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The Moody’s Analytics Portfolio Modeller supports the evolving needs of asset owners, asset managers, and investment advisors in asset allocation and portfolio strategy design. It is built upon the award-winning Moody’s Analytics economic and capital market scenario generation capability to provide a powerful stochastic modeling framework for multi-asset portfolio risk analysis and asset and liability management (ALM).

Build and manage liability-aware optimal portfolios

  • Build portfolios incorporating a range of standard assets, including equities, nominal and index-linked bonds, credit-risky bonds, property, and alternatives.
  • Determine the level of granularity needed for asset modeling to reflect either aggregated broad-market benchmarks, funds, or instrument-level holdings.
  • Load liability cash flows, evaluate capital, and project balance sheet metrics, and profit and loss.
  • Specify portfolio management rules, for example index or security-level buy/sell rules, cash flow management, and portfolio rebalancing.
  • Apply conditions or constraints, based on underlying economic or capital market risk factors.
  • Track portfolios in either fair value or book value terms. Output a range of accounting metrics. 

Address common investment planning problems

  • Enhance investment solution design: strategic / dynamic asset allocation, capital management, matching adjustment portfolios for annuity business, hedging, and pension fund ALM.
  • Perform coherent joint modeling of assets against liabilities using a platform that bridges the gap between portfolio managers and actuarial teams.
  • Run multiple what-if portfolio analysis scenarios, without the need for full actuarial liability modeling systems.
  • Configure the modeling solution to reflect in-house capital market assumptions, distinct investment objectives, portfolio rebalancing rules, and your model granularity requirements.
  • Benefit from a robust, validated risk-modeling framework, where major assumptions driving investment solution design and advice can be communicated to internal stakeholders. 

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