ASI Solutions – Delivering by listening.

Your biggest challenges. Our complete focus.

Client needs have evolved
Then,
asset managers
Now,
clients demand more
Client-focused solutions

Pitched
products

Aimed to beat
a benchmark

Managed pools
of assets within
given parameters

Individual
attention to
specific goals

Resources across
departments and
product lineups

Help navigating a wide world of often complex investment options

We deliver innovative, asset class agnostic solutions based on our clients' individual needs.

Solutions not transactions

We build tailor-made solutions across asset classes and product structures.

Cross-asset
and multi-fund

We implement integrated asset-liability modeling tools and advice.

Liability
aware

We provide guidance on industry regulations and support clients' governance-related needs.

Regulation aware

We use a mix of both publicly available and private holdings across both global and domestic opportunities.

Diverse

We pool our experience and knowledge to help clients make and implement informed decisions.

Advice and implementation

Situational analysis

underfunded

Underfunded corporate pension plan

Underfunded corporate pension plan aiming to increase expected return while addressing risk concerns

Key risk considerations: future cash contribution requirements, balance sheet risk and the likelihood of a severe negative event (defined below)

Our solution

Design a portfolio that aims to increase expected return and improve key risk measures from an asset/liability perspective

  • Reduce duration of fixed income to improve asset/liability modeling results for the plan
  • Introduce diversifying strategies, including higher-yielding fixed income, real assets and strategies with minimal correlation to equity risk
  • The proposed portfolio materially reduces both 50th percentile and 95th percentile contributions, as well as several key probability measures (below)

10-year annualized compound return

10 year cumulative mobile

Situation Analysis - Strategic Advice: Table 1

medium endownment

Mid-sized endowment

Mid-sized endowment regularly missing its annual target return goal

Our Solution

  • Design a portfolio reducing weights to asset classes with unfavorable outlooks relative to historical performance and adding asset classes with more favorable risk-weighted return expectations
  • Aim to generate higher expected return without a significant increase in risk
  • Improve portfolio efficiency as measured by Sharpe ratio

10-year annualized return

10 year annualized retina

large endowment

Large endowment

Large endowment with a less than 50% probability of achieving its spending goal (5% plus CPI)

Our Solution

  • Target at least a 50% likelihood of achieving 5% plus CPI
  • Maintain downside protection relative to the current portfolio
  • Accept possible increase in overall portfolio volatility, without increasing risk as measured by “worst-case” scenario outcomes
  • Use asset classes that meet the endowment’s governance requirements

Situation Analysis - Strategic Advice: Table 2

nuclear

Nuclear decommissioning trust

Nuclear decommissioning trust, unsure of how much risk to take, aims to optimize performance

Our solution

Design a portfolio that aims to maximize the likelihood of completing the decommissioning process, without taking unnecessary risk

  • Perform asset/liability modeling using the nuclear unit’s estimated cost projection
  • In model, account for variation in future escalation rates, income and capital gains taxes and separated qualified and non-qualified trusts
  • Define “probability of success” as the percentage of 10,000 stochastic projections in which 80 years of simulated decommissioning costs are successfully covered
  • Probability maximized at 30% fixed income

Probability of success vs unfunded costs

probability of success mobile

public plan

Public plan

Public plan concerned about meeting the next 25 years of payments while also seeking to improve risk/reward profile

Our Solution

  • Determine the probability of meeting future cash flows and use this as the primary measure to test alternative investment strategies
  • Design a portfolio reducing weights to asset classes with unfavorable outlook relative to historical performance and add those with better risk-weighted return expectations
  • Improve risk/reward profile and probability of meeting cash-flow obligations through 15, 20, and 25 years

Situation analysis - Strategic Advice: Table 3

Situation analysis - Strategic Advice: Table 4

  • Underfunded corporate pension plan

    Underfunded corporate pension plan aiming to increase expected return while addressing risk concerns

    Key risk considerations: future cash contribution requirements, balance sheet risk and the likelihood of a severe negative event (defined below)

