A Look Under the Hood

Citations · 6

• “the board members considered achieving the actuarial assumption the most important thing; beating the policy benchmark and having managers beat their respective benchmarks were secondary; and beating peers and popular indices like the S&P 500 were deemed relatively unimportant”

  p#52 · confidence 95%

• “the board members ranked the Sharpe ratio last among six possible performance metrics and on average considered avoiding volatility in the sponsor's contributions less of a priority than the ability to pay benefits or attain fully funded status”

  p#35 · confidence 95%

• “the board as having a moderate willingness to accept risk despite the plan's above average ability to bear it (stemming from the plan's solid funding status and the state's strong economic performance)”

  p#13 · confidence 95%

• “A substantial majority of the members said they're comfortable with using leverage at 15-20% of the plan's assets. I think this is reasonable.”

  p#47 · confidence 92%

• “All board members agreed that it's impossible to foresee the future, and thus that the portfolio should be built to prepare for "all environments" rather than base performance expectations on the ability to time markets.”

  p#46 · confidence 95%

• “an appropriate performance assessment period has to include both good times and bad. In other words, it should cover a full market cycle. That's the only way to distinguish investment skill from a mere bias toward aggressiveness or defensiveness.”

  p#62 · confidence 94%