This report applies a Total Portfolio Approach (TPA) by using a factor lens analysis to assess risk and return exposures among pension funds within and across five of the largest pension systems worldwide: Canada, The Netherlands, Switzerland, the U.K., and the U.S.
Rather than utilizing a traditional asset allocation lens for assessing risk and return exposures, this study conducts a comparative analysis of the top 30 pension funds by assets under management by quantifying their factor exposure to the following macro drivers: Equity Factor, Real Rates, Credit, Inflation, and Other.
The benefit of applying a factor lens approach provides an additional perspective to understand risk and return exposures. The risk and return values used in this analysis are based on calculations in the proprietary Ortec Finance Asset-Liability Management (ALM) software GLASS and the Ortec Finance Scenario Set.
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22 May 2025Total Portfolio Approach for Pension FundsThis report applies a Total Portfolio Approach (TPA) by using a factor lens analysis to assess risk and return exposures among pension funds within and across five of the largest pension systems worldwide: Canada, The Netherlands, Switzerland, the U.K., and the U.S.
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