Geczy, Christopher C.

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  • Publication
    Financial Market Assumptions & Models for Pension Plans: A Technical Comment on the PIMS Model Assumptions for Asset Markets
    (2013-09-01) Geczy, Christopher C
    The financial market assumptions of the PBGC’s PIMS model are critical inputs to simulations for most apparent uses of the system. They currently appear to be based on a reduced form, “classical” approach to assessing and forecasting the distribution of returns on various classes of input assets, allowing for a fairly sophisticated and useful approach to understanding simulated distributions of potential pension insurance outcomes as well as the net financial status of the PBGC. This technical note discusses some of the capital market side assumptions utilized in the model. It also comments on important related assumptions including the assumed asset allocations of insured plans, making suggestion for possible modification of input assumptions of the model to reflect time variation in financial market return behavior as well as time variation in observed plan allocations.
  • Publication
    ESG and Expected Returns on Equities: The Case of Environmental Ratings
    (2021-08-01) Geczy, Christopher C.; Guerard, John B.
    Using long-standing models for expected returns of US equities, we show that firm environmental ratings interact with those forecasted returns and produce excess returns both unconditionally and conditionally. Well-known factor models subsume neither environmental-related return differentials nor expected return premia from those scores and models. In addition, combining information from both inputs—expected return models and economic, social, and governance (ESG) information—may provide an advantage in selecting investments. For financial fiduciaries, this notion shifts the conversation about ESG reflecting only constraints to one of an expanded information and possibly investment opportunity set.