Execution of Sophisticated Immunization Strategies

CI / Nexus can manage the portfolio directly against liability cash flows and against multiple dimensions of interest rate risk – ensuring one is fully immunized with no equity exposure. Even in a basic cash flow matching strategy, our risk-optimized approach adds significant value as our process can enhance the portfolio yield beyond a straight immunization.

Traditional Asset Management

Many clients may wish to retain a traditional asset mix, for example 60% invested in equities and 40% invested in bonds. CI/Nexus can add significant value to the bond portion by offering a risk-optimized segmented fund. This approach has several advantages over a pooled bond fund.

  • More effective at managing interest rate risk
  • Implicit view on interest rates optimized
  • Low cost makes this accessible for smaller pension funds

The equity allocation may remain invested in any asset manager though CI has historically delivered significant alpha on a range of equity solutions.

Overlay Strategies

Interest Rate Swap / Bond Future Overlay

  • Retain existing asset mix
  • Potential to add alpha
  • Execute sophisticated immunization strategies & perform risk optimization

Equity Swap Overlay

  • LDI achieved through 100% bond portfolio
  • Recognizes dislocation of swap curve
  • Execute sophisticated immunization strategies & perform risk optimization
Copyright © 2013 Nexus Risk Management. All Rights Reserved.