-
70%
reduction in turnaround time
-
100%
customised and automated solution
-
2X
cost saving
CLIENT CHALLENGES
- An institutional asset manager, managing and advising pension funds, required support in its strategy research and asset allocation division. It needed support with developing proprietary tools, maintaining the in-house code base and other recurring, time-consuming tasks. The client also required econometric analysis and simulation studies conducted.
OUR APPROACH
- Acuity deployed a team of statisticians and programmers for this project. As a first step, we combined different assets and grouped them into equity, fixed income and real estate buckets. Risk-return optimisation techniques were applied to develop efficient frontiers by using the forecast return/covariance of various asset classes.
- The team then computed optimal asset allocation trajectories (equity, fixed income, others) in target-date funds depending on different risk-tolerance levels.
- Back-tested and simulation-tested rebalancing strategies to arrive at an optimal rebalancing strategy for different asset-allocation levels.
- Created customised MATLAB and Excel tools to automate scenario generation for calculating the optimal glide path for target-date funds.
IMPACT DELIVERED
- The client was able to reduce turnaround time by leveraging Acuity’s resources to implement quantitative analysis and research
- Acuity rapidly developed customised tools and tested and implemented rebalancing strategies. These research tools enabled the client to optimally design pension funds and investment strategies, based on its client requirements
- One of the tools, based on MATLAB and Excel, was to optimise allocations and generate efficient frontiers by combining asset classes based on client-provided capital markets assumptions
- Acuity created another customised Excel-based tool to automate scenario generation for calculating the optimal glide path for target-date funds
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