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Dedicated portfolio theory
Dedicated portfolio theory, in finance, deals with the characteristics and features of a portfolio built to generate a predictable stream of future cash inflows. This is achieved by purchasing bonds and/or other fixed income securities (such as Certificates of Deposit) that can and usually are held to maturity to generate this predictable stream from the coupon interest and/or the repayment of the face value of each bond when it matures. The goal is for the stream of cash inflows to exactly match the timing (and dollars) of a predictable stream of cash outflows due to future liabilities. For this reason it is sometimes called cash matching, or liability-driven investing. Determining the least expensive collection of bonds in the right quantities with the right maturities to match the cash flows is an analytical challenge that requires some degree of mathematical sophistication. College level textbooks typically cover the idea of “dedicated portfolios” or “dedicated bond portfolios” in their chapters devoted to the uses of fixed income securities.〔Bodie, Zvi; Kane, Alex; and Marcus, Alan. Investments, 8th ed. McGraw-Hill Irwin, 2009, p. 538.〕〔Bodie, Zvi; Kane, Alex; Marcus, Alan. Essentials of Investments, 8th ed. McGraw-Hill Irwin, 2010, p. 344.〕〔Fabozzi, Frank. Bond Markets, Analysis, and Strategies, 3rd ed. Prentice Hall, 1996, p. 447.〕〔Fabozzi, Frank. The Handbook of Fixed Income Securities. McGraw-Hill, 2005, p. 1103.〕〔Jordan, Bradford and Miller, Thomas. Fundamentals of Investments. McGraw-Hill Irwin, 2009, p. 334.〕〔Logue, Dennis. Managing Corporate Pension Plans. Harper Business, 1991, p. 219.〕〔Sharpe, William; Alexander, Gordon; and Baily, Jeffery. Investments, 5th ed. Prentice Hall, 1995, p. 478.〕
==History==
The most prolific author on dedicated portfolio theory, Martin L. Leibowitz,〔Fabozzi, Frank. Investing: The Collected Works of Martin L. Leibowitz. Probus, 1992, p. 521.〕 was the first to refer to dedicated portfolios as “cash matching” portfolios. He demonstrated how they are the simplest case of the technique known as bond portfolio immunization. In his sketch of its history, he traces the origin of immunization to Frederick R. Macaulay〔Macaulay, Frederick R. Some Theoretical Problems Suggested by the Movements of Interest Rates, Bond Yields, and Stock Prices in the United States Since 1856. National Bureau of Economic Research, 1938, p. 44-53.〕 who first suggested the notion of “duration” for fixed income securities in 1938. Duration represents the average life of the coupon payments and redemption of a bond and links changes in interest rates to the volatility of a bond’s value. One year later, J.R. Hicks〔Hicks, J.R. Value and Capital, Clarendon Press (Oxford), 1939.〕 independently developed a similar formulation referred to as the “average period.” In 1942, T.C. Koopmans〔Koopmans, T.C. The Risk of Interest Fluctuations in Life Insurance Companies. Penn Mutual Life Insurance Company, 1942.〕 pointed out in a report that, by matching the duration of the bonds held in a portfolio to the duration of liabilities those bonds would fund, the effects of interest rate changes could be mitigated or nullified completely, i.e. immunized. In 1945, Paul Samuelson〔Samuelson, Paul. The Effect of Interest Rate Changes in the Banking System. American Economic Review, March, 1945, p.16-27〕 formulated essentially the same concept, calling it the “weighted-average time period.” None of these earliest researchers cited each other’s work, suggesting each developed the concept independently. The work culminated in a 1952 paper by a British actuary, F. M. Redington.〔Redington, F.M. “Review of the Principles of Life-Office Valuations” Journal of the Institute of Actuaries 78, No. 3, 1952, p. 286-340. See also http://www.soa.org/library/proceedings/record-of-the-society-of-actuaries/1980-89/1982/january/RSA82V8N48.PDF〕
This body of work was largely ignored until 1971, when Center for Research in Security Prices (Lawrence Fisher and Roman Weil)〔Fisher, Lawrence and Weil, Roman l. “Coping with the Risk of Interest Rate Fluctuations: Returns to Bondholders from Naïve and Optimal Strategies.” Journal of Business 44, No. 4 (October, 1971), P. 408-31.〕 re-introduced immunization to the academic community in a journal article that followed a 1969 report written for the Center for Research in Securities Prices. Shortly thereafter, in 1972, I.T. Vanderhoof〔I.T. Vanderhoof. “The Effects of Interest Rate Assumption and the Maturity Structure of the Assets of a Life Insurance Company.” Transactions of the Society of Actuaries, Volume XXIV, Meetings No. 69A and 69B, May and June, 1972, p. 157-92.〕 presented the concept to the American actuarial community. Academic papers on immunization, duration, and dedication began to appear in increasing numbers, as interest rates began to rise. As rates rose further and further above their long term averages, the financial investment industry began to pay attention, and their inquiries increasingly attracted the attention of academic researchers. Realizing that the high rates would allow them to lock in unprecedented rates of return, defined-benefit pension fund managers embraced the concepts. Goldman Sachs and other high level firms began to produce software to help bond portfolio managers apply the theory to their institutional sized portfolios. Most of the examples used in the literature typically utilized portfolios consisting of several hundred million dollars. In 1981, Leibowitz and Weinberger〔Leibowitz, Martin L., and Weinberger, Alfred. “Contingent Immunization.” Salomon Brothers, Inc. January, 1981.〕 published a report on “contingent immunization” discussing the blending of active management of bond portfolios with immunization to provide a floor on returns. Leibowitz〔Leibowitz, Martin L. The Dedicated Bond Portfolio in Pension Funds - Part 1: Motivations and Basics and Part 2: Immunization, Horizon Matching and Contingent Procedures. Financial Analysts Journal, January/February (Part 1) and March/April (Part 2), 1986.〕 also published a paper in two parts defining dedicated portfolios in 1986. One of the side benefits of the theoretical work and practical interest was the development of new fixed income instruments, such as zero-coupon bonds. The most recent book on the topic, based on a research project at the University of San Francisco in the late 1990s, is titled ''Asset Dedication'' by Huxley and Burns. It was published in 2005,〔Huxley, Stephen J., and Burns, Brent. Asset Dedication. McGraw Hill, 2005.〕 describing the strategy and how the advances in desktop computers have reduced the cost of constructing dedicated portfolios to levels where individual investors could use the concept for personal investing, such as the example below shows for a retirement portfolio.
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