PBGC

PBGCより:
The PBGC currently has approximately $55 billion to invest in the new investment policy. Under this new policy, the PBGC will allocate 45 percent of its assets to a diversified set of fixed-income investments, 45 percent to diversified equity investments and 10 percent to alternative investment classes. The agency’s previous policy set an equity investment target of 15–25 percent, although the actual level of equity investments was 28 percent at the end of FY 2007.

うーむ。開いた口が塞がりません。例えば、恐慌が起きて多くの会社が倒産したり、株価がガーンと下がったりしたらどうするつもりなのでしょう。そういう時こそPBGCの出番なのに、大損こいて役立たずになってしまうということを考えないのでしょうか。


FTより:
The PBGC press release asserts that the new strategy significantly increases the likelihood of full funding within 10 years and that the new policy "is designed to take advantage of a long-term investment horizon". The PBGC clearly believes that equity risk, measured by the volatility of returns, decreases the longer the time horizon.

Volatility analysis as a measure of equity risk ignores the severity of any shortfall. Although the probability that equities will earn less than the risk-free rate decreases with the time horizon, the extent of any possible shortfall increases. Equity risk should be measured as the cost of buying insurance via an equity put option, which increases over time. Adjusted for risk there is no equity "free lunch".

さすがにBodie先生は的を射てます。
[PR]
by stupid-market | 2008-02-28 13:37 | Pension
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