Solutions & Funds
LDI Solutions
Tailored investment solutions for the unique investment challenges of our clients
Luciano Gisonni
Head of Asset Allocation & LDI Structuring
Industry experience: 9 years
We leverage our vast experience as the in-house asset manager for one of the world’s largest insurance companies to provide a range of services for LDI clients, including Solvency Capital Requirement (SCR) estimates and monitoring to fulfil regulatory requirements. We collaborate closely with clients to identify their needs in order to provide services tailored precisely for their goals.
Solutions
Our capital optimised portfolio strategy begins by defining the Strategic Asset Allocation which combines the needs of the client with market expectations to target the desired long-term risk/return profile, capital preservation or risk-budgeting. The portfolio construction on the Asset Allocation side is performed by an optimization process which results in an Efficient Frontier.
We also optimise ex-ante Tactical Asset Allocation with tilts that are aimed at maximizing the risk-adjusted short-term expected returns on the basis of in-house market analysis.
Every study can be enriched through ALM projections, CFM evaluations, SCR estimates, what-if scenarios and back-testing analysis.
Controlled volatility solutions leverage on long-term quantitative-based investment strategies. They aim at keeping the overall realized portfolio volatility close to a pre-defined target by changing dynamically the exposure to a set of risky assets.
Following this approach it’s possible to improve the portfolio risk-adjusted performance, keep the overall level of risk under control, retain a significant exposure towards growth oriented asset classes, hedge a portion of the downside risk and reduce drawdowns
A protection mechanism can be set-up in order to defend a portion or the entire capital invested by the client. These portfolios are typically divided into two parts:
Risk free (for capital protection): This is achieved through investment in government bonds of comparable maturity or cash and money market instruments.
Risky (for returns): This is achieved through Tactical Asset Allocation that is rebalanced according to GIAM’s Investment Committee outcomes.
