturdivan, Janelle Booth, Claire Illo
In Using Active Share to Evaluate Single- and Multi-Manager Portfolios, in the April 2020 Fund Manager Selection special edition of The Journal of Portfolio Management, Mark Higgins, Matthew Sturdivan, Janelle Booth, and Claire Illo, all of RVK, Inc., consider the use of active share to evaluate investment strategies and to select and monitor individual equity managers. Active share statistically measures the difference between a fund manager’s portfolio holdings and the weightings of the fund’s benchmark index. The authors analyze how investors can apply active share when assessing their strategies and managers’ performance and thereby improve their manager selection and portfolio building. Using a simulation approach to evaluate multi-manager US large-cap equity portfolios, the authors show how active share can help quantify the impact of managerial diversification on the quality and efficiency of multi-manager portfolios. They also demonstrate how investors can establish a conditional ideal number of managers for a portfolio. They note, however, that active share has several limitations and should be coupled with other quantitative and qualitative analytical measures to build multi-manager portfolios. TOPICS: Manager selection, performance measurement
在《投资组合管理杂志》2020年4月的基金经理选择特别版中，RVK, Inc.的Mark Higgins, Matthew Sturdivan, Janelle Booth和Claire Illo考虑使用主动股份来评估投资策略并选择和监控个人股票经理。活跃份额在统计上衡量基金经理的投资组合持有量与基金基准指数权重之间的差异。作者分析了投资者如何在评估其策略和经理绩效时应用积极份额，从而改善他们的经理选择和投资组合建设。使用模拟方法来评估多经理美国大盘股投资组合，作者展示了积极股票如何帮助量化管理多元化对多经理投资组合质量和效率的影响。他们还展示了投资者如何为投资组合建立一个有条件的理想经理人数量。但是，他们指出，积极的份额有若干限制，应与其他数量和质量分析措施结合起来，以建立多管理人的投资组合。主题:经理选择，绩效评估
{"title":"Practical Applications of Using Active Share to Evaluate Single- and Multi-Manager Portfolios","authors":"Mark M. Higgins, Matthew Sturdivan, Janelle Booth, Claire Illo","doi":"10.3905/pa.9.1.428","DOIUrl":"https://doi.org/10.3905/pa.9.1.428","url":null,"abstract":"In Using Active Share to Evaluate Single- and Multi-Manager Portfolios, in the April 2020 Fund Manager Selection special edition of The Journal of Portfolio Management, Mark Higgins, Matthew Sturdivan, Janelle Booth, and Claire Illo, all of RVK, Inc., consider the use of active share to evaluate investment strategies and to select and monitor individual equity managers. Active share statistically measures the difference between a fund manager’s portfolio holdings and the weightings of the fund’s benchmark index. The authors analyze how investors can apply active share when assessing their strategies and managers’ performance and thereby improve their manager selection and portfolio building. Using a simulation approach to evaluate multi-manager US large-cap equity portfolios, the authors show how active share can help quantify the impact of managerial diversification on the quality and efficiency of multi-manager portfolios. They also demonstrate how investors can establish a conditional ideal number of managers for a portfolio. They note, however, that active share has several limitations and should be coupled with other quantitative and qualitative analytical measures to build multi-manager portfolios. TOPICS: Manager selection, performance measurement","PeriodicalId":179835,"journal":{"name":"Practical Application","volume":"26 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-03-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"133316677","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
In Who Is Better at Investment Decisions: Man or Machine?, from the Winter 2020 issue of The Journal of Wealth Management, J. P. Harrison and S. Samaddar (both of Georgia State University) examine whether robo-advisers construct better-performing portfolios than human advisers. Using a simulated contest between a top-rated robo-adviser and prominent human advisers, Harrison and Samaddar observed that the human advisers produced higher returns (even after fees) and advice that was tailored to the ages and investment amounts of hypothetical clients. By contrast, while the robo-adviser tailored advice based on the hypothetical investors’ self-declared risk tolerances, it was insensitive to age and investment amount. The findings challenge the conventional wisdom that robo-advisers can serve customers better and at lower cost than their human counterparts. TOPICS: Manager selection, portfolio construction, portfolio theory, wealth management
《谁更擅长投资决策:人还是机器?》乔治亚州立大学的j·p·哈里森(J. P. Harrison)和S.萨马达尔(S. Samaddar)在《财富管理杂志》(the Journal of Wealth Management) 2020年冬季号上研究了机器人顾问是否比人类顾问构建了更好的投资组合。哈里森和萨马达尔通过模拟顶级机器人顾问和著名人类顾问之间的竞争，观察到人类顾问产生了更高的回报(即使扣除费用)，并根据假想客户的年龄和投资金额量身定制了建议。相比之下，虽然机器人顾问根据假设投资者自我宣称的风险承受能力量身定制建议，但它对年龄和投资金额不敏感。这一发现挑战了传统观点，即机器人顾问可以比人类顾问更好、成本更低地为客户服务。主题:经理选择、投资组合构建、投资组合理论、财富管理
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In Implementing Value and Momentum Strategies in Credit Portfolios, from the Quantitative Special Issue 2021 of The Journal of Portfolio Management, authors Simon Polbennikov, Albert Desclée, and Mathieu Dubois (all at Barclays) explore the strategy of applying value and momentum signals to corporate bond portfolios. The authors conducted an analysis to determine whether style factor investing is a suitable strategy for investors. Because data for credit portfolios managed with systematic styles were unavailable, the authors built a simulation of portfolios net of transaction costs between 2007 and 2020. They then applied a relative value strategy and an equity momentum strategy to the simulated data. Concluding that each signal resulted in higher returns than the benchmark index, they then applied the strategies in an equally weighted composite form. The authors ultimately concluded that, net of rebalancing costs, using such styles in strategy portfolios can result in considerable returns compared to the benchmark index. However, successfully implementing them in a portfolio also requires turnover controls, identification of actively traded and liquid securities, and strategic portfolio construction relative to a benchmark. TOPICS: Performance measurement, portfolio construction, simulations, style investing
