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Archive for October 14th, 2008

Nat Net

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When I want to edit some writing, whether my own or something like one of Nat‘s papers, I should take the time to read it out loud. I don’t catch everything if I just edit it silently in my head.

Bumper Sticker [] - paterfamilias

Written by macheide

14 October 2008 at 8:16 pm

Posted in paterfamilias

Double Duty

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Since I got such a late start on my workday after spending so much time sitting on the highways this morning, I’m lingering over Harry‘s keyboard later than normal.

While grilling burgers for dinner.

bumper sticker [] - adrien

Written by macheide

14 October 2008 at 6:36 pm

Posted in Adrien

APM International

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Virtually every comprehensive pension funding study or index will cover a universe of pension plans similar to that used for the Aftermath Pension Metric, picking up all defined benefit pension plans reported by employers, both domestic and international. While many of the largest employers follow accounting standards religiously enough to segregate disclosures for pension plans sponsored in non-U.S. countries from the pension plans sponsored in the U.S., too many other employers still aggregate all pension plans of all countries, making it difficult to estimate the amount of U.S. exposure for a large set such as the S&P 500.

As previously noted, examination of the data for the companies that do segregate domestic versus foreign pension plan disclosures indicates that overall, pension plans maintained in the U.S. tend to be better funded than those in other countries, with the funded ratio for U.S. plans tending to be 3-5 percentage points above the funded ratio for all plans combined. With the APM standing near 91 late last week, that would suggest a current funded ratio for U.S. plans near 95%. And since that U.S. number includes unfunded supplemental executive retirement plans, that suggests that the average funded ratio for U.S. qualified defined benefit pension plans of S&P500 companies remains near 100%, even after the traumatic investment markets witnessed so far this year.

But the presence of non-U.S. plans in our data raises another factor that I am currently working to incorporate into APM methodology, a factor not yet incorporated into any of comparable published measures: the effect of currency exchange rates during periods between publication of 10-k annual financial statements. Since non-U.S. plans tend to be less than 100% funded, a rising dollar improves the overall pension funded ratio relative to the status quo, while a falling dollar worsens the overall pension funded ratio relative to the status quo. I’ve not yet completed my analysis of all the data I have for this factor; but although I expect the effect to be minor relative to the effect of stock market moves and interest rate changes, I do anticipate that the effect will be sufficiently significant to creep into the first decimal place of the APM, particularly for periods near the end of any given company’s fiscal year. That is, whereas I am currently estimating an APM for last Thursday near 90.5, the recent rise of the dollar might increase that number to 91.0 or slightly above once I’ve fully incorporated exchange rate changes into APM methodology.

Further details are provided in the APM document.

(Remember, as I’ve previously observed, posts such as this represent efforts of my favorite pastime. My formal work does not involve any of this, and none of it represents any position or comment that should in any way be attributed to my employer. Likewise, as always, it represents general personal impressions and should not be treated or used as formal professional advice.)

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bumper sticker [] - actuary

Written by macheide

14 October 2008 at 2:41 pm

Posted in άctuary

Intolerable Commute

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Houston’s first non-hurricane rain in long memory clogs a late morning commute. My last clear stretch of road comes on the ramp down from the Sam Houston Beltway, at 8:26am. Over half an hour later and still short of the 610 loop, word on the radio of more bad traffic ahead finally convinces me to turn around, at 8:57am. Only 7 minutes later, at 9:04am, I am back opposite where the first of these three snapshots was taken. More than 4 times as long on the commute north as it took to come back south.

I’ll head into the office at an earlier hour tomorrow and the day after tomorrow, but without turning back despite suffering almost the same stop-and-go traffic. Which is why my mileage on the current tank of gas will drop to 36.20mpg, still better than most drivers enjoy, but my second worst tank of the year.

//] - abelian

Written by macheide

14 October 2008 at 9:04 am

Posted in abelian