ALM/LDI Portfolio Construction

ALM and LDI for Institutional Investment

Calypso Portfolio Construction for ALM and LDI is a decision-support solution for Asset Liability Management and Liability Driven Investment businesses. It provides a multi-faceted risk budgeting, asset allocation and scenario management platform, enabling the exploration of a wide range of investment strategies. Calypso Portfolio Construction effectively evaluates, forecasts, and recommends portfolios with comprehensive analysis and optimization capabilities that span asset classes and breaks through the modeling limitations of traditional optimizers.

Benefits

Calypso Portfolio Construction fulfills the need for a robust solution to strategic asset allocation. It moves past the limitations imposed by traditional linear and quadratic optimizers, allowing sophisticated stochastic modeling over real world constraints. Calypso Portfolio Construction enables users to:

• Generate optimal portfolios that can be used to solve allocation challenges, set benchmarks or gain insight into market forecasts
• Leverage fundamental analysis to direct optimization
• Consider risk budgets while constructing portfolios
• Generate long term forecasts, with the ability to calibrate market factors to different scenarios or historical periods

Flexibility for the Real World

Calypso Portfolio Construction can utilize a variety of industry leading stochastic economic scenario generators and risk frameworks. In addition, it provides an open XML interface for additional risk models. This flexibility is coupled with an optimizer designed to handle the objectives most important to investment advisors: funding ratio, total return, volatility, cashflow mismatch, and expected loss. Calypso Portfolio Construction offers:

• Multi-asset classes support
• Calibration of risk factors such as interest rates, FX, inflation and credit spreads
• Constraints against asset and liability properties such as rating, asset class, duration and investor constraints
• Liability modeling as assets or cashflows
• Integrated reporting
• What-if historical market scenarios
• Powerful grid computing on SaaS

Impact

Calypso helps institutional investors create new opportunities leveraging fundamental opinions and quantitative models. Calypso Portfolio Construction will drive business results through its ability to:

• Increase credibility and sophistication for investment advisors
• Differentiate against traditional approaches
• Improve portfolio performance
• Allow for holistic alignment of assets and liabilities