Asset Allocation & Rebalancing Efficiency

Meridian Institutional Advisors | $2.8B Pension Composite | Q3 2024

Highest Drift Z-Score
2.31
Real Assets
Breached
Days to Next Trigger
11
EM Equity
Watch
Rebalancing Cost Ratio
2.4x
+0.3 vs target
Time-in-Tolerance Rate
87.2%
90-Day Avg
Avg Txn Cost per Event
14.2
BPS
+1.8 vs Q2
Tax Harvest Efficiency
68%
Loss Capture
On Target

Asset Class Drift Z-Score Heatmap — Current vs. Target Weight Tolerance

Jan
Feb
Mar
Apr
May
Jun
Jul
Aug
Sep
Oct
Nov
Dec
US Equity
0.2
0.3
0.1
-0.2
0.4
0.3
0.1
-0.3
0.2
-0.5
-0.8
-0.6
Intl Equity
0.1
0.4
0.6
0.3
1.2
1.4
0.9
0.7
0.5
0.8
1.1
1.3
EM Equity
-0.3
-0.1
0.2
0.4
0.6
0.9
1.2
1.5
1.6
1.8
1.7
1.74
IG Credit
0.1
-0.2
0.3
0.2
-0.1
0.4
0.6
0.5
0.3
0.7
0.9
0.8
Real Assets
-0.4
-0.2
0.1
0.3
0.5
0.7
0.9
2.1
2.3
2.4
2.35
2.31
Within Band
Approaching (1-1.5σ)
Breached (>1.5σ)

Drift Z-Score Trend — Top 4 Asset Classes (90 Days)

Estimated Rebalancing Trigger Horizon (Days Until Breach)

Rebalancing Cost Efficiency

2.4x
Alpha Recovered / Txn Cost
Avg Alpha Recovered:34 BPS
Avg Txn Cost:14.2 BPS
Target Ratio:≥1.5x

Transaction Cost per Event

14.2 BPS
All-in Cost (Q3 Avg)
Commissions:3.1 BPS
Market Impact:8.4 BPS
Timing Cost:2.7 BPS

Tax Lot Harvest Efficiency

68%
Loss Capture Rate
Realized Losses:$2.1M
Potential Losses:$3.1M
Missed Opp:$1.0M
On Target (≥65%)

Current vs. Target Weight — All Asset Classes

Cross-Asset Correlation vs. SAA Assumption (60-Day Rolling)

Pair Current SAA Model Delta
US Eq / Intl Eq0.820.75+0.07
US Eq / EM Eq0.680.65+0.03
US Eq / IG Credit0.410.45-0.04
Intl Eq / EM Eq0.770.72+0.05
IG Credit / Gov Bonds0.580.60-0.02
Real Assets / Alternatives0.340.30+0.04

Time-in-Tolerance Rate by Sleeve (90 Days)

Rebalancing Event Log — Last 6 Events

Event Date Trigger Asset Pre-Trade Drift (σ) Action Trade Size ($M) Txn Cost (BPS) Alpha Recovered (BPS) Efficiency Ratio
2024-10-18 Real Assets 2.41 Emergency Rebalance $47.2 18.3 41 2.24x
2024-08-22 EM Equity 1.68 Routine Rebalance $28.4 12.1 33 2.73x
2024-07-15 Intl Equity 1.52 Routine Rebalance $35.1 13.8 36 2.61x
2024-05-30 HY Credit 1.44 Routine Rebalance $21.7 15.2 29 1.91x
2024-04-12 Gov Bonds 1.39 Routine Rebalance $19.3 11.4 32 2.81x
2024-02-08 Alternatives 1.51 Routine Rebalance $14.9 16.7 38 2.28x

Liquidity-Adjusted Rebalancing Capacity by Sleeve

US Equity$124M/day
Intl Equity$86M/day
IG Credit$52M/day
Real Assets$18M/day
Alternatives$8M/day

Benchmark Relative Weight Drift (Active Share Delta)

+2.8%
Change in Active Share vs. Benchmark (90 Days)