Strategic Asset Allocation / Asset Liability Modelling
The asset liability modelling/ALM for determining optimal strategic asset allocations which PROTINUS has been providing successfully for many years represents the pinnacle of stochastic planning and optimization development. This service is designed for investors who are confronted with complex structures that need to be captured and modelled as closely as possible to reality. Typical clients are major corporations and their CTAs and pension schemes, provident societies, but also large foundations and high-net-worth families.
In general, modelling studies explore investments in standard markets, special direct investments as well as alternative liquid and illiquid forms of investment. All of these are captured in high detail with their specific features and characteristics. Our asset liability modelling/ALM is able to map asset structures in several sub-portfolios with different valuation and reallocation approaches as well as liability structures with different groups and types of liabilities. These models generally also include complex rebalancing, cash flow and other management rules and criteria.
These clients are often subject to complex regulatory and tax requirements as well as requirements relating to statutes or shareholder agreements and national and international accounting rules. Using this approach, PROTINUS is able to map all of these aspects and to thus accurately capture all risks. For these clients, we calculate optimal solutions for each individual combination of objectives and each set of restrictions. All results are documented in detail – also for third parties, if desired – and can of course be implemented directly.
For clients with less complex structures or who prefer a project more limited in scope, we offer a form of "basic ALM". This service is aimed at smaller institutions like foundations, church pension schemes, family offices or asset managers.
The basic ALM requires less time and is accordingly associated with less cost. This is achieved by using pre-built model components, a general investment universe (which however includes most common types of investments), and time series for liabilities and targets provided by the investor. This service is focused on analysing the existing portfolio and a smaller number of alternative strategies, which are evaluated and optimised using all the advantages of our methodology.