Pension funds must focus on ‘left tail’ risk

Pension funds must focus on ‘left tail’ risk

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Too great a focus on maximising portfolio efficiency has resulted in pension funds not taking full account of tail risk when constructing an asset allocation – particularly with respect to sponsor failure, according to a report by actuarial consultancy, Towers Watson.

Carl Hess, London-based global head of investment at Towers Watson, says pension funds should review their investment strategies to determine whether their assets would mitigate or exacerbate the impact of sponsor impairment follow