Target-risk Equity Funds

Target-Risk Equity Funds have significant applications in:

(i) the investment and risk management of DB and DC pension plans:

(ii) reducing the volatility of multi-asset portfolios;

(iii) managing the market risk of equity portfolios backing ‘own funds’ for Solvency II; and

(iv) in managing the probability of ruin in pension drawdown funds.

The presentation will explore the creation, management, performance, and applications of target-risk equity funds.

The presentation will also examine why the peak-to-trough falls in the value of equity portfolios which are not managed to a target-risk level are substantially greater than that which might be implied by the annualised standard deviation of monthly, weekly or daily returns on that portfolio and how that phenomenon can give rise to surprises for investors and their advisors.

Speaker - John Caslin

John Caslin is a director of Alder Capital a specialist investment management firm.  He joined the firm in September 2003.

John is a Fellow of the Institute and Faculty of Actuaries and a Fellow of the Society of Actuaries in Ireland.  He is a former Chairman of the Investment and Finance Committee of the Society of Actuaries in Ireland and his name has been entered in the Prizes’ Book of the Institute and Faculty of Actuaries for two papers one of which was entitled Hedge Funds. 

From March 2004 to June 2008, John served as a non-executive director of iShares plc a Dublin-domiciled equity and bond exchange traded fund (“ETF”).  At 29 February 2008, iShares plc had approximately US$20bn in assets under management.

John has a degree in mathematics and a first class honours degree and gold medal in engineering from Trinity College Dublin.