Asset-Liability Management

A funding and investment strategy must be defined in such a way that the obligations of a pension plan can be financed in the long term without having to take unsustainable risks in the short and medium term.

The challenge

The objective of a pension fund investment strategy is to ensure a long-term fulfilment of benefit promises. Therefore, benefit and financing strategies should allow for a sufficient investment return in order to sustain the adequate benefits level over the long run.


A pension fund is subject to legal regulations that significantly limit the criteria of benefits design, financing and investment strategies. When setting up the benefits level and investment model, it is crucial to have a precise understanding of risk capacity parameters.

How our ALM services add value

ALM studies enable you to make informed decisions when it comes to determining an investment strategy that is tailored to your situation. The studies also contribute to a comprehensive understanding of the current asset and liability situation and show how these interact with the objectives set by the Board of Trustees. 

You can identify areas for action regarding the performance, funding and investment strategy and understand their consequences. Mercer can break down investment returns into underlying risk factors that make the contribution of individual investment risks more transparent. An investment strategy can then be developed based on the identified return requirements, risk capacity and appetite, liquidity requirements, permissible asset classes and the situation in the financial markets

How we can support you

  • Reviewing the risk capacity and financing of the pension fund benefits.
  • Recommendation of alternative benefit strategies.
  • Matching the investments to the pension fund's situation (investment strategy, benchmarks, bandwidths, implementation).
  • Recommendation on technical parameters and fluctuation reserve.
  • Stress testing with investment and liability-side scenarios