Ortec Finance has developed a new Scenario-Based Machine Learning (SBML) approach that can optimize any type or combination of investment objectives while managing complex non-linear constraints. The resulting optimized portfolios are then evaluated using a stochastic scenario approach in the traditional way—delivering both innovation and transparency.
In the first case study, we explored how SBML can overcome the limitations of traditional optimization techniques, including the ability to generate an efficient frontier while integrating complex constraints.
This second case study, developed in collaboration with M&G Investments, pushes optimization further by introducing 3D optimization within GLASS, allowing insurers to use three objectives simultaneously:
- Maximize assets above insurer liabilities
- Maximize expected cumulative surplus in the worst 5% of scenarios
- Minimize the Market Risk SCR Charge as a percentage of surplus assets
All while constraining the Market Risk SCR Charge itself. The result: a new frontier of efficient portfolios that reflect a true balance across competing objectives.
Why It Matters
A key strength of SBML is transparency. Unlike “black box” AI, SBML portfolios can be analyzed with GLASS’s existing tools, including contribution analysis, which explains why certain asset classes are weighted more heavily. This gives insurers and asset managers confidence in both the process and the results.
This case study highlights how SBML takes Strategic Asset Allocation into the next dimension:
- 3D optimization enables insurers to optimize across multiple objectives simultaneously.
- All SBML-generated portfolios adhered to constraints while outperforming traditional approaches.
- Contribution analysis provided transparency, showing how results are achieved and why they are superior.
The study demonstrates the significant advantages of SBML—more optimal portfolios, better trade-off management, and faster, higher-quality results than traditional methods can provide.
Learn how Ortec Finance and M&G Investments applied 3D SBML optimization to push the boundaries of Strategic Asset Allocation.
SBML will be available as a GLASS module by the end of 2025, offering insurers, asset managers, and consultants a powerful new way to optimize portfolios.
If you are interested in reading the case study in full, you can download it here.
Related Insights
-
21 October 2025Pension funds face dual headwinds of shrinking growth and rising inflation amidst climate changeA failed low-carbon transition could cut global pension fund returns by 33% by 2050 if climate change follows its current trajectory.
-
17 October 2025Webinar recording: Understanding private assets in the institutional investment landscapeWatch out webinar to further understand the risk/return profile of private assets, as well as key considerations when designing investment strategies
-
15 October 2025Lack of political direction on climate change puts superannuation fund returns at riskOrtec Finance warns Australian superannuation funds could face potential significant long-term losses if the net-zero transition is delayed
-
13 October 2025TPA for Institutional Investors: what really matters in the Total Portfolio ApproachTPA Webinar for Institutional Investors: learn about what really matters in the Total Portfolio Approach
-
10 October 2025Webinar recording: Private asset performance attribution to effectively analyze investment decisionsWatch out webinar to learn how performance measurement and attribution frameworks can be adapted for private assets
-
09 October 2025Quarterly Scenario webinar - 'Steady Growth Amid Persistent Policy Risks'Join us on October 28 for our Q3 webinar where our in-house expert Finn Stijns will be guiding you through our Quarterly Scenario outlook, 'Steady Growth Amid Persistent Policy Risks’ and Amrit Suman will discuss institutional investors rethink over private assets strategies as our special topic.
-
06 October 2025Ortec Finance completes PEARL implementation with Aware Super to enhance performance measurementLearn about the completion of Ortec Finance’s performance measurement and attribution software at Aware Super, an Australian superannuation fund
-
02 October 2025Webinar recording: Investing in private assets through a climate change lensWatch out webinar to learn about the unique climate-related challenges of private assets across physical, transition and market pricing risks and opportunities.
-
29 September 2025Taking Strategic Asset Allocation into the Next Dimension with SBMLExplore how AI is revolutionizing insurance strategic asset allocation, driving efficiency, enhancing client satisfaction, and boosting profitability.