SCR Calculator User Manual

Overview

The SAA Optimiser form is designed for asset allocation optimisation and investment strategy value appraisal from balance sheet perspective.

It aims to work out the best allocation plan for a range of target return levels, minimising risk or a user-defined objective and subject to a set of user-defined constraints. Constraints can involve rating, duration, SCR, ESG and other user-defined measures.

It can

• Accept monthly and quarterly time series with missing values.
• Intake long/short positions and Liability Replicating Portfolios.
• Optimise gainst a customised objective defined by the user.
• Optimise on assets or on the surplus.

A typical use case is to start from a specific investment allocation, and:

• Perform a constrained optimisation to observe the efficient frontier based on current investible universe.
• Introduce one or two new strategies and re-run the optimisation, to observe how much the efficient frontier has expanded.
• Compare different candidate strategies this way, and decide which one provides the most risk/return/capital value-add.
• Add more constraints to reflect our allocation policy, and gradually arrive at a concrete, practical allocation plan.

It includes a powerful constraint-defining facility and is suitable for use by not only insurance investors, but also pension funds, sovereign funds, family offices etc.

The set of PowerPoint charts that it can export are highly expressive and otherwise time-consuming to build by hand.

Outputs are instant and thus more credible than manual outputs with time delay.