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Benchmark Return

What if my benchmark is the actuary assumed return given as 7.5%? How do I make this my benchmark in the Windham Software?

Answer
Add one more asset class to your case file. For example, you can consider either Citigroup’s T-bills or the Citigroup CD instrument. Rename this asset class to “liability” or “benchmark” in the Select Assets screen. Next, specify a 100% allocation to this instrument under the Benchmark portfolio column in the Define Portfolios screen.

In the return forecast, you will need to specify the 7.5% rate for expected return. Finally, you will want to set a constraint on the minimum and maximum weight for the optimizer to 0% to avoid any allocation to this asset.


Category:Understanding the Software -> Return Estimation

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