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Risklab

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Every investor is one of a kind.
So are risklab's capabilities.

risklab

Your institution is unique having a singular combination of desired investment outcomes, constraints and risk tolerance.

With such individual requirements, finding the right solutions can be difficult.

You need someone who can work in partnership with you, understand your needs, and provide customised and actionable advice for your goals.

What is risklab’s capabilities?

The capabilities built on a specialist team within Allianz Global Investors (AllianzGI), with more than EUR 90 billion (USD 106 billion) of assets under advice1, AllianzGI acts as your strategic investment partner through risklab’s capabilities.

risklab team

Our team of over 60 investment professionals worldwide1 develops capabilities that are tailored to your individual investment goals.

The capabilities in AP are delivered by the 7 dedicated investment advisors locally present across Asia-Pacific, we start every client engagement by listening to your needs and fostering a wide-ranging dialogue about your opportunities. Drawing on proprietary research into sources of risk and return, we help you address questions such as:

  • How can I optimise my asset allocation, within given risk constraints, to meet my return target?
  • How can I manage the downside risk in my portfolio?
  • What are the potential advantages of investing in alternative assets?
  • What solutions exist for a predictable retirement income?

1 Allianz Global Investors, risklab; as of 30 June 2020. The asset under advice (AUA) is the “advice” which risklab team provides to the AllianzGI investment team in executing the relevant investment strategies.

Local expertise based on advice from global team:
risklab’s capabilities actively supports your investment outcomes with customised advice

Innovative
  • Employ quantitative methods
  • Local team based global research network with academic partnerships
  • Develop proprietary digital tools to facilitate diagnosis and implementation
Innovative
  • Employ quantitative methods
  • Local team based global research network with academic partnerships
  • Develop proprietary digital tools to facilitate diagnosis and implementation
Customised
  • Start every relationship by understanding your objectives and perspectives
  • Recommend solutions for each specific client situation
  • Capabilities are designed to evolve with your changing needs
Holistic
  • Take a total portfolio approach rather than thinking in asset-class silos
  • Cover the entire investment value chain
  • Our advice is practical, not esoteric: it is designed for immediate implementation and results

At the heart of risklab’s capabilities: our global innovation collaboration

Our global innovation collaboration – an intrinsic part of risklab’s capabilities – combines research tools and analytics with academic partnerships.

It helps ensure that our customised investment solutions are characterised by a high level of accuracy and precision, and operational stability and scalability. And it supports a digital-first approach, with intuitive online tools to equip clients and our own teams.

Leveraging a global academic network

Employing quantitative models and methods

Embedding industry-leading machinelearning technology and analytics

Advanced technological methods for scientific computing

Quantitative
research and
modelling

Analytics
and digital 
platform

Our expertise: delivering insights and solutions aligned with your goals

Asset allocation & portfolio construction

Navigate investment challenges and optimise the asset allocation to meet your investment goals

  • Capital markets modelling
  • Asset allocation and portfolio optimisation
  • Portfolio construction
  • Liability-driven investing

Risk management

Balance risk/return objectives within your portfolio allocation and stay in control of your portfolio at all times

  • Assessment and modelling of market risk
  • Design of risk-management solutions
  • Tailored dynamic asset allocation and tail-risk strategies

Asset-life & pensions

Benefit from investment-linked and capital-efficient guarantee solutions – combining asset management and life insurance components2 across the accumulation, transition and decumulation phases

  • Digital and holistic retirement strategies
  • Downside mitigation by combining insurance and asset management
  • Customised pension solutions

Alternatives

Gain a holistic view and high process stability throughout the implementation – with an integrated approach that combines all relevant steps of the value chain

  • Modelling of alternative asset classes
  • in the portfolio context
  • Commitment planning and manager selection

Insurance

Design of target allocation of alternatives solve your regulatory, accounting and ALM challenges through holistic insurance solutions

  • Regulatory and accounting requirements
  • Asset allocation and capital efficiency
  • Asset-liability management (ALM)

2 The combination of life insurance components is dependent on the availability of the life insurance partner.

Asset Allocation & Portfolio Construction

Navigate investment challenges and optimise your strategic asset allocation to meet your investment goals

  • Capital market assumptions
  • Asset allocation and portfolio optimisation
  • Portfolio construction
  • Liability-driven investing
Client challenge scenarios3
Scenario 1
Scenario 2
Your challenge

A large public pension plan wants to ensure that their portfolio is in line with the given risk budget, that the targeted return can be achieved, and that the portfolio provides enough liquidity to cover scheduled payments.

Your portfolio

The current strategic asset allocation is largely concentrated in domestic equity exposure and offers limited diversification benefits.

