Release Notes



17th August 2023

Fixed Income Portfolio Optimiser

Fixed Income Portfolio Optimiser is now added in the SCR Calculator. The Fixed Income Portfolio Optimiser is a unique and versatile portfolio construction tool. Integrated with Bloomberg datafields, it is suitable for improving an existing portfolio at a defined turnover, or building a competitive model portfolio from scratch. By maximising yield or spread while conforming to multi-dimensional constraints, it can generate tangible P&L.

A Powerful Portfolio Construction/Rebalancing Tool

Quite often institutional mandates are constructed and maintained under one or several of the following constraints:

• Duration and maturity
• Rating - portfolio average and minimum
• Country and sector exposure limits
• Name and Issue concentration limits
• SCR, multi-jurisdictional
• ESG and other bespoke metrics
• Trading liquidity
• Cashflow needs

A fixed income portfolio needs to be regularly rebalanced to conform to these many constraints, with new assets selected from a large investible universe. The portfolio manager needs to determine what to buy/sell and by how much, often using a spreadsheet. Simply giving equal or rating-based-tiered weights to rebalanced assets can lead to sub-optimal results.

The Fixed Income Portfolio Optimiser can make a portfolio manager's life easier. It allows credit fundamentals to be combined with quantitative constraints and can deal with a very large investible universe efficiently. Given proper starting requirements, it can generate fairly practical model portfolios that often beat hand-made ones by several tens of bps or more. These optimised model portfolios can serve as a great starting point for further manual refinement.

Below is an example screenshot: