Multi-asset insurance management

Our multi-asset insurance investment team is composed of asset allocation experts whose goal is to deliver added value for investors, while respecting each portfolio’s accounting, financial, non-financial and prudential objectives. Within our multi-manager organisation, backed by the insurance solutions team, asset allocators oversee the management of multi asset class mandates using the PASS tool, which is shared by all of the insurance experts. 

Our four-stage investment process is based on a top-down analysis drawing on allocation optimisation tools. The investment horizon spans several years, paying particular attention to the annual closing (at year-end). Individual investments are managed by our expert fixed-income and equity departments. The multi-asset investment team allocates budgets and manages cash positions, overlay hedging strategies and diversification into UCIs/ETFs. The team is in charge of global portfolio piloting, in terms of both balance sheet and market valuations, and for establishing annual capital gains budgets set by clients, from the perspective of their prioritised goals, such as return on regulatory capital (RORC), non-financial ratings or carbon intensity/footprint trajectory, for example.

1. Analyse the investment framework  integrating all of the client’s objectives into target allocation construction and piloting portfolio accounting results.
2. Define insurance allocation views  by major asset class (money markets, bond direct management, equity direct management and diversification in UCIs): year-end projection of Ostrum AM views, in terms of absolute performance, yield, market price and from an insurance perspective (amortised cost for bonds); formalisation of a risk (SCR and/or volatility) / return profile for each asset class, enabling the establishment of a ranking based on a rolling annual insurance approach.
3. Identify year-end target insurance allocations for each portfolio,  updated monthly according to the client’s annual objectives, notably in terms of financial production, Ostrum AM’s insurance views (year-end and 5-year) and expected flows within the mandate. Construction of an efficient frontier (insurance yield / SCR) for each portfolio, to select the risk/return profile offering the most attractive risk on return capital (RORC).
4. Pilot the global portfolio. Applying allocation decisions between asset classes, including as an overlay, and overall management coordination. Monitoring real allocations vs target allocations and objectives, daily piloting of financial flows, cash positions, target capital gains budgets and also monitoring accounting, non-financial and financial risks.