Optimising strategy and asset-level decisions at a large Canadian state pension fund
A Canadian state pension fund manager with both directly held as well as a debt portfolio
of CRE income producing and construction assets uses PROMS to optimise its leverage at the asset and fund level.
They are able to source leverage for investments that increase returns
as well as the probability of beating their targets, whilst minimising risk.
By understanding (and measuring) how the diversification between assets responds to the leverage of each asset,
they are able to reduce by diversification the overall volatility of their portfolio.
PROMS is also used to assess which part of the capital stack offers the best risk adjusted returns:
equity, senior or junior debt.
Diversification benefits show reductions in portfolio level returns volatility in the range of 50 – 125bps.
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PROMS investor modules chosen by client:
- Cash-flow projections (Stochastic)
- IRR and NPV volatility and tail risk
- Market analysis
- Capitalisation eValuations
- Deal-level overrides
- Argus import
- Executive interactive dashboard
- Portfolio concentration and diversification