Flirting with Models Jonathan Glidden - Saving Delta's Pension with Portable Alpha
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Dec 4, 2024 In this conversation with Jonathan Glidden, Chief Investment Officer of Delta Airlines Pension Plan, he shares his remarkable journey from engineering to finance. He discusses the innovative portable alpha strategies that transformed Delta's pension plan funded status from 38% to over 100%. Jonathan highlights key lessons learned from financial crises, such as 2008 and COVID-19, while emphasizing the importance of risk management and liquidity. This episode is a treasure trove of insights for anyone interested in optimizing pension fund management.
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Why Portable Alpha Suits Delta
- Portable Alpha suits Delta due to its high spending rate and limited private market capacity.
- Alpha reduces reliance on market exposure and associated risks.
Alpha Source Selection
- Select alpha sources that outperform the implied borrowing cost of your derivative portfolio.
- Look for managers with statistically significant residuals and high residual information ratios.
Transparency and Governance
- Be transparent about using leverage, derivatives, and high-fee managers.
- Establish clear limits, reporting metrics, and governance structures.