RSS / e-News
Dynamic Strategic Asset AllocationGiven the nature of the objectives of the Social Security Reserve Fund (Fundo de estabilização Financeira da Segurança Social (FEFSS)) (as a social security buffer fund) and restrictions - allocation heavily skewed towards debt, e.g. a minimum of 50 per cent of the portfolio must be held in Portuguese Government Debt, and a risk budget identical to the volatility of this asset class - a case can be made for considering Portuguese Government Debt as a proxy liability for the FEFSS.
Additionally, as the available risk budget is limited, a predominantly passive approach is preferred and IGFCSS tries to, strategically, add value to the fund via a core (liability hedging portfolio)/satellite (performance seeking portfolio) approach (this is done on a quarterly basis). Implementation of the core/satellite is dynamic, i.e., we try to constantly guarantee a minimal funding ratio trough allocation changes. In a way this is reminiscent of Constant proportion portfolio insurance (CPPI) strategies, although on a relative (vs. liability) basis. On a tactical level (once every two weeks) additional alpha potential is exploited trough geographical, FX or duration exposures. Full text: 2Portugal-IGFCSS1.pdf 82.26 kB
Publication year:
2010
Implementation year: 2009 Topics: Risk management and change management Organization: Social Security Capitalization Funds Management Institute Country: Portugal |
ISSA Good Practice Awards
Africa 2011 - Competition results
[
2-GPA-Africa2011.pdf 533.34 kB
]
The ISSA Good Practices in Social Security Awards 2008-2010
[
2-GPA-2010.pdf 525.94 kB
]
Related News
The ISSA Good Practice Award for the Americas
The ISSA Good Practice Award for Asia and the Pacific
Tanzanian health insurance scheme wins ISSA Good Practice Award for Africa
ISSA,
05.12.2011 |
Press release