SCR Calculator User Manual

Overview

The SAA Optimiser form is designed to optimise asset allocation and appraise investment strategies from a balance sheet perspective.

It helps determine the best allocation plan for various target return levels by minimising risk or meeting a user-defined objective, subject to constraints such as rating, duration, SCR, ESG, and other custom measures.

Key features include:

• Handling monthly and quarterly time series with missing values.
• Accommodating long/short positions and Liability Replicating Portfolios.
• Optimising against a user-defined objective.
• Focusing optimisation on assets or surplus.

A typical use case involves starting with an existing investment allocation and:

• Running constrained optimisation to explore the efficient frontier within the current investible universe.
• Introducing new strategies, re-running the optimisation, and observing how the efficient frontier expands.
• Comparing candidate strategies to identify those offering the best risk/return or capital value-add.
• Adding constraints to reflect allocation policies and refining a practical allocation plan.

The SAA Optimiser features a robust constraint-defining tool and is suitable for use by insurance investors, pension funds, sovereign funds, family offices, and others.

Its PowerPoint chart exports are highly detailed and save significant manual effort, providing instant, credible outputs without time delays.