Managing risk and return through scenario analysis

Research

Asset Allocation Strategies

The ongoing volatility of global financial markets and lowered expected returns force institutional investors to rethink their strategic investment policy. As a best practice, the policy should be clear and consistent with the risk tolerance and strategic objectives. This requires a systematic approach starting with the identification of the strategic objectives, suitable risk measures and appropriate risk budget, and leading to the most suitable investment strategy. This may include dynamic asset allocation and hedging strategies, new and alternative asset classes, passive vs. active approach, leverage, derivatives and more.

CIO and Investment Boards should be able to assess the key investment decisions by analyzing the relevant risk and return metrics of various investment strategies for appropriate horizons, and test the robustness of these investment strategies under different economic weather conditions. With this in mind Ortec Finance has, over the past decades, developed advanced decision support and risk management solutions to support institutional investors around the globe.

At the centre of the Ortec Finance ALS solutions is the advanced scenario methodology used for modelling asset classes. This scenario methodology combines econometric filtering techniques with an advanced simulation engine.

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Complete Modelling Framework

  • Monthly/annual simulations provide a framework for decision making, monitoring and risk management purposes
  • Flexible definition of appropriate asset classes
  • Interest, currency and dynamic SAA strategies

Client-centric

  • User-friendly software, customized to clients’ needs
  • Support decision making based on suitable risk and return trade-offs
  • Analysis of (dynamic) asset allocation strategies, new asset classes and currency hedging policies
  • Understanding the needs of our clients ensures a smooth and practical application of our advice and technology

Thorough Risk Assessment

  • Simulation of future consequences in terms of relevant objectives and risk factors
  • High-quality economic scenarios (DSG) based on more than 400 variables, including all major regions in the world