Our solution

Allianz Global Investors conducts a complete portfolio health check to identify potentially optimisation opportunities across asset classes and provides tailored advice to achieve the client’s investment objectives.

Our outcome

A well-defined and tested strategic asset allocation process paired with state-of-the-art proprietary models for deriving realistic capital markets assumptions allow us to be a strategic partner to clients over their long-term investment horizon.

3 There is no guarantee that these investment strategies and processes will be effective under all market conditions and investors should evaluate their ability to invest for a long-term based on their individual risk profile especially during periods of downturn in the market.

We provide strategic asset allocation solutions tailored to each client’s unique investment situation, as well as identify ways to seek improved portfolio outcomes through a portfolio construction of best-fit investment products customised to your objectives.

Asset Allocation Advisory Process: Our asset allocation capabilities follow a clear and transparent process, leveraging a global academic network and state-of-the-art quantitative models and methods.

We are a trusted advisor for our clients.
We support with all strategic decisions along the investment process.
risklab advisory
optional
Definition of the
Investment Objectives
Generating Capital
Market Assumptions
Derivation of the
Investment Strategy
Portfolio Construction

Source: Allianz Global Investors, risklab; 2020. For guidance only.

Investment Objectives: We tailor the process to our clients’ needs

  • Return target
  • Liquidity requirements
  • Investment restrictions
  • Risk budget
  • Investment horizon
  • Asset class universe

Capital Market Assumptions: Our long-term Capital Market Assumptions are derived based on our proprietary Capital Market Model (CMM)

Asset Allocation and Portfolio Optimisation: Our optimisation methodology results in an efficient portfolio allocation aligned with your defined investment objectives. The subsequent evaluation measures your portfolio characteristics from a holistic perspective.

Input
Investment Objectives
Capital Market Assumptions
risklab
Optimiser
Features
  • Reduces parameter uncertainty through robust optimisation
  • Also applicable in LDI context

Source: Allianz Global Investors, risklab; 2020. For illustrative purpose only. LDI: Liability-driven investing; SAA: Strategic asset allocation. The above does not reflect any actual data or show any actual performance and are not indicative of future results.

Portfolio Construction: Robust portfolio construction is critical for a prudent implementation

Manager Research & Selection
Quantitative and qualitative screening of investment strategies to fit the client’s investment goals
Active Risk Analysis
Identifying the sources of risks from the different active managers and the correlations between them
Equity Style Analysis
Understanding the style tilts in the portfolio (style factors, regional exposure, industry exposure…)
Proforma Analyis
Showing the impacts of adding a particular investment strategy from a total portfolio view
Credit Quality Analysis
Quantifying the exposure by credit quality in the fixed income portion of the portfolio

Source: Allianz Global Investors, risklab; 2020. For illustrative purposes only.

Liability-driven Investing (LDI)

  • Our LDI strategy is customised to the client’s liability profile. The design always starts with the analysis of the liabilities.
  • We minimise mismatch risks by addressing relevant risk factors and continuously realigning the portfolio to changes in the liability profile and the capital markets.
  • Our LDI strategy allows to flexibly adjust the hedge ratio for each risk factor. This allows to opportunistically increase/decrease the hedge.
  • The LDI strategy can be implemented as a close replication portfolio or as an active mandate with higher alpha aspirations.
  • Ongoing support from risklab‘s analytical tools and capabilities.
Risk Management

Balance risk/return objectives within your portfolio allocation and stay in control of your portfolio at all times

  • Assessment and modelling of market risk
  • Design of risk-management solutions
  • Tailored dynamic asset allocation and tail-risk strategies

AllianzGI manages over USD 49 billion4 in overlay mandates using our highly customised, systematic and dynamic risk management solutions. We have more than 15 years of successful track record4 in providing time-tested advice in risk management and overlay mandates for our institutional clients.

4 Allianz Global Investors; as of 30 June 2020. The asset under advice (AUA) is the “advice” which risklab team provides to the AllianzGI investment team in executing the relevant investment strategies".

Client challenge scenario5
Your challenge

A large life insurance company needs to reduce downside risk while still achieving its high return target.

Your portfolio

The existing portfolio allocates heavily to growth assets, which exposes the plan to significant downside risk and market selloffs.

Our solution

Allianz Global Investors demonstrates how an optimised overlay mandate can use a dynamic risk management strategy to mitigate the projected downside risks significantly while maintaining the upside potential of the portfolio’s expected returns.

Our outcome

With an integrated risk management overlay mandate, important risk metrics could be significantly reduced; however return targets would still be met within the client’s risk constraints.

5 There is no guarantee that these investment strategies and processes will be effective under all market conditions and investors should evaluate their ability to invest for a long-term based on their individual risk profile especially during periods of downturn in the market.

