Practice

Investments

Asset-liability modelling, portfolio analytics, private-market mechanics and South African life tax fund structures — re-engineered as governed, reproducible pipelines. Run by actuaries with SAA and ALM committee sign-off experience on life and annuity books.

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Investments Investments analytics as governed pipelines. Top: an asset-liability balance — assets stacked left, liabilities stacked right, with the gap between them as the accent. Bottom: three KPI tiles — AUM, ALM gap and attribution alpha — reconciling across functions. ASSETS LIABILITIES ALM GAP equity · credit · cash · alts policyholder cashflows AUM R 84bn ALM GAP - 1.8% ATTRIBUTION + 1.4% Investments Investments analytics as governed pipelines. Top: an asset-liability balance — assets stacked left, liabilities stacked right, with the gap between them as the accent. Bottom: three KPI tiles — AUM, ALM gap and attribution alpha — reconciling across functions. ASSETS LIABILITIES ALM GAP equity · credit · cash · alts policyholder cashflows AUM R 84bn ALM GAP - 1.8% ATTRIBUTION + 1.4%

Practice signals 1 / 3

ALM needs one view

Asset-liability work should make gaps and exposure visible across portfolios.

Who this is for

Heads of investments at insurers, investment managers and asset managers, ALM teams, private-equity fund operations and investment consultants.

Where we help

Investments analytics is still mostly stitched together across portfolio management systems, performance tools, finance and risk. ALM models live separately from the investment decision they should inform. South African–specific structures — life tax funds, retirement annuities, private-market vehicles — sit awkwardly in tools built for somewhere else. Numbers get reproduced by hand each month, and a meaningful share of senior time is spent reconciling them.

What we do

  • Asset-liability modelling. ALM engines that connect to the same liability view the actuarial team uses — one set of cashflows, two lenses, no reconciliation tax.
  • Portfolio analytics and attribution. Performance, attribution and risk analytics as governed data products, not extract-and-paste spreadsheets.
  • South African life tax fund mechanics. Four-fund tax basis modelling (IPF, CPF, UPF, RPF) and the Corporate Fund split for insurers — run by actuaries with sign-off experience on these books.
  • Private-market mechanics. PE / private-debt fund waterfalls, capital calls, NAV adjustments and look-through reporting.
  • Investment data plumbing. Position, transaction and benchmark feeds rebuilt as instrumented pipelines, with the lineage from holding to disclosed number.
  • Strategic asset allocation modelling. SAA studies that reconcile with the firm's capital and IFRS lens, not parallel to them.
Asset-liability and portfolio analytics mockup An investments analytics mockup showing assets, liabilities, ALM gap, attribution and tax-fund mechanics as one governed pipeline with audit lineage. INVESTMENTS - ALM - ATTRIBUTION - LIFE TAX FUNDS Portfolio analytics that reconcile back to the actuarial view ASSETS LINKED R 18.4bn clean look-through exposure ALM GAP -2.1% duration mismatch flagged ATTRIBUTION +84bps explained by sector and curve RECONCILED TO Actuarial reserves - Finance GL Investment book - Tax fund rules ASSET-LIABILITY VIEW Assets backing liabilities Gap Surplus assets asset curve liability curve LINEAGE Mandate data Asset look-through Actuarial liability run Tax fund allocation Asset-liability and portfolio analytics mockup An investments analytics mockup showing assets, liabilities, ALM gap, attribution and tax-fund mechanics as one governed pipeline with audit lineage. INVESTMENTS - ALM - ATTRIBUTION - LIFE TAX FUNDS Portfolio analytics that reconcile back to the actuarial view ASSETS LINKED R 18.4bn clean look-through exposure ALM GAP -2.1% duration mismatch flagged ATTRIBUTION +84bps explained by sector and curve RECONCILED TO Actuarial reserves - Finance GL Investment book - Tax fund rules ASSET-LIABILITY VIEW Assets backing liabilities Gap Surplus assets asset curve liability curve LINEAGE Mandate data Asset look-through Actuarial liability run Tax fund allocation

Diagram signals 1 / 3

ALM needs one view

Asset-liability work should make gaps and exposure visible across portfolios. The body diagram should make this route explicit enough to discuss in a working session.

Asset-liability view with one ALM gap and reconciled attribution.

Outcomes

  • One asset view that finance, risk, actuarial and investments all rely on.
  • ALM and SAA results that reproduce cycle-on-cycle.
  • South African tax-fund mechanics handled correctly, not approximately.
  • Reduced reconciliation overhead between investments, actuarial and finance.

Engagement model

We typically start with a focused build — an ALM engine, a performance and attribution data product, a life tax fund migration, or a private-market reporting pipeline — and expand outward.

Related software

Symphony ReportingSymphony AutomateFinance Modernisation

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