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Dynamic Strategic Asset Allocation

Dynamic Strategic Asset Allocation

A case of the Social Security Capitalization Funds Management Institute | not-available
Dynamic Strategic Asset Allocation

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.

Implementation year2016
Topics: Risk management
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