Credit Markets in Transition: Liability Driven Investing, A Multi-Sector Approach
This episode of All the Credit® highlights liability-driven strategies in our new sub-series, Credit Markets in Transition.
PGIM Fixed Income has decades of experience managing liability-driven strategies and portfolios for institutional investors and affiliate insurance companies.
This episode of All the Credit® highlights liability-driven strategies in our new sub-series, Credit Markets in Transition.
Our case study focuses on the rationale, decision factors, and portfolio construction and management when immunizing a portion of a defined benefit pension plan's liabilities.
An analysis into why we believe high-quality securitized products fit within the asset allocation options of an LDI portfolio.
In episode two, Host and Senior Portfolio Manager Mike Collins welcomes Greg Peters, Head of Multi-Sector and Strategy, and Tom McCartan, LDI Strategies.
Fixed income markets contain a high proportion of investors whose goal of identifying the most attractive relative value is subverted by jurisdictional or self-imposed rules, regulations, and constraints, or is superseded by other non-economic objectives, such as accounting conventions. This, in turn, creates opportunities for total return, multi-sector fixed income investors willing to consider broad investment guidelines and greater degrees of portfolio management freedom. In this paper, we lay out: 1) The fixed income market segmentation we observe and the resultant high dispersion in risk-adjusted reward; 2) Principles for identifying relative value and pitfalls to avoid; 3) An outline of our portfolio construction approach for building multi-sector portfolios.
*Based on managing the Long Duration (Government/Credit Custom) Composite, from inception July 1, 1998 to the date it closed July 31, 2020.
**Based on managing the U.S. Long Duration Corporate Fixed Income Composite, from inception November 1, 2003 to the date it closed June 30, 2018.
Source: PGIM Fixed Income. Assets under management as of March 31, 2025. Excludes assets managed for proprietary and retail clients. Assets under management are based on company estimates and are subject to change.
Bloomberg U.S. Long Government/Credit Index covers USD-denominated and non-convertible, publicly issued US Government or investment-grade securities that are fixed rate or step ups. Securities must have a maturity of 10 years or greater and be rated investment-grade (Baa3/ BBB-/BBB-) or better using the middle rating of Moody’s, S&P, and Fitch.
Bloomberg U.S. Long Corporate Bond Index covers USD-denominated and non-convertible, publicly issued securities that are fixed-rate or step ups. Securities must have a maturity of 10 years and be rated investment-grade (Baa3/ BBB-/BBB-) or better using the middle rating of Moody’s, S&P, and Fitch.
The Long Duration Government / Credit Blend Benchmark Custom Indexis weighted average of each composite member’s benchmark return rebalanced monthly. As of December 31, 2012, the breakdown of the benchmark is 85.5% Bloomberg U.S. Long Government/Credit Bond Index and 14.5% Bloomberg U.S. Intermediate Gov/Credit Bond Index.
Bloomberg U.S. Long Credit Index is comprised of publicly issued U.S. corporate debt and specified foreign debentures and secured notes denominated in USD that have at least 10 years until final maturity and are rated investment-grade (Baa3/BBB-/BBB- or better) using the middle rating of Moody’s, S&P, and Fitch, respectively. Source of the index: Bloomberg.
Bloomberg Index Services Limited. BLOOMBERG® is a trademark and service mark of Bloomberg Finance L.P. and its affiliates (collectively “Bloomberg”).