We find large heterogeneity in the investment strategies of liability-driven investors by using data on occupational pension funds. We measure investment strategies through their factor exposures within equity and fixed income portfolios. In line with our model that solves a mean-variance optimization problem of assets minus liabilities, we find that the funding ratio, risk-aversion, and liability duration explain part of the heterogeneity in the factor exposures. The remaining heterogeneity that is not explained by the model reflects an annual expected return difference of 1.04 percentage points between the pension funds with the highest and those with the lowest factor exposures. This is equivalent to a difference in expected retirement income of 24 percent. We also find a large time variation in the fixed income factor exposures due to active changes in country allocations. This variation shows that liability-driven investors adjust their investment strategies following innovations in the news about assets with similar characteristics as their liabilities.