1 / 10

Investment Strategy

Investment Strategy. Bruce O. Kallos Executive Director Federal Investment Seminar September 5, 2002. Arlington Fund. $1 Billion About 125% funded 4600 active employees 3400 retired employees 7 Member Board 5 Equity, 2 Fixed, 1 TAA, 1 GTAA, 1 Cash,

niabi
Download Presentation

Investment Strategy

An Image/Link below is provided (as is) to download presentation Download Policy: Content on the Website is provided to you AS IS for your information and personal use and may not be sold / licensed / shared on other websites without getting consent from its author. Content is provided to you AS IS for your information and personal use only. Download presentation by click this link. While downloading, if for some reason you are not able to download a presentation, the publisher may have deleted the file from their server. During download, if you can't get a presentation, the file might be deleted by the publisher.

E N D

Presentation Transcript

  1. Investment Strategy Bruce O. Kallos Executive Director Federal Investment Seminar September 5, 2002

  2. Arlington Fund • $1 Billion • About 125% funded • 4600 active employees • 3400 retired employees • 7 Member Board • 5 Equity, 2 Fixed, 1 TAA, 1 GTAA, 1 Cash, 1REIT,1 RE, 1 PE, 1 Hedge managers • Full service consultant

  3. Asset Allocation as of 7/1/02 Domestic Equity 24% International Equity 9 Domestic TAA 18 Global TAA 12 Convertibles 5 Cash and Fixed 24 PE, Hedge 2 (Commitment is 6%) Real Estate, REIT 6 100%

  4. Overall Focus • Reliable Process, Consistently Applied • Manage Risk • Statistically Limit 1 Year Downside • Optimize Return • Expected Return – Each Asset Class • Cash Return – Each Asset Class • Risk – Each Asset Class • Tactically Allocate (Process has worked well for 25 years)

  5. Cash Management • Cash Must Be Available As Needed • Can’t Afford To Sell To Raise Cash • Cash Flow Defined • Maturity Profile Determined • Optimize Return • Meet Cash Needs • Typically Up To 3 Years Maturity • Custodian (BoNY) Manages Account

  6. Fund Management • Understand Liabilities • Maximize Return Within Risk Constraints • Manage Downside Risk Exposure • Monitor Expected Returns (Relative Value) • Requires Broad Diversification • Requires Rebalancing • Requires Active Oversight

  7. How Do We Determine Relative Value ? • Current Price • Long Term (Future) Value Current PriceFuture Value Over Priced Œ Fairly Priced  µ Under Priced Ž Current Price Changes Frequently Future Value Changes Very Slowly

  8. Overriding Requirement of Practice • Establish the Process • Understand the Process • Understand How the Process Has Yielded the Results • Have Confidence in the Process • Implement the Process • Stick to the Process • Even When It Hurts • Especially When It Hurts

More Related