{"title":"Practical Applications of Implementing Value and Momentum Strategies in Credit Portfolios","authors":"S. Polbennikov, Albert Desclée, M. Dubois","doi":"10.3905/pa.9.2.452","DOIUrl":"https://doi.org/10.3905/pa.9.2.452","url":null,"abstract":"In Implementing Value and Momentum Strategies in Credit Portfolios, from the Quantitative Special Issue 2021 of The Journal of Portfolio Management, authors Simon Polbennikov, Albert Desclée, and Mathieu Dubois (all at Barclays) explore the strategy of applying value and momentum signals to corporate bond portfolios. The authors conducted an analysis to determine whether style factor investing is a suitable strategy for investors. Because data for credit portfolios managed with systematic styles were unavailable, the authors built a simulation of portfolios net of transaction costs between 2007 and 2020. They then applied a relative value strategy and an equity momentum strategy to the simulated data. Concluding that each signal resulted in higher returns than the benchmark index, they then applied the strategies in an equally weighted composite form. The authors ultimately concluded that, net of rebalancing costs, using such styles in strategy portfolios can result in considerable returns compared to the benchmark index. However, successfully implementing them in a portfolio also requires turnover controls, identification of actively traded and liquid securities, and strategic portfolio construction relative to a benchmark. TOPICS: Performance measurement, portfolio construction, simulations, style investing","PeriodicalId":179835,"journal":{"name":"Practical Application","volume":"5 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-03-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125431742","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Svend E. Hougaarn, Lassila Jukka, Niku Mätänen, Tarmo Valkoneame, Ed Westerh
In The Top Three Pension Systems: Denmark, Finland, and the Netherlandsfrom the Fall 2020 issue of TheJournal of Retirement, authors Svend E. Hougaard Jensen(of Copenhagen Business School), Jukka Lassila, Niku Määttänen, Tarmo Valkonen(all of the Research Institute of the Finnish Economy), and Ed Westerhout(of Tilburg University) analyze the three top-rated pension systems from the 2018 Mercer Global Pension Index. All three systems share common strengths: mandatory participation, a minimum guaranteed old-age income, a high income-replacement rate, and robust fiscal sustainability. They also have privatized elements (like decentralized management and market-based investing) and rely on social partners (employee and employer representatives) to help get public buy-in for policies. However, all three pension systems face similar challenges–like legitimacy issues (since social partners are elected by a shrinking number of union members) and the fact that mandatory pension contributions can preempt savings for shorter-term goals. Policymakers worldw study these pension systems to help find solutions to problems in their own systems. Policymakers in the United States can find valuable information on issues like privatizing Social Security, eligibility changes, and getting public buy-in for reforms designed to increase the system’s sustainability. TOPICS: Retirement, social security, pension funds, wealth management
在《退休杂志》2020年秋季版的前三大养老金体系:丹麦、芬兰和荷兰，作者send E. Hougaard Jensen(哥本哈根商学院)、Jukka Lassila、Niku Määttänen、Tarmo Valkonen(芬兰经济研究所的所有人)和Ed Westerhout(蒂尔堡大学)分析了2018年美世全球养老金指数中排名最高的三个养老金体系。这三个体系都有共同的优势:强制性参与、最低保障性养老收入、高收入替代率和强劲的财政可持续性。他们也有私有化的因素(如分散管理和基于市场的投资)，并依靠社会伙伴(雇员和雇主代表)来帮助公众购买政策。然而，这三种养老金制度都面临着类似的挑战——比如合法性问题(因为社会伙伴是由数量不断减少的工会成员选举产生的)，以及强制性养老金缴款可能会抢占短期目标的储蓄。政策制定者可以研究这些养老金体系，以帮助找到解决本国体系问题的办法。美国的政策制定者可以在诸如社会保障私有化、资格变更以及让公众支持旨在提高体系可持续性的改革等问题上找到有价值的信息。主题:退休、社会保障、养老基金、财富管理
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In How Long Is Long Enough? from the Fall 2020 issue of The Journal of Retirement, authors Gerald W. Buetow (of BFRC Services) and Bernd Hanke (of Global Systematic Investors) introduce an easy-to-use system to help defined-contribution plan (DCP) fiduciaries decide when to replace underperforming actively managed mutual funds. Many active funds underperform their benchmark indexes, especially net of fees. This raises two questions: How long should fiduciaries wait to replace an underperforming fund, and should they replace it with another active fund or a lower-cost passive fund? Buetow and Hanke examine historical performance data to calculate the differences between two investment strategies: one that keeps all assets in active funds, and another that switches assets from underperforming active funds to passive funds. They find that switching to passive funds after three years of underperformance generates higher long-term returns than leaving assets in active funds, waiting five years to make the switch, or switching only if underperformance is statistically significant (5% or more). Therefore, the authors say, DCP fiduciaries can better serve plan participants by monitoring active funds and replacing underperformers with passive funds in a timely manner. TOPICS: Manager selection, mutual fund performance, passive strategies, retirement, wealth management
