Insights Overview Summary
Welcome to PIMCO In Depth. Many of PIMCO's investment professionals have expertise in complex and evolving investment analytics and strategies. The articles you find here generally are highly technical, focusing specifically on a particular investment discipline or market segment.
A mainstay of modern pension fund management, overlay strategies typically involve the replication of an asset class, market, or risk factor exposure.
Many tail risk clients have expressed a desire to move toward more frequent rebalancing of hedges.
Three adjustments need to be made in liability-matching strategies as a result of UFR: reduce duration, increase return targets and rebalance more frequently. We believe managing these three elements effectively requires and active approach.
Investors who are concerned about inflation should focus on increasing their exposure to asset classes that provide a positive beta to changes in inflation.
PIMCO believes volatility risk premium strategies can diversify a portfolio’s equity risk exposures.
Simply knowing the risks to a retirement portfolio is not enough. We have to seek control against permanent damage from that risk using the framework of tail risk hedging.
Although it has only been formally adopted for Danish institutions and Dutch insurance companies, the UFR has been gaining popularity as a liability discounting method for European insurance companies and pension funds.
Macroeconomic variables are important drivers of investable risk factors’ returns, which in turn are the underlying components of asset class returns.
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