Post by Sapphire Capital on Jul 11, 2008 4:42:04 GMT 4
Liability-Driven Investing and Equity Duration
BRANDES INSTITUTE
Brandes Investment Partners
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January 1, 2008
Brandes Institute Research Paper No. 2008-01
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.
papers.ssrn.com/sol3/Delivery.cfm/SSRN_ID1144326_code1038980.pdf?abstractid=1144326&mirid=2
BRANDES INSTITUTE
Brandes Investment Partners
--------------------------------------------------------------------------------
January 1, 2008
Brandes Institute Research Paper No. 2008-01
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.
papers.ssrn.com/sol3/Delivery.cfm/SSRN_ID1144326_code1038980.pdf?abstractid=1144326&mirid=2