Mr. Michael Lindh, Richards & Tierney, discusses:

HOW TO IMPLEMENT RISK BUDGETING FOR LARGE PENSION PLANS

This presentation will cover the general framework outlined by Bill Sharpe for risk budgeting as well as introduce the practical nuances that need to be considered in real-world implementations in a multi-manager setting. In particular, given an overall investment policy and target level of risk, one needs to take into account misfit risk, tactical allocation risks, and manager value-added risks.  Mr. Lindh will discuss his firm’s view of the multi-manager pension investment problem, which Richards & Tierney has developed over the past two decades, and how the firm has developed a risk budgeting framework as a solution.