busprof

duration is assumed constant . It is assumed not to change. The direction of exposure change is the same between assets and liabilities . For instance if rates drop assets increase in value while liabilities also increases in value . But you have a negative sign in front of liabilities ( to the pension fund )
Here we’re talking of liabilities which has a higher  duration than the benchmark. So a drop in rates is going to increase liabilities value more than the benchmark increase . So youre only making the net ALM gap wider.