Gross discrepancies in pension ALM

 

A survey of the asset liability management (ALM) of European pension funds has revealed gross discrepancies in the risk management of portfolios according to Edhec Risk Institute.

The research found that a mere 33% of participants considered accounting risk, while over half ignored sponsor risk altogether. 

Other significant findings include 45% of pension funds model their liability hedging portfolio imprecisely and that most respondents employ inefficient market indices as benchmarks for inv