How ASRS is set up? What are your typical numbers?
How well-funded are you right now?
We're in the high seventies in terms of the funding ratio
percentage. Another way of saying it is that we're a good house
in a bad neighborhood:The plan is very liquid, with 35-year
horizons, so we're comfortable with that level.
Would you talk a little about ASRS' decision to seed
three of BlackRock's iShares?
That actually was part of a collaborative process that we've been
working on for about three years. The idea was to be able to
create some type of an overlay program to enable us to adjust the
factor-risk exposure of our combined equity set.
It's less about alternative beta, although we
have a strong appreciation of it. It's more that these tools
(i.e., the risk-factor
) are a means to an end.
We have long used a Barra analytics platform and we could see
what our exposures across our total public equities component
looked like in terms of risk factors such as momentum, size,
quality, leverage and so forth. We were looking at ways to
physically adjust the portfolio to align with these risk factors
appropriately. But it becomes expensive reallocating assets, and
it takes time to do that. And wrapped around
is the relative lower persistency of active strategies versus
passive or beta strategies. The interest in ETFs on our part came
as a result of realizing that by one, or just a few, trades, we
could conceivably adjust this exposure in order to neutralize the
structural active factor risk building up systematically across
the total equities component.
Don't forget to check IndexUniverse.com's ETF Data
2013 IndexUniverse LLC
. All Rights Reserved.