The use of benchmarks in ALM and risk management
How can you choose the right benchmark for each asset class?
- Who bears the responsibility for this choice and what are the typical pitfalls/mistakes?
- What is the impact of the benchmarks on the ultimate Strategic Asset Allocation (SAA)?
- How can benchmarks be utilized to measure risk profile alignment of the implemented portfolio with the SAA?
- And how does one pick benchmarks for asset classes with little to no historical data e.g. illiquid and ESG investments?
In this article, Tessa Kuijl, Loranne van Lieshout & Sacha van Hoogdalem look at the role and impact of benchmarks in the investment process.
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This article has been published in the CFA/VBA journaal, editie voorjaar 2019.