We offer customised risk management solutions that dynamically mitigate potential downside risks while maintaining the upside market participation in order to reach your target returns.


We offer varying solutions designed to meet specific client needs.

Equity
Multi Asset
Risk
Management
Solution
Overnight Protection
Full market cycle
Dynamic Tail Risk Management
  • Design to protect against overnight risks
  • Focus on hedging equity tail risk
  • Options-based risk management solution, with some use of futures
  • Dynamic steering of risk budget to manage/minimise cost
Risk Management Overlay
  • Design to minimise downside risk typically over a one-year horizon
  • Target to generate returns in line with the Strategic Asset Allocation over a market cycle
  • A holistic multi-asset risk management solution for portfolio level
  • Futures-based risk management solution
  • Dynamic steering of risk budget to manage/minimise cost
Currency Risk Overlay
  • Smart investment strategy for hedging currency risks while seeking to avoid high hedging costs as typically found in currency pairs with a pronounced interest rate differential (e.g. EUR/USD)

Source: Allianz Global Investors, risklab, 2020. This is for guidance only. This is no guarantee of risk and target returns.

Risk Management Overlay (RMO): RMO aims to minimise portfolio loss potential in the short-term while limiting opportunity costs in the long-term

What is it?

Systematic, rules-based and transparent allocation framework focused on managing downside risk

What it is not?

Tactical asset allocation or market forecasting aimed at delivering alpha

How is it done?

Dynamic asset allocation implemented in an overlay using liquid instruments, mostly exchange traded futures

Strategy attributes

  • Systematic: transparent and disciplined investment process
  • Efficient implementation: capital efficient; does not interfere with existing mandates of external managers
  • Customised: tailor-made capabilities to the needs and specifications of each client

RMO helps to establish and implement a governance framework for a persistent alignment of allocation, return objectives and risk budget

Risk Management Overlay
as governing framework

Source: Allianz Global Investors, risklab; 2020. This is for guidance only.

Asset-Life & Pensions

Benefit from investment-linked and capital-efficient guarantee solutions – combining asset management and life insurance components6 across the accumulation, transition and decumulation phases

  • Digital and holistic retirement strategies
  • Potential downside mitigation by combining insurance and asset management
  • Customised pension solutions

6 The combination of life insurance components is dependent on the availability of the life insurance partner.

Client challenge scenario7
Your challenge

A multinational bank is considering creating a digitalised portfolio offering to its clients across selected markets to better serve their retirement needs.

Your portfolio

The existing IT infrastructure is not fully up-to-date and creating a new digital platform would require substantial time and resource investments.

Our solution

Allianz Global Investors offers customisable and fully digitalised investment platform solutions for you to provide end investors a multitude of options around individualised accumulation and decumulation portfolios.

Our outcome

Implement a digital retirement platform into the client’s existing IT infrastructure to reflect a customer’s entire retirement journey, including accumulation and decumulation phase, through individualised managed accounts.

7 There is no guarantee that these investment strategies and processes will be effective under all market conditions and investors should evaluate their ability to invest for a long-term based on their individual risk profile especially during periods of downturn in the market.

Our Asset-Life and Pensions advisory capability develops intelligent investment solutions for the end-client retirement journey by combining our specialised risk advisory unit’s research expertise with AllianzGI’s investment capabilities and digital investment ecosystem.


Source: Allianz Global Investors, risklab; 2020. For guidance only.

The foundational layer of our product offering is characterised by deep subject matter expertise.
Digital delivery
  • Engine build out for personalised investment solutions
  • Advisory tool, reporting and alerting value add service components
Structuring expertise
  • Track record of product and solution development jointly with insurance partners
  • Delivery of proposition to clients in vehicle and format according to their requirements
Industry network
  • Strong collaboration with Allianz Life entities plus Allianz Group Competence Centers
  • Third party insurance partners plus distribution networks
Pension capabilities
  • One-stop-shop offering
  • Specific market expertise (e.g. regulatory environment)
Alternatives

Gain a holistic view and high process stability throughout the implementation – with an integrated approach that combines all relevant steps of the value chain

  • Modelling of alternative asset classes
  • Design of target allocation of alternatives in the portfolio context
  • Commitment planning and manager selection
Client challenge scenario8
Your challenge

A mid-size endowment plan is exploring the option of adding illiquid assets to its portfolio. However, the client is not sure how to evaluate and integrate the new asset class.

Your portfolio

The existing portfolio is well-diversified across traditional asset classes merely lacking the diversifying exposure to private markets.

Our solution

Allianz Global Investors identifies the primary challenge of creating a customised alternatives asset allocation, together with defining the portfolio design and implementation.

