Abstract: A system for de-risking a pension fund, the system including: an input module for receiving asset class forecasts; a modeling module for modeling a plurality of portfolios based on the asset class forecasts to provide a de-risking framework; an asset mix module for receiving an asset mix for each of the model portfolios based on the de-risking framework; a database for storing data related to the asset class forecasts, the model portfolios, and asset mix; a processor configured to monitor the model portfolios for performance within the de-risking framework by: calculating an indicator of funded status volatility; comparing the indicator with a benchmark; and reporting the result. In particular, the indicator of funded status volatility is a liability tracking error and the benchmark is the liability tracking error of a conventional or standard pension portfolio.
Type:
Application
Filed:
April 23, 2014
Publication date:
August 21, 2014
Applicant:
MANULIFE ASSET MANAGEMENT (US) LLC
Inventors:
ERIC MENZER, Konstantin Danilov, Joseph O'CONNOR, Paul Partridge, Alasdair Rew, Nadia Savva, Steve Orlich, Steve Medina, Bob Boyda, Irina Muhina, Neal Toomey
Abstract: A system for de-risking a pension fund, the system including: an input module for receiving asset class forecasts; a modeling module for modeling a plurality of portfolios based on the asset class forecasts to provide a de-risking framework; an asset mix module for receiving an asset mix for each of the model portfolios based on the de-risking framework; a database for storing data related to the asset class forecasts, the model portfolios, and asset mix; a processor configured to monitor the model portfolios for performance within the de-risking framework by: calculating an indicator of funded status volatility; comparing the indicator with a benchmark; and reporting the result. In particular, the indicator of funded status volatility is a liability tracking error and the benchmark is the liability tracking error of a conventional or standard pension portfolio.
Type:
Application
Filed:
November 9, 2012
Publication date:
May 15, 2014
Applicant:
MANULIFE ASSET MANAGEMENT (US) LLC
Inventors:
Eric MENZER, Konstantin DANILOV, Joseph O'CONNOR, Paul PARTRIDGE, Alasdair REW, Nadia SAVVA, Steve ORLICH, Steve MEDINA, Bob BOYDA, Irina MUHINA, Neal TOOMEY
Abstract: A system for de-risking a pension fund, the system including: an input module for receiving asset class forecasts; a modeling module for modeling a plurality of portfolios based on the asset class forecasts to provide a de-risking framework; an asset mix module for receiving an asset mix for each of the model portfolios based on the de-risking framework; a database for storing data related to the asset class forecasts, the model portfolios, and asset mix; a processor configured to monitor the model portfolios for performance within the de-risking framework by: calculating an indicator of funded status volatility; comparing the indicator with a benchmark; and reporting the result. In particular, the indicator of funded status volatility is a liability tracking error and the benchmark is the liability tracking error of a conventional or standard pension portfolio.
Type:
Grant
Filed:
November 9, 2012
Date of Patent:
May 13, 2014
Assignee:
Manulife Asset Management (US) LLC
Inventors:
Eric Menzer, Konstantin Danilov, Joseph O'Connor, Paul Partridge, Alasdair Rew, Nadia Savva, Steve Orlich, Steve Medina, Bob Boyda, Irina Muhina, Neal Toomey