Liability-driven investing

Innovative LDI solutions and the ability to partner with plan sponsors at ALL stages of plan design and implementation

OUR EDGE IN LDI

Our client solutions draw on multi-asset skill within a distinctively collaborative environment
  • Fixed income expertise in rates, credit, securitized, and derivative markets
  • Deep fundamental credit research enhanced by equity investor perspectives
  • Specialist trading resources to help support liquidity needs
  • Actuaries who translate liability cash flows into practical investment ideas
  • Experience managing full pension solutions and implementing glidepath approaches

FEATURED RESEARCH AND IMPLEMENTATION IDEAS

DB dilemma: How do investment decisions affect stock returns?
Corporate plans that adopt an LDI framework intend to derisk over time, which can help stabilize the company’s balance sheet but also result in a negative earnings adjustment. In this paper, we share research on the effect derisking can have on the value of a company’s stock, including the relationship between valuations and the pension balance sheet/pension earnings, the impact of changes in ROA assumptions, and the effect of pension buyouts.
September 2019
DB dilemma: How do investment decisions affect stock returns?
,
STRIPS and synthetic overlays: A plan sponsor’s guide to the duration-extension decision
Many corporate defined benefit plans are contemplating strategies to increase the hedge ratios of their portfolios. There are multiple options to consider, in both the cash bond and derivatives markets. Here we looks at the pros and cons of each and the case for active management in implementation.
May 2019
STRIPS and synthetic overlays: A plan sponsor’s guide to the duration-extension decision
,
Allan Levin
 CFA, FRM, FSA
Bill Cole
 CFA, CAIA

Get white papers, webcasts and alerts delivered to you.

EVERYTHING YOU WANT TO KNOW ABOUT LDI

Members of our LDI Team offer a primer on the nuts and bolts of liability-driven investing as well as more advanced concepts and best practices — all in 30 minutes.

HOW DO WE WORK WITH YOU?

We partner with plan sponsors at all stages of the LDI process, tapping the full breadth of Wellington’s capabilities.

1. Custom research and consultation

Liability cash-flow analysis

Asset/liability studies

Glidepath construction

2. Investments for a broad range of objectives

Liability matching

Long-duration

  • Long credit/corporate
  • Long government/corporate
  • STRIPS

Absolute return plus long bonds

Cash balance

Return-seeking: Bridge

Listed infrastructure

Low-volatility equity

Opportunistic fixed income

Multisector credit

Return seeking: Core

Active equity

  • US
  • Global
  • Emerging market

Absolute return strategies

3. LDI portfolio construction

Custom LDI benchmarks

Completion management

Cash bond portfolios with derivative overlays

Cash-flow driven investment (CDI)

Dynamic pension management

This is for illustrative purposes only and is not an investment recommendation. This is not an all-inclusive list of approaches that may fit the stated theme. Investing involves risk, and an investment in an approach could lose money.

MEET OUR LDI TEAM CO-CHAIRS AND LONG BOND MANAGERS

LDI TEAM CO-CHAIRS
LONG-DURATION BOND MANAGERS
Amy Trainor
Amy Trainor

Amy Trainor, FSA

LDI Team Co-Chair, Multi-Asset Strategist & Portfolio Manager

Amy helps corporate pension sponsors set strategic asset allocation policy. She also manages customised multi-asset portfolios, including glidepath approaches. She partners with the Fixed Income team to implement LDI solutions.

  • 25 years of professional experience, including roles at Hewitt Associates (Aon Hewitt) and Towers Perrin (Willis Towers Watson)
  • Wellesley College, BA in economics and mathematics
  • Fellow of the Society of Actuaries (FSA)
  • Chair of Wellington’s Retirement Benefit Plans Oversight Committee and a member of the Corporate Governance Committee
Bill Cole
Bill Cole

Bill Cole, CFA, CAIA

LDI Team Co-Chair, Fixed Income Investment Director

Bill works closely with LDI portfolio managers, fixed income quantitative strategists and global multi-asset strategy teams to design LDI solutions for corporate plan sponsors. Additionally, he provides portfolio and risk oversight to help ensure the integrity of our investment-grade credit and long-duration approaches.

