Recognising the varying investment needs and risk tolerances of our investors, we offer a bespoke portfolio modelling service to help you create solutions that are truly aligned to your requirements.

Robust and repeatable, our approach has delivered results for our customers, which in turn is reflected in the large defined benefit, defined contribution, corporate and sovereign wealth customers who utilise this service.

Our approach

The first step is understanding our client requirements. We focus on your required outcomes, considering factors like liquidity requirements, time horizons and tolerance for risk. Our highly experienced team then considers global sources of returns, covering a full range asset classes, risk exposures and investment styles to deliver a tailored solution that expressly targets your desired outcomes.

This rigorous analysis is driven by our own proprietary models. A differentiating aspect of our approach is that it is completely bespoke, and designed to meet our clients’ own specifications.

Our portfolio modelling framework incorporates four key elements that assist in the design of appropriate portfolio solutions for clients. These are underpinned by our proprietary multi-asset stochastic modelling engine.

 

 

 

Our services

Our Portfolio Solutions team provides in-depth analysis to identify the risk factors that drive portfolio performance and portfolio risks. We discuss potential alternative portfolios on client request, before deciding on a final version that is appropriate.

We can also analyse the aggregate impact on a portfolio of incorporating non-standard investment solutions. Such solutions include (but are not limited to) overlay strategies, active strategies, dynamic asset allocation strategies and life-styling strategies. Some of the services we provide are:

  • A framework for determining asset allocation decisions that is aligned with target outcomes. This includes the delivery of long-term returns with enhanced downside protection, or regular income drawdowns.
  • Fund modelling and scenario analysis, to allow different asset allocations and investment strategies to be evaluated.
  • Forward-looking and historic analysis, delivering greater confidence in the designed solution and its ability to deliver in the future.

 

The benefits of our approach

When designing our portfolio solutions framework, we sought to address a number of key aspects that we felt significantly impacted performance. These include modelling for extreme events, allowing for the changing volatilities and correlations of asset classes through different economic periods, and allowing for tactical positioning as per client demand.

  • Modelling of extreme events: Rather than making assumptions about how returns will perform in the future, our approach uses 'statistical bootstrapping'. This involves randomly sampling an element of variability in annual returns that more closely resembles real-life experience. This approach assigns a greater and more realistic probability to extreme events (both positive and negative) that can materially impact a portfolio. It ensures the design process is closely linked to real-life experience, and that the ultimate solution is more likely to deliver in line with its expected risk and return profile.
  • Serial correlation of returns: Asset returns exhibit serial correlation – i.e. there is greater likelihood of a positive return in a month where the previous month’s returns were also positive. Typical simulation methodologies assume that returns are independent from one another, which is not aligned to real-life experience. In our model, we allow for the serial correlation that occurs from one month to the next in asset returns, ensuring the analysis is more aligned to what happens in real-world situations.
  • Changing correlations: Asset correlations change through time based on different prevailing market conditions. Typical simulation methodologies assume correlations are constant through time. By sampling from history, our methodology makes no assumptions regarding correlations and allows for them to change as dynamically as they have done in the past.

 

Our team

Key Contact

 

  • Darragh O’Dowd

    Head of Portfolio Solutions +353-1-704-2048 Email

    Darragh is Head of ILIM’s Portfolio Solutions team. He is responsible for the overall design and management of Irish Life’s MAPS, Ireland’s fastest growing retail multi-asset solution. Darragh and his team are also responsible for helping our clients, across all distribution platforms, design portfolios congruent with their specific objectives and constraints.

    Darragh joined ILIM in 2007 as a Quantitative Analyst within the Quantitative Strategies Group. Darragh currently lectures “Quantitative Methods in Finance” to MSc Finance, MSc Quantitative Finance and MSc in Aviation Finance students at UCD Michael Smurfit Graduate Business School on a part-time basis. Prior to joining ILIM, Darragh worked as a research assistant and also taught various courses for the Finance Department at UCD including Corporate Finance, Econometrics, and Financial Modelling.

    Darragh earned a Bachelor of Commerce (BComm) from University College Dublin in 2000, a master’s degree in Quantitative Finance from UCD Michael Smurfit Graduate Business School in 2002, and a master’s degree in Statistics (MSc) from UCD in 2013. He holds both the Chartered Financial Analyst (CFA) and Chartered Alternative Investment Analyst (CAIA) designations.

  • Niall Cassidy

    Quantitative Analyst +353-1-704-1375 Email

    Niall joined the Quantitative Strategies Group in January 2014.

    Prior to joining ILIM, Niall worked as a Quantitative Analyst with proprietary algorithmic trading firm Casimir Trading Systems, designing and back-testing trading strategies. He has also worked as an Options Market Maker for Sequoia Capital Ltd, and as an Account Manager for Citco Fund Services.

    Niall earned a B.A. in International Business (French & German) from Dublin City University in 2002, a B.A. in Economics and Finance from the National University of Ireland Maynooth in 2004. He also holds a BSc. in Mathematics from Dublin Institute of Technology (2012) and a MSc. in Quantitative Finance from UCD Michael Smurfit Business School (2013).

  • Ruoxi Dong

    Quantitative Portfolio Solution Analyst +353-1-856-3768 Email

    Ruoxi has worked in ILIM’s Quantitative Strategies Group since June 2015. He is primarily responsible for portfolio modelling as part of the Portfolio Solutions team. This includes simulation, backtesting, research and implementation of modelling methodologies, along with modelling system maintenance. 

    Prior to joining ILIM, Ruoxi obtained a BSc in both Mechanical Engineering and Mathematical Finance from Xiamen University China over the course of 2010-2014. He graduated with first class honours in MSc Quantitative Finance at UCD Michael Smurfit Graduate Business School, Ireland in 2015.

How can we help?

Irish Life Investment Managers (ILIM) is the appointed asset manager to Irish Life Group Limited. ILIM is committed to innovating and leading the market with best in class investment solutions designed to meet the specific investment needs of our clients. Call us at: +353-1-704 1200 or email [email protected]

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