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