February 2021
09Feb

Portfolio Management for Insurers and Pension Funds and COVID-19: Targeting Volatility for Equity, Balanced and Target-Date Funds with Leverage Constraints 2

By Bao Huy Doan , Jonathan J. Reeves , Michael Sherris Insurers and pension funds face the challenges of historically low interest rates and volatility in equity markets, that have been accentuated due to the COVID-19 pandemic. Recent advances in equity portfolio management with a target volatility have been shown to deliver improved on average risk adjusted return, after transaction costs. This paper studies these targeted volatility portfolios in applications to equity, balanced and target-date funds with varying constraints...

February 9, 2021
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05Feb

Portfolio Management for Insurers and Pension Funds and COVID-19: Targeting Volatility for Equity, Balanced and Target-Date Funds with Leverage Constraints

By Bao Huy Doan, Jonathan J. Reeves, Michael Sherris Insurers and pension funds face the challenges of historically low interest rates and volatility in equity markets, that have been accentuated due to the COVID-19 pandemic. Recent advances in equity portfolio management with a target volatility have been shown to deliver improved on average risk adjusted return, after transaction costs. This paper studies these targeted volatility portfolios in applications to equity, balanced and target-date funds with varying constraints on leverage....

February 5, 2021
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03Feb

US. GameStop frenzy has hedge fund managers rethinking next moves

Retail investors' frenzied attack on short sellers during the week of Jan. 25, which saw U.S. equity trading by volume hit a record high, is forcing some hedge funds to rethink their strategies and approaches to investing. Sources fear that generating alpha from short positions — and the wider hedge fund industry — may be damaged by the episode. Hedge funds may have to invest more in large-cap stocks rather than small cap, keep their positions better hidden from...

February 3, 2021
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January 2021

26Jan

US. MetLife to Provide Annuity Benefits to Nearly 5,200 Weyerhaeuser Retirees and Beneficiaries

MetLife, Inc. announced today that its subsidiary, Metropolitan Tower Life Insurance Company, has entered into an agreement with Weyerhaeuser Company (Weyerhaeuser) to provide annuity benefits to nearly 5,200 retirees and beneficiaries in Weyerhaeuser’s defined benefit (DB) pension plan, representing pension obligations of approximately $765 million. “We are pleased to have been selected to provide guaranteed lifetime income to these Weyerhaeuser retirees and beneficiaries,” says Graham Cox, executive vice president and head of Retirement & Income Solutions at MetLife. “In...

January 26, 2021
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14Jan

Maximizing Utility of Withdrawals in Retirement and the Efficiency of Required Minimum Distributions

By Chester Chambers We focus on a simplified problem for a risk-averse retiree seeking to maximize utility associated with annual spending and a remaining value at the end of the problem horizon when the funds are extracted from a portfolio that includes a risk-free and a risky asset. To organize discussions about this setting we utilize a novel metric which we label “Efficiency”. This measurement compares the utility derived from annual withdrawals and the final value with a benchmark...

January 14, 2021
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December 2020

28Dec

Companies end year by shipping off pension liabilities

Pension funds on both sides of the Atlantic offloaded $14.5 billion in liabilities through pension risk transfer deals this month alone, including two huge longevity swap announcements. Most of the action took place with U.K.-based plans, but in the U.S., General Electric Co., Boston, announced it transferred $1.7 billion of its U.S. GE Pension Plan obligations to retirement services firm Athene Holding Ltd. through an annuity buyout. As part of the transfer, Athene will provide payments to roughly 70,000...

December 28, 2020
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24Dec

Milliman: November sees decline in PRT premiums

Pension risk transfer premiums fell in November due to decreases in both discount rates and annuity purchase rates, a Milliman study said. The estimated buyout cost as a percentage of accounting liabilities (accumulated benefit obligation) dropped to 101.8% as of Nov. 30, from 102.9% a month earlier. The change was the result of average annuity purchase rates decreasing by 9 basis points, according to Milliman's latest pension buyout index study. Average accounting discount rates dropped 20 basis points in November....

December 24, 2020
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23Dec

Personal data leak in one of Britain’s largest pension providers

Workplace pension provider NOW: Pensions has emailed a number of UK customers to warn about a data leakage caused by contractor error. The email, seen by this publication, claims a service provider "unintentionally" posted user data to an unnamed "public software forum". These records include biographical data (names, email addresses, and dates of birth) as well as National Insurance numbers. According to the pension provider, the data was obtained by "a small number" of third parties. NOW: Pensions said...

December 23, 2020
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21Dec

UK. Longevity risk transfer nears record. 2021 to be busy again despite pandemic: WTW

The market for longevity swaps and longevity risk transfer has hit forecasted volumes in 2020 despite the implications of the global COVID1-9 pandemic and Willis Towers Watson believes another busy year is ahead in 2021. Read also Personal data leak in one of Britain’s largest pension providers The longevity de-risking market, where pensions transfer their longevity risk to global reinsurance markets, has proven resilient in 2020 and despite the “turmoil” broker Willis Towers Watson (WTW) notes that more than UK...

December 21, 2020
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16Dec

UK. BBC presses play on $4 billion longevity swap

BBC Pension Scheme, London, completed a £3 billion ($4 billion) longevity swap with Zurich and Canada Life Reinsurance. Read also Ireland. A new model for pensions required The deal provides the pension fund and sponsoring employer British Broadcasting Corp. "with more certainty over future funding costs, and improves the security of all members' benefits," a notice posted on the pension fund's website said. Read also UK. Canadian pension fund takes control of Trafford Centre The fund had £17.3 billion in assets...

December 16, 2020
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