The global pension industry is in a dire state with many pension funds facing the threat of insolvency given sustained periods of low yields, falling asset values and rising liabilities due to an ageing membership base. Designing and implementing a Liability Driven Investment (LDI) strategy is now a key consideration for many plan sponsors. This paper looks at the Australian market as an example of how asset allocation is critical in determining the optimal LDI strategy. We also look at the various considerations when designing an investment strategy for a pension fund, with liabilities being sensitive to inflation and interest rates.