  • 13 years of professional experience
  • Drexel University, MBA; College of the Holy Cross, BA in economics and Asian studies
  • Chartered Financial Analyst and Chartered Alternative Investment Analyst
Scott St. John
Scott St. John

Scott St. John, CFA

Portfolio Manager, Long-Duration Fixed Income

Scott manages dedicated US corporate bond portfolios and is a member of our LDI team. He chairs the US Corporate Bond Strategy Group, which helps shape portfolio positioning for corporate bond holdings.

  • 25 years of professional experience
  • University of Rochester, MBA
  • Chartered Financial Analyst
Joe Marvan
Joe Marvan

Joe Marvan, CFA

Portfolio Manager, Long-Duration Fixed Income

Joe is a fixed income portfolio manager and serves as chair of the US Broad Market Team. As chair, he is responsible for setting aggregate risk levels and investment strategy in long-duration bond portfolios.

  • 30 years of professional experience
  • Babson College, MBA
  • Chartered Financial Analyst

Allan Levin, CFA, FRM, FSA

Portfolio Manager, Long-Duration Fixed Income

Allan focuses primarily on inflation-linked and interest-rate markets, and is a member of our LDI Team. He develops macro, relative value, and systematic investment strategies that he implements in dedicated US Treasury and STRIPS portfolios in addition to multisector portfolios.

  • 23 yrs of prof exp
  • Columbia University, MBA
  • Chartered Financial Analyst

LET’S TALK LDI

To learn more about our LDI capabilities and offerings please contact us.

Amy Morse

Director, Pension Strategies

explore insights

Monthly Market Snapshot: August 2020
A monthly update on equity, fixed income, currency, and commodity markets.
September 2020
Monthly Market Snapshot: August 2020
,
Sharpening our edge: Investing with data science
In the first part of our new iSci stories series, we explore how data science is increasingly providing our investors with differentiated insights and discuss the value of robust collaboration between our investors and data scientists.
September 2020
Sharpening our edge: Investing with data science
,
Managing risk in an unconstrained fixed income strategy
Learn why we believe the integration of risk management throughout the investment process and the use of multiple lenses are crucial for approaches that span multiple styles, regions, asset types, and credit tiers.
September 2020
Managing risk in an unconstrained fixed income strategy
,
Expanding the liability-hedging tool kit: A securitized solution?
Concerned about concentration risk, liquidity issues, and other factors that can affect long corporate bond allocations, derisking pension plans are seeking opportunities to diversify their liability-hedging allocations. In this paper, members of our LDI Team share their research on securitized assets as a potential alternative.
September 2020
Expanding the liability-hedging tool kit: A securitized solution?
,
Setting ROAs for 2021: A guide for US public and corporate plans
How are pension plans adjusting their ROA assumptions? How do those assumptions line up with our long-term capital market assumptions? Find out in this annual update.
September 2020
Setting ROAs for 2021: A guide for US public and corporate plans
,
Credit dispersion continues: Q&A
Portfolio Manager Ryan Valente offers his insights on today's dispersion-driven credit opportunities, changes since the COVID-19 pandemic, and the value of managing alternatives credit at Wellington.
September 2020
Credit dispersion continues: Q&A
,
Redefining “value” for a modern economy
Value stocks are cheap and growth stocks are expensive. End of story, right? Our Fundamental Factor Team argues that the traditional tools for measuring value are out of date and offers a more nuanced view.
September 2020
Redefining "value" for a modern economy
,
Opportunistic investing: 20 years, 8 lessons
Multi-Asset Portfolio Manager Brian Garvey humbly reflects on 20 years of opportunistic and thematic investing.
September 2020
Opportunistic investing: 20 years, 8 lessons
,