Our outcome

Develop a holistic structure covering the whole alternatives investment value chain from asset allocation, products selection, portfolio build-up (J-curve management) and portfolio monitoring.

8 There is no guarantee that these investment strategies and processes will be effective under all market conditions and investors should evaluate their ability to invest for a long-term based on their individual risk profile especially during periods of downturn in the market.

Our alternatives capability offers advice on alternatives asset allocation, portfolio design and implementation that are customisable and cater to various investment purposes and preferences.

  • Advice covering the complete investment value chain from asset allocation, to portfolio construction, product selection and portfolio monitoring
  • Illiquid-specific advice with respect to portfolio build-up phase and j-curve management
  • Access to Allianz Global Investors’ experienced investment teams, external provider insights and the knowledge of Allianz SE as an investor
  • Asset class modelling on proprietary analytics & modelling platform
  • Tailored to your specific needs
  • Risk-return-focused
We help clients to achieve the desired level of diversification with lower market exposure using liquid alternatives.
Alternative sources
of return
Access to new, alternative sources or return through liquid mutual funds
Low market
exposure
Low exposure to equities and bonds and structurally lower tail risks than long-only-strategies
Diversification
Risk reduction effect for traditional equity-bond portfolios
Our approach
  1. Client-specific objectives setting
  2. Fund selection
  3. Portfolio construction
  4. Monitoring and review


Source: Allianz Global Investors, risklab; 2020.

We help clients navigate the challenges of private markets investments and the portfolio implementation.
Reaching
objectives with private
markets
CHALLENGES
Illiquidity and
concentration risk
Long time to
deployment
High manager
dispersion
Uncertain
cash flows
Reaching objectives
with private markets
KEY
Asset class, regional
and vintage year
diversification
J-curve management
and commitment
strategy
Manager selection
Interim investment
portfolio


Source: Allianz Global Investors, risklab; 2020.

The screening, selection and monitoring of managers is an ongoing process.
Screening possible candidates and alternative options
Manager selection
Monitoring
Insurance

Advice on your regulatory, accounting and asset-liability management challenges through holistic insurance solutions

  • Regulatory and accounting requirements
  • Asset allocation and capital efficiency
  • Asset-liability management (ALM)
Client challenge scenario9
Your challenge

An insurance company is looking for solutions that will help reduce the existing duration gap on their balance sheet, while keeping the risk and return characteristics of the portfolio in line within guidelines.

Your portfolio

The existing portfolio is well-diversified across asset classes with a tilt towards domestic fixed income.

Our solution

Allianz Global Investors analyses the existing portfolio within the local regulatory and accounting framework to provide a holistic approach when recommending suitable solutions to achieve the desired outcome.

Our outcome

Design and implement customised investment strategies based on asset-liability management and regulatory analysis to achieve a significant reduction in the duration gap while maintaining the risk and return profile of the client’s portfolio.

9 There is no guarantee that these investment strategies and processes will be effective under all market conditions and investors should evaluate their ability to invest for a long-term based on their individual risk profile especially during periods of downturn in the market.

Our insurance advisory capability creates value for insurance clients through holistic solutions on regulatory, accounting and asset-liability management challenges.

Insurers across the world are facing several challenges in their investment function.

1
Low interest rates &
tight spreads
  • re-investing is a great challenge in core portfolios
2
Limited in-house
coverage of
investment universe
  • re-investing is a great challenge in core portfolios
3
Solvency II challenge
  • not only in managing the Solvency Ratio (Pillar 1), but also in Pillar 2 (qualitative requirements)
  • Local regulation and accounting often contradicting to Solvency II
We strive to engage in lasting partnerships, offering our clients the added value of AllianzGI’s dedicated insurance solutions, tailored to fit each of our clients’ individual requirements.

As your long-term insurance asset management partner, we aim to add potential value throughout your investment management value chain by providing solutions that address multiple challenges that you face.

  • Regulation
  • Accounting
  • Client-specific requirements (e.g. clients’ needs and risk constraints)
  • Investment return
Insurance expertise
A proven track record in insurance asset management contributing to the investment performance and balance sheet resilience of our insurance clients
ALM / SAA capabilities
Deep understanding and analysis of our clients’ constraints, objectives and strategy, feeding SAA (Strategic Asset Allocation) proposals and discussions with our dedicated investment teams
Operational excellence
Advanced services, best-in-class reporting and high regulatory robustness throughout the entire investment cycle, IT and risk management
Clear and transparent approach
A transparent allocation and investment process, with a clear governance, respectful of our clients’ strategic objectives and adapted to our clients’ operating models

Active is: Allianz Global Investors