{"title":"Practical Applications of How Long Is Long Enough?","authors":"G. Buetow, Bernd Hanke","doi":"10.3905/pa.8.4.425","DOIUrl":"https://doi.org/10.3905/pa.8.4.425","url":null,"abstract":"In How Long Is Long Enough? from the Fall 2020 issue of The Journal of Retirement, authors Gerald W. Buetow (of BFRC Services) and Bernd Hanke (of Global Systematic Investors) introduce an easy-to-use system to help defined-contribution plan (DCP) fiduciaries decide when to replace underperforming actively managed mutual funds. Many active funds underperform their benchmark indexes, especially net of fees. This raises two questions: How long should fiduciaries wait to replace an underperforming fund, and should they replace it with another active fund or a lower-cost passive fund? Buetow and Hanke examine historical performance data to calculate the differences between two investment strategies: one that keeps all assets in active funds, and another that switches assets from underperforming active funds to passive funds. They find that switching to passive funds after three years of underperformance generates higher long-term returns than leaving assets in active funds, waiting five years to make the switch, or switching only if underperformance is statistically significant (5% or more). Therefore, the authors say, DCP fiduciaries can better serve plan participants by monitoring active funds and replacing underperformers with passive funds in a timely manner. TOPICS: Manager selection, mutual fund performance, passive strategies, retirement, wealth management","PeriodicalId":179835,"journal":{"name":"Practical Application","volume":"42 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-03-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123951666","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
In Glide Path Indexes, from the Spring 2020 edition of The Journal of Index Investing, Ronald Surz of GlidePath Wealth Management discusses how investors can protect their savings as they transition into retirement. Glide path indexes, such as target-date funds (TDFs), vary asset allocations depending on an investor’s age, reducing equity exposure as an individual approaches retirement. But most portfolios following industry-standard paths incorporate too much risk at the wrong time: the years bracketing retirement. If investors are allocated too heavily to equities during those years, they face the risk of liquidating stocks at low prices to produce cash flow for their the initial phase of their retirement. These unfortunate investors then have less to draw from to meet future retirement expenses and much less time to repair overall portfolio damage using income from employment or other sources. Surz proposes an alternative glide path that uses rigorous risk management and greater diversification to substantially diminish this hazard. To better protect savings, Surz’s approach dramatically lowers equity and long-term bond exposure in favor of safer assets as an investor nears her retirement date. His glide path strategy then gradually incorporates more equity and bond risk as investors move through retirement, so as to revitalize growth potential and extend the life of the investor’s savings. TOPICS: Wealth management, retirement, mutual fund performance
{"title":"Practical Applications of Glide Path Indexes","authors":"Ronald J. Surz","doi":"10.3905/pa.8.4.424","DOIUrl":"https://doi.org/10.3905/pa.8.4.424","url":null,"abstract":"In Glide Path Indexes, from the Spring 2020 edition of The Journal of Index Investing, Ronald Surz of GlidePath Wealth Management discusses how investors can protect their savings as they transition into retirement. Glide path indexes, such as target-date funds (TDFs), vary asset allocations depending on an investor’s age, reducing equity exposure as an individual approaches retirement. But most portfolios following industry-standard paths incorporate too much risk at the wrong time: the years bracketing retirement. If investors are allocated too heavily to equities during those years, they face the risk of liquidating stocks at low prices to produce cash flow for their the initial phase of their retirement. These unfortunate investors then have less to draw from to meet future retirement expenses and much less time to repair overall portfolio damage using income from employment or other sources. Surz proposes an alternative glide path that uses rigorous risk management and greater diversification to substantially diminish this hazard. To better protect savings, Surz’s approach dramatically lowers equity and long-term bond exposure in favor of safer assets as an investor nears her retirement date. His glide path strategy then gradually incorporates more equity and bond risk as investors move through retirement, so as to revitalize growth potential and extend the life of the investor’s savings. TOPICS: Wealth management, retirement, mutual fund performance","PeriodicalId":179835,"journal":{"name":"Practical Application","volume":"7 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-03-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"134634381","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
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