Our recent research based on relative performance of investment portfolios shows no concerns over the long-term target investment strategy adopted by the consolidator we studied.
The results of our modelling indicate that this portfolio is expected to be more resilient than that of a typical insurer portfolio to a range of scenario tests. This is largely because of Solvency II and the impact that the inclusion of HY credit has on portfolio efficiency. It shows that from a starting position of 100% funded, the portfolio has lower volatility and performs better after a shock to the asset portfolio.
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