Barclays-Russell LDI Index Series
Barclays-Russell LDI Index Series is a set of new investable benchmarks designed to measure and hedge the interest rate sensitivity for U.S. liability-driven investing (LDI) portfolios and to better manage pension funding requirements.
Specifically designed to reflect the behavior of pension liabilities, these indexes more closely match the durations and credit quality of a plan's obligations than other commonly used fixed income indexes or yield curves.
These indexes can be used to evaluate the skill of managers in their ability to reduce the tracking error of the fixed income portfolio return against the pension's liabilities return.
Barclays-Russell LDI Index Series display lower tracking error to pension liability returns than commonly used LDI benchmarks. This increased precision brings to the market a set of tools that helps to more precisely match a set of liabilities.
Represents the investable market.
Primarily comprised of high quality, non-callable corporate bonds, the indexes maintain a minimum number of constituents, has low turnover and issuer diversification to ensure the indexes are investable and accurately represents the opportunity set.
Improves LDI management.
As more pensions manage asset and liability volatility through LDI strategies, Barclays-Russell LDI indexes will simplify the process of monitoring cash flows from investments to projected benefit payments.
Transparent and objective.
Barclays-Russell LDI Index Series are rules-based, measurable and adequately diversified. Index constituents are derived from Barclays' market-leading fixed income indexes.
The index series provides different duration segments that can be used in combination to better match a plan's liability duration and curve exposures. Exposures can be customized across a portfolio and changed over time.
Russell Investments, a leader in LDI, multi-asset investment solutions and equity market index construction and methodology and Barclays, a global leader in fixed income indexing, have collaborated to offer this new standard in LDI benchmarking.