06/11/2018
Cohorting DC members for ALM-based investment strategies
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Abstract
In 2013 QSuper launched the QSuper Lifetime product with a unique lifecycle strategy that uses age and account balance (wealth, or savings in the fund) to cohort default defined contribution (DC) members. Traditional asset/liability management (ALM) methodologies with stochastic projections are used to set investment strategies for each cohort. A common pool of growth (or risky, return seeking) assets is combined with a cohort-specific duration-based risk hedge asset pool in various proportions. There are no pre-determined glide paths and strategies are dynamically reviewed. Traditional asset-only performance measurement is complimented with defined benefit (DB) concepts of monitoring and attribution of changes to projected outcomes.