Craig Ansley Seminar
Past Seminar from the archive
- Topic: Dynamic Asset Allocation: A Typical Example Where it Doesn't Really Help
- Speaker: Craig Ansley
- Was held: 2nd March, 2011, (Wed)
The NZ Superannuation Fund was set up to smooth government contributions over time. Because it is a very long-dated fund, a high risk (85/15) asset allocation was chosen, but the objectives were never clearly spelt out, nor the criteria for strategy selection. The NZSF appointed me to build a dynamic asset allocation (DAA) model to provide a framework for addressing these questions, and I will outline my findings in this seminar. A formal objective was set up, to minimise an Epstein-Zin penalty function. The results support the intuition of the investment group at NZSF, but there is almost no gain in utility over a constant asset allocation strategy. Nevertheless, the detail in the model provides a useful prognosis for the fund.