Liability Driven
Baker Gilmore excels in developing customized
The firm has extensive experience in providing liability driven investing
(LDI) solutions to a wide range of clients. Our innovative risk systems
and portfolio construction tools allow us to both create custom
benchmarks that incorporate client-specific liabilities and construct
portfolios that match benchmark risk factors within client defined
constraints and using a range of approaches.
To enhance yield and/or increase returns within client-tailored risk
profiles active strategies can be incorporated within the LDI
framework.
Objective
- Customized approach designed around client-specific liability cash flows
- Tailored approach consistent with different client needs and constraints, i.e., pension funds or insurance companies
- Provide daily risk, performance and attribution monitoring
Philosophy
& process
- Assess different approaches to matching liabilities including cash flow matching, immunization or a combination of both (horizon matching)
- Establish customized liability-matched benchmark
- Implement and monitor
- Active strategies provide opportunity to enhance yield and/ or Increase returns within client-tailored risk profile.
Risk management
- Monitor and manage plan assets and liability ratio
- Analyze investment implications based on actuarial information
- Manage dynamic de-risking programs, such as triggers based on funding status for a pension plan
Approaches to
liability driven
investing
- Cash Flow Matching
Customized portfolio to replicate monthly cash flow - Immunization
Portfolio constructed to closely match the liability or custom benchmark risk factors and minimize tracking error - Horizon Matching
Combines elements of immunized and cash flow matching approaches
Shorter-term liabilities are cash flow matched and longer-term liabilities are immunized
For more information on this
product please contact:
Brent Wilkins
Senior Vice President,
Head of Institutional Sales, Canada
Tel: +1 (416) 364-5396
Email: [email protected]
For additional information on Baker Gilmore & Associates Inc., please contact:
Brent Wilkins
Senior Vice President,
Head of Institutional Sales, Canada
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Baker Gilmore & Associates Inc.
July 12th, 2022