Glide paths are an essential framework for navigating pension plans towards their objectives. At Loomis Sayles, our LDI Solutions team provides glide path design services to help plans decide on the most appropriate structure for their specific circumstances and risk tolerance. We use a set of glide path tools ranging from historical analysis to forward-looking Monte Carlo simulations utilizing a set of capital market assumptions to guide plan sponsors to an optimal framework.

Guiding Priciples

  • Main driver should be funded status
  • Start from a desirable end state based on plan-specific goals (e.g. hibernation or termination)
  • Seek adequate return at each point to help achieve objectives
  • Allow for implementation flexibility
  • Try to keep it simple
Funded Status Impacts Level of LDI Customization
Funded Status RSA Allocation LDI Allocation IR Hedge Ratio
Trigger: 75%
Range: <80%
80% 20% 20%
Trigger: 80%
Range: 75%-85%
70% 30% 30%
Trigger: 85%
Range: 80%-90%
60% 40% 40%
Trigger: 90%
Range: 85%-95%
50% 50% 55%
Trigger: 95%
Range: 95%-100%
40% 60% 70%
Trigger: 100%
Range: 95%-105%
30% 70% 85%
Trigger: 105%
Range: 100%-105%
20% 80% 95%
Trigger: 110%
Range: >105%
10% 90% 100%

Team views are current and subject to change. Glide path chart provided for illustrative purposes only. Actual glide path may differ. The data is not intended to represent any actual portfolio.

The ability of an actual portfolio to deliver the required cash flows is not guaranteed and is subject to a variety of factors including, but not limited to, the availability of bonds, active management and trading, transaction costs, default risk, reinvestment risk, rebalancing risk and liquidity risk.

Commodity, interest and derivative trading involves substantial risk of loss.

Any investment that has the possibility for profits also has the possibility of losses.

This is for informational purposes only and should not be construed as investment advice. Investment decisions should consider the individual circumstances of the particular investor. Any opinions or forecasts contained herein reflect subjective judgments and assumptions of the author and do not necessarily reflect the views of Loomis, Sayles & Company, L. P. Investment recommendations may be inconsistent with these opinions. There can be no assurance that developments will transpire as forecasted. Examples and analysis are provided for illustrative purposes only and do not represent actual accounts. Accuracy of data is not guaranteed but represents our best judgment and can be derived from a variety of sources. Opinions are subject to change at any time without notice.