In the last decade the concept of Liability Driven Investing has gained popularity, especially in the UK. LDI puts the focus on solvency risk in pension schemes, away from longer term considerations. A key element of LDI is that portfolio performance is benchmarked against the current projection of liability cash flows.

As a result, it has generated a vast growth of interest dependent investment products, typically involving complex (derivative) instruments and strategies. This has spurred a great interest in fixed income attribution models, but astonishingly the performance measurement industry has still very little to offer where it comes to dealing with liabilities as an investment benchmark. In this paper, we discuss the concept of funded ratio attribution, which is not entirely similar to fixed income attribution.

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