Cohorting DC members for ALM-based investment strategies

Registration is now open

Join us on November 22^nd

7:00 am EST, for your own time click here

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.

Read more…