Utilizing an actual set of client liability cash flows and their evolution over time, we identify the customized solutions that best hedge these flows under both our methodology and that of KRD-matching.
The simple and primary message of liability-driven investing (LDI) is that it strives to match the return on pension plan assets with those of the plan’s liabilities.
Western Asset economist Michael Bazdarich explains how the risks facing defined benefit pension plans that use liability driven investing (LDI) are fundamentally different from those for a standard investor.
Traditional hedge ratio measures seriously overstate the true hedging capability of most DB asset allocations and thus provide false comfort to plan sponsors.
Western Asset’s Michael Bazdarich goes into detail about the factors a plan should consider when using LDI to balance risk-management with return-enhancement.
Portfolio Manager Amit Chopra explains how DB plans can reduce funded status volatility and enhance yield by simply owning convexity.
Product Specialist and Economist Michael Bazdarich details Western Asset’s methodology for creating customized Liability Driven Investing (LDI) solutions.
Most corporate DB plans continue to follow a risk-on strategy, which has not worked well for the last 20 years. We question the prudence of continuing to rely on this strategy and mentality.
Every defined-benefit (DB) pension plan aspires to fulfill its obligations to beneficiaries. In order to do that, it needs to achieve and sustain 100% funded status now or at some point in the future.
This paper presents a risk-factor approach to Liability Driven Investing (LDI) and analyzes the sensitivities of both pension liabilities and assets to these factors.
Managing investment risk may seem to be the most difficult when markets move rapidly and volatility is high. In practice, however, it is often low volatility environments that are more challenging to navigate.
At a pension plan conference not long ago, a plan manager asked, "Why can't I just forget about de-risking and behave like a long-run investor: maximizing expected total return?
Astute investors have a keen appreciation of the risks they face. To better understand the risk/reward tradeoffs being offered today we will examine history to understand the context of past market performance...
A Defined-Benefit (DB) pension plan’s obligations to its beneficiaries are estimated by applying assumed mortality rates to the plan's census of beneficiaries, both active and retired.
In pension management as in life, simple is usually better. There are all kinds of complex fixed-income strategies a plan can engage in to reduce risk...
A pension plan’s assets need to achieve a total return that matches or exceeds that of its liabilities. Merely achieving asset returns that fluctuate in line with liability returns...
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