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By Martin L. Leibowitz

ISBN-10: 094320500X

ISBN-13: 9780943205007

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Example text

2 As interest rates change, so will the liabilities cost. Thus, as shown in Figure 36, an interest-rate change from 8 percent to 7 percent would lead to an $11 million (11 percent) increase in the present value cost of these liabilities. Using terminology usually reserved for the asset side, this 11 percent cost increase has been referred to here as a liability return. As shown previously, the liability return represents a threshold that the assets must match to maintain a 21t should be noted that both the liability schedules and the discount rates have been depicted in nominal terms.

When interest rates rose, as they did in 1980 and 1981, low liability returns often led to increases in the surplus. In contrast, when interest rates fell, the value of the liabilities rose and typically exceeded stock and bond market returns. The pattern shown in Figures 24, 25, and 27 is no coincidence, but may reflect a fundamental and dangerous liability trap. Liability Rctztmzs Thus, in terms of surplus growth, the net performance of a pension fund may be most vulnerable precisely when fund sponsors and/or managers encounter the most favorable market returns and ample growth in the market value of their portfolios.

Total Portfolio Dzlratiorz A N m FPrspectizlc olz A s s ~ Allocation t Chapter 3 Liability Returns In the preceding chapter, a procedure was developed for computing a total duration value for a portfolio that included both stocks and bonds. This duration value is related to the interest-rate sensitivity of the liabilities. The emphasis was on gauging the net interest-rate risk for a given asset allocation. The duration of the stock market was estimated using the volatility and correlation characteristics of the S&P 500 relative to the Salomon Brothers BEG Index.

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A New Perspective on Asset Allocation by Martin L. Leibowitz


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