Strategic Asset Allocation Dashboard

Efficient frontier band

Each of the points on the right shows the expected interest spread (asset net earned rate less liability crediting rate) and total statutory required capital for a particular asset allocation.

We focus here on a 'band' of best results rather than singular top points from the model. This recognizes that there is parameter and model uncertainty in the process. The band allows a tolerance from which we can complement the modeling with intuition and business judgment to select SAA recommendations, since allocations within a small tolerance are effectively just as efficient.

You can use the slide bar below to adjust the width of the frontier band.

Efficient allocation

The chart on the right shows the variation in allocations of portfolios within the efficient frontier band.

The solid line corresponds to the medians of each asset class and the area reprensents the range of allocations. You can use the slide bar below to adjust the higher and lower quantile lines.