Set for Life: £10,000 a month for 30 years
A five-year backtest tests a gilt-and-cash portfolio against a fixed monthly payment promise, using cash-triggered rebalancing and no borrowing.
Explore the hedging methodRuss Oxley · Research & consultancy
Pensions and
financial markets
I write about government bonds and pension investment, develop models for liability hedging, and research a modern tontine.
I consult with financial institutions building fixed income capabilities and modern tontine structures. Avrox Asset brings that work together with my introductions to CRZ Pricing.
01 / Investment research
Start with the cash flows
A pension liability has a payment schedule. Government bonds have their own. The hedging work examines how to connect the two, and where the remaining interest-rate exposure sits.
The wider writing covers gilt markets, monetary policy and the incentives behind investment decisions.
Matching exposure through time
Pension liabilityGilt portfolio
02 / Pension design
A modern tontine
An annual investment ladder prepares for future income. Longevity sharing allows the commitments of members who live for less time to help support those who live longer.
The research connects the amount invested in each rung with fair allocations, payments and the pool’s ability to continue.
Funding each £1,000 of future income
With ideal sharingInvestment only
03 / Commercial introductions
From a market view
to a priced trade
CRZ Pricing provides derivatives pricing and risk technology. The worked demonstration compares trade structures, valuations and risks using a common calculation engine.
Avrox may receive commission from successful introductions to CRZ Pricing.
- Outright rates
- Exposure to the level of yields
- Curve positions
- Exposure between maturities
- Options
- Exposure that changes with the market
Selected writing
From the publication
Read article
AI, investment and the price of falling behind
The article asks whether spending to protect existing income is raising demand for capital and real yields without equivalent productivity gains.
Can CDC allocate risk, not just pool it?
A proposal to update members' target benefits through audited experience allocation before applying the common CDC funding adjustment.
How fair sharing worksAbout
Russ Oxley
More than 25 years in fixed income, derivatives and investment management, including building the rates and LDI business at Ignis and launching its Absolute Return Government Bond Fund.
Modern Tontines on Substack
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New articles on pensions, fixed income and financial markets, alongside updates from the tontine research.