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Barclays-Russell LDI Index Series

The Barclays-Russell LDI Index Series is a set of investable benchmarks designed for U.S. liability-driven investing (LDI) portfolios.

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.

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.

Key benefits

More precise.
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.

Key features

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.

Uniquely positioned.
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.

Available indexes

Barclays-Russell 6-Year LDI Index
Barclays-Russell 8-Year LDI Index
Barclays-Russell 10-Year LDI Index
Barclays-Russell 12-Year LDI Index
Barclays-Russell 14-Year LDI Index
Barclays-Russell 16-Year LDI Index

Russell LDI Update

Russell LDI Update
A monthly LDI update with returns from the Barclays-Russell LDI Indexes