    Our solution

    Design a portfolio that aims to increase expected return and improve key risk measures from an asset/liability perspective

    • Reduce duration of fixed income to improve asset/liability modeling results for the plan
    • Introduce diversifying strategies, including higher-yielding fixed income, real assets and strategies with minimal correlation to equity risk
    • The proposed portfolio materially reduces both 50th percentile and 95th percentile contributions, as well as several key probability measures (below)

    10-year annualized compound return

    10 year cumulative mobile

    Situation Analysis - Strategic Advice: Table 1

  • Mid-sized endowment

    Mid-sized endowment regularly missing its annual target return goal

    Our Solution

    • Design a portfolio reducing weights to asset classes with unfavorable outlooks relative to historical performance and adding asset classes with more favorable risk-weighted return expectations
    • Aim to generate higher expected return without a significant increase in risk
    • Improve portfolio efficiency as measured by Sharpe ratio

    10-year annualized return

    10 year annualized retina

  • Large endowment

    Large endowment with a less than 50% probability of achieving its spending goal (5% plus CPI)

    Our Solution

    • Target at least a 50% likelihood of achieving 5% plus CPI
    • Maintain downside protection relative to the current portfolio
    • Accept possible increase in overall portfolio volatility, without increasing risk as measured by “worst-case” scenario outcomes
    • Use asset classes that meet the endowment’s governance requirements

    Situation Analysis - Strategic Advice: Table 2

  • Nuclear decommissioning trust

    Nuclear decommissioning trust, unsure of how much risk to take, aims to optimize performance

    Our solution

    Design a portfolio that aims to maximize the likelihood of completing the decommissioning process, without taking unnecessary risk

    • Perform asset/liability modeling using the nuclear unit’s estimated cost projection
    • In model, account for variation in future escalation rates, income and capital gains taxes and separated qualified and non-qualified trusts
    • Define “probability of success” as the percentage of 10,000 stochastic projections in which 80 years of simulated decommissioning costs are successfully covered
    • Probability maximized at 30% fixed income

    Probability of success vs unfunded costs

    probability of success mobile

  • Public plan

    Public plan concerned about meeting the next 25 years of payments while also seeking to improve risk/reward profile

    Our Solution

    • Determine the probability of meeting future cash flows and use this as the primary measure to test alternative investment strategies
    • Design a portfolio reducing weights to asset classes with unfavorable outlook relative to historical performance and add those with better risk-weighted return expectations
    • Improve risk/reward profile and probability of meeting cash-flow obligations through 15, 20, and 25 years

    Situation analysis - Strategic Advice: Table 3

    Situation analysis - Strategic Advice: Table 4

Situational analysis

well-funded corp pensions

A well-funded corporate pension plan

A well-funded corporate pension plan seeking a self-sufficiency end state

Looking for a low-risk investment strategy that addresses both cash flow matching and mark-to-market interest-rate risk

Our solution

With the plan’s investment consultant, we would construct a bespoke segregated solution:

  • Buy and maintain cash-flow matching solution for majority of projected cashflows
  • Seek to maximize default-adjusted yield without breaching an agreed-upon maximum allowable cash-flow mismatch
  • Some use of growth assets to generate returns for longer-term cash flows
  • Near 100% interest-rate risk hedging, with attention to key-rate-duration matching

US Solutions: Chart 1 - Portfolio CFs

 

Situation Analysis - Investment Management: Table 1

For illustrative purposes only. Hypothetical positions are used here and actual markets conditions may have a different impact on the portfolio. No assumptions regarding future performance should be made. The above information is not indicative of any ASI product. Please refer to end disclaimer for further information regarding probability and forecast modeling.
large pension

Large corporate pension plan

Large corporate pension plan aims to enhance expected return while also maintaining an equity hedge and minimizing interest-rate risk

Our Solution

Utilize a series of USD interest-rate swaps used to hedge a specific percentage of interest-rate risk

  • Interest-rate swap solution with tenors at every year for years 1-10 on the curve and every five years for years 10-30
  • Modeling performed to examine the desirable interest-rate hedge
  • Hedging costs paid for by an increase in return-seeking assets, sourced from fewer physical fixed-income investments needed for hedging

