Optimizing Portfolio Allocations Using Excess Returns: A Case Study

Topics:
Commercial Lending
Tags:
Allocation,
Directed Account Plan,
Investment Option,
Portfolio,
Zephyr Associates
Source:
Zephyr Associates

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Overview: This case study is about The Directed Account Plan (formerly TWA Pilots). The Directed Account Plan provides participants with a menu of model portfolio multi-manager investment choices. Each multi-manager investment option has a specific objective (e.g. large U.S. growth) and managers in the portfolio all manage their portfolios toward that similar objective. The Investment Board was looking for a method to create an efficient allocation within each model investment option to managers with a similar style that would produce a high alpha and a low tracking error to the style specific benchmark. The optimization method used provided a sound basis for allocating managers using a similar investment style within a multi-manager style specific investment option for this participant directed defined contribution pension plan.

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Format: PDF | Size: 130KB | Date: Jan 2003 | Pages: 6

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