The Bloomberg Barclays 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 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. This series displays 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. 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.
Key Features and Coverage on RIMES
Bloomberg Barclays LDI Index Series constituents are derived from Bloomberg Barclays’ market-leading fixed income indexes.
Some of the indices available include:
- Bloomberg Barclays 6-Year LDI Index
- Bloomberg Barclays 8-Year LDI Index
- Bloomberg Barclays 10-Year LDI Index
- Bloomberg Barclays 12-Year LDI Index
- Bloomberg Barclays 14-Year LDI Index
- Bloomberg Barclays 16-Year LDI Index