Liability-Driven Investing and Equity Duration

11 Pages Posted: 18 Jun 2008

Date Written: January 1, 2008

Abstract

Increasing interest in liability-driven investing (LDI) in the pension community has prompted many plan sponsors to seek longer-duration investments. Historically, empirical evidence has guided plan structures toward long-duration bonds as an appropriate liability-matching instrument, citing relatively short durations for U.S. equities. However, LDI depends upon accurately measuring duration for assets - including equities. In this article, the Brandes Institute reexamines assumptions used to calculate equity duration and poses key questions for investors to consider when pursuing LDI.

Keywords: ldi, liability-driven investing, pension, plan sponsor, duration, investment, investor, investing, liability-matching, equities, assets, liabilities

Suggested Citation

Institute, Brandes, Liability-Driven Investing and Equity Duration (January 1, 2008). Brandes Institute Research Paper No. 2008-01. Available at SSRN: https://ssrn.com/abstract=1144326 or http://dx.doi.org/10.2139/ssrn.1144326

Brandes Institute (Contact Author)

Brandes Investment Partners ( email )

11988 El Camino Real, Suite 500
P.O. Box 919048
San Diego, CA 92191-9048
United States

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