Tag Archives: Value at risk

End of the road for LDI?


Thanks to those brave souls who braved “Southern”, the tube strike and filthy weather to attend yesterday’s lunch which asked “has LDI had its day?”. One answer to that question was clear, I learnt that the top performing asset class … Continue reading

Posted in pensions | Tagged , , , , , , , , , , , | 1 Comment

Happy Christmas – VAR is over.


The conventional approach to pension scheme asset management has been a powerful instrument of mis–education. Consultants and trustees are taught about matching assets to liabilities, the use of standard deviation and the Brinson axiom. They may be told something about … Continue reading

Posted in advice gap, pensions | Tagged , , , , | 3 Comments