Sanlam Multi-Manager International (SMMI) is focused on optimizing returns for its clients by identifying, selecting, and combining the best asset managers. These managers, in turn, select the underlying investment assets. Decisions on portfolio construction, manager selection, and tactical asset allocation are based on quantitative analysis and qualitative evaluations.
SMMI used MATLAB® to implement an integrated workflow for modeling risk inputs, generating optimized portfolios, calculating risk metrics, and supporting qualitative insights with quantitative metrics.
“With MATLAB we integrated three previously siloed activities,” says Mathew John, investment analyst at SMMI. Jason Liddle, risk manager at SMMI, adds, “This led to a greater understanding within the investment team about the risk exposures of our portfolios. That shared understanding contributed to a significant improvement in performance in challenging market conditions.”