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Liability-Driven Investing (LDI)

Liability-Driven Investing (LDI)

Approach


We actively manage portfolios to optimize strategies through customized beta exposure.

Duration and Credit Risk Management
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We believe broad access to corporate credit can be essential to obtaining the most appropriate match between the credit, duration and yield curve sensitivity of the liabilities. Our robust risk systems allow us to manage these exposures in real-time.

Diversified Alpha Sources
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We seek diversified streams of alpha generation to help achieve returns above the liability discount rate. We work with pension plans to determine whether adding an alternative strategy—such as derivative overlays, a security-selection focused strategy or an unconstrained strategy—can potentially complement a plan’s objectives.

Completion and Anchor Management
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For plans that employ multiple managers in their liability hedging strategy, we work with the plans to construct completion portfolios that seek to fill in gaps in the overall hedging strategy and can serve as the anchor manager, allowing plans to adjust the overall hedging portfolio holistically as market conditions and liabilities change.

Benefits


An experienced partner

We have an established track record of partnering with consultants, actuaries and clients to help determine and implement appropriate objectives. We draw upon specialized expertise from dedicated pension strategists and experienced professionals across our Credit, Rate and Municipal teams.

 

Liability Specialists

Our portfolio management team includes experienced liability specialists that work with a client’s actuaries to understand the investment implications based on their actuarial information.

 

Risk analysis at the account and portfolio level

We leverage a propriety account-level liability risk analysis tool to quantify both the size and nature of a client’s pension liabilities. We also have portfolio-level risk systems to directly align our investment process and analyze risk at the portfolio level as well as decompose risk on the CUSIP level.

Customization

We can develop a unique benchmark that is customized to your pension liabilities. Our goal is to invest in benchmarks that most accurately reflect and measure a portfolio’s performance.

 

Flexibility in implementation

Through separate accounts and other vehicles, GSAM can leverage its extensive experience and, if required, leverage its derivative and interest rate overlay expertise.

Strategies


Benchmark Oriented Portfolios

Customized Liability Portfolios