US Solutions: Interest Rate Sensitivity of Assets and Liabilities

  • A well-funded corporate pension plan

    A well-funded corporate pension plan seeking a self-sufficiency end state

    Looking for a low-risk investment strategy that addresses both cash flow matching and mark-to-market interest-rate risk

    Our solution

    With the plan’s investment consultant, we would construct a bespoke segregated solution:

    • Buy and maintain cash-flow matching solution for majority of projected cashflows
    • Seek to maximize default-adjusted yield without breaching an agreed-upon maximum allowable cash-flow mismatch
    • Some use of growth assets to generate returns for longer-term cash flows
    • Near 100% interest-rate risk hedging, with attention to key-rate-duration matching

    US Solutions: Chart 1 - Portfolio CFs

     

    Situation Analysis - Investment Management: Table 1

    For illustrative purposes only. Hypothetical positions are used here and actual markets conditions may have a different impact on the portfolio. No assumptions regarding future performance should be made. The above information is not indicative of any ASI product. Please refer to end disclaimer for further information regarding probability and forecast modeling.
  • Large corporate pension plan

    Large corporate pension plan aims to enhance expected return while also maintaining an equity hedge and minimizing interest-rate risk

    Our Solution

    Utilize a series of USD interest-rate swaps used to hedge a specific percentage of interest-rate risk

    • Interest-rate swap solution with tenors at every year for years 1-10 on the curve and every five years for years 10-30
    • Modeling performed to examine the desirable interest-rate hedge
    • Hedging costs paid for by an increase in return-seeking assets, sourced from fewer physical fixed-income investments needed for hedging

    US Solutions: Interest Rate Sensitivity of Assets and Liabilities

Situational analysis

small foundation

Small foundation with limited governance

Small foundation with limited governance that does not have the bandwidth to oversee complex, diversifying asset classes or numerous management responsibilities

Our Solution

  • Partner with the foundation on high-level, strategic decisions
  • Assume fiduciary responsibility for most tasks as follows:

Situation Analysis - Fiduciary: Table 1

  • Small foundation with limited governance

    Small foundation with limited governance that does not have the bandwidth to oversee complex, diversifying asset classes or numerous management responsibilities

    Our Solution

    • Partner with the foundation on high-level, strategic decisions
    • Assume fiduciary responsibility for most tasks as follows:

    Situation Analysis - Fiduciary: Table 1

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The situations above are intended to be illustrative hypothetical situations, do not reflect actual client interactions, and are not intended to descriptive of all potential client outcomes. The projections or other information generated for the above analysis regarding the likelihood of various investment outcomes utilize Monte Carlo simulations. These outcomes are hypothetical in nature, do not reflect actual investment results and are not guarantees of future results. The above information is not intended to be indicative of any ASI product or service. No projection or forecast can offer a precise estimate of future returns or volatility in global asset classes or markets. Forecasts are inherently uncertain, subject to change at any time based on a variety of factors and can be inaccurate.

Important information regarding the Monte Carlo simulations included in this document: ASI’s forecast modeling incorporates both proprietary and third party tools to derive a risk and return data for each asset class listed. Our forecasts and projections are informed by history while making forward looking assumptions. ASI believes that the benefit of this information is highest in evaluating the potential risk adjusted return of various components of a globally diversified portfolio. We make use of economic forecasts, implied market views and assumptions about historical trends and mean reversion over several time horizons. We use various macroeconomic and asset-class specific variables as inputs. In attempting to forecast expected returns and volatility, we apply a Monte Carlo simulation method to project the estimated volatility. This enables us to create 10,000 scenarios for each asset class listed, from which we derive realistic probability distributions for returns, and from which asset class volatility can be derived. Results produced by the forecasting tool will change with each use and over time. Since past performance and market / economic conditions may not be repeated in the future, information provided should not be viewed as an indication of future results events or results. Further information regarding our forecast modeling can be delivered upon request.