Publication Archive

The note explains how not managing liability risk can be a dangerous approach for pension schemes and exposes them unnecessarily to funding level volatility.

An introduction to using swaptions as part of a liability hedge.

Swaptions can be used to enter into a liability hedge gradually as interest rates rise and structured correctly, the scheme gets paid for taking the decision to hedge. A useful new addition to your liability hedging tool box.

Following the significant market falls over 2008 and the beginnings of a recovery, we examine the opportunities available to investors in on-risk assets.

Many investors set strategic weightings to on-risk and off-risk assets and only review these allocations on a periodic basis. Should market conditions also be used as a catalyst for review? We consider whether there is merit in investors using the significant falls in many on-risk asset classes to adjust their strategic weightings.

Covers the basic principles of a liability hedging strategy

Liability risk has increasingly become a focus for pension schemes. A liability risk management strategy aims to make the total assets move more closely with the liabilities of the scheme therefore stabilising the funding level.

We consider the potential economic growth available from emerging markets and the case for increasing emerging market equity weightings.

Emerging market equities have typically formed only a small part of investors’ equity allocations.  We believe that these countries have been less affected by recession, are better placed to deliver strong economic growth and that investors will benefit from making more meaningful long-term allocations to emerging markets.

An update on shaping equity in a changing investment landscape.

Over the last quarter of 2008 P-Solve implemented a number of shaped equity solutions for clients. In this paper we review the pricing of the most popular structure and why it is suitable in the current market enviroment.

De-risking alternatives for pension schemes including liability hedging and mortality swaps.

There has been a lot of discussion in the press recently about the buoyancy of the buyout market. Whilst buyout might be a good idea in principle for some schemes, the costs can sometimes be prohibitive. In this paper, we discuss alternative options for "de-risking" a pension scheme.

An overview of the Broad Bond mandate and the potential for using a diverse portfolio of bond assets for return generation.

The concept of using bonds as a return source rather than a defensive asset is new to many. Evidence suggests that a broadly invested bond mandate can deliver attractive returns, thus offering diversification to equity investment. We consider the characteristics of this mandate and the attractiveness of investment at this time given the widening of credit spreads.

Flying with the Condor

Over the course of 2007 P-Solve implemented a number of shaped equity solutions for clients. In this paper we review the pricing of the most popular structure (a Geared Call Spread on a World Basket) and explore an alternative option in current market conditions.

A discussion about the uses of derivatives to manage equity returns.

Equities clearly have a place in a pension scheme’s investment strategy from a return generation perspective. This paper discusses whether, in the current market environment, these returns can be shaped to make them more consistent with trustees’ objectives.