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Structured Peer Group
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Structured Peer Group Exhibits

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This chart reflects the expected annualized return of your company's risk asset portfolio and the potential downside impact to surplus, adjusted for deferred federal income taxes, from market movements in risk assets*. Surplus growth and declines are primarily driven by the return and volatility characteristics in risk assets.

This broadly reflects your company's risk asset appetite, implied by your asset allocation. Are you comfortable with the potential shock to your surplus given a 2-standard deviation (95th percentile) volatility event? If your surplus looks mostly unaffected by a 2 STD risk asset event, should you consider adding risk asset exposure in order to gain additional return?

*Before Any Applicable Taxes

 

This chart reflects the expected annualized return of your company"s risk asset portfolio and the potential downside impact to surplus, adjusted for deferred federal income taxes, from market movements in risk assets*. Surplus growth and declines are primarily driven by the return and volatility characteristics in risk assets.

This broadly reflects your company’s risk asset appetite, implied by your asset allocation. Are you comfortable with the potential shock to your surplus given a 3-standard deviation (99.7th percentile) volatility event? If your surplus looks mostly unaffected by a 3 STD risk asset event, should you consider adding risk asset exposure in order to gain additional return?

*Before Any Applicable Taxes

This chart broadly indicates your company's expected return to your portfolio standard deviation relative to your peers. Expected return is not a guaranteed rate of return, but rather, a forecast of the future value of the portfolio. The standard deviation reflects your portfolio's expected volatility.

Investment opportunities should always be made in conjunction with their risk characteristics. Portfolio risk can be reduced by holding combinations of assets that are diversified and less correlated.

 

This chart indicates your company's "expected return" relative to your "risk assets". Additionally, you can compare your company's expected return to your peers.

This chart indicates your company's fixed income exposure to BBB rated bonds relative to your peers.

Companies tend to increase BBB allocations when seeking greater investment income or future returns.

 

This chart displays what your company's average maturity is for each credit rating bucket relative to your peers within your corporate bond allocation.

This is a measurement in years for how long it takes for the price of a bond to be repaid by its internal cash flows (coupons and principal repayment at maturity). Bonds with higher maturities carry more interest rate risk and have higher price volatility. Combining more interest rate risk with a lower credit profile could also be a concern.

This chart indicates your company's allocation to corporate bonds broken down by credit rating category relative to your peers.

Corporate bonds are typically higher risk than government bonds which typically leads to higher yields. The lower an issuer's credit quality, the more costly it becomes to issue debt due to its increased chances of default.

 

This chart indicates your company's allocation to NAIC rated bonds 3 to 6 relative to your peers.

High Yield bonds carry a higher risk of default; however, these bonds pay a higher yield than investment grade bonds.

This chart indicates your company's common stock allocation relative to your peers.

Common stocks typically offer greater returns than bonds but carry higher risk of loss as well as increased return volatility. If your portfolio holds a large percentage of surplus in common stocks and stocks suffer significant losses (e.g. 2008), your surplus position could be materially impacted.

 

This chart broadly indicates your company"s allocation to "risk assets" relative to your peers. Risk assets typically consist of High Yield bonds, Common Stock, Preferred Stock, and long-term Schedule Ba investments which may include a number of other asset classes (real estate, hedge funds etc.).

Since returns are not guaranteed, an increase in your risk asset bucket over time should be yielding you an appropriate increase in return. If your company is in a lower quartile, it is important to consider if any added benefits could be gained from your portfolio adjusted for risk.

This ratio measures a company's net retained premium in relation to its surplus. This ratio measures the company's exposure to pricing errors in its current book of business. A company should demonstrate a controlled business growth with quality surplus growth from strong internal capital generation. It is also important to look at your company's operating leverage in conjunction with the risk profile of your investment portfolio. With lower operating leverage, one may be able to take on more investment risk.

 

This chart indicates the total liabilities to surplus relative to your company's peers. This measures a company's exposure to unpaid obligations, unearned premiums, and exposure to reserving errors.

Tip - Select a company w/o selecting a focus or range to default the focus and range to values used in a previous or current SPG analysis. If there is not a previous or current analysis, the range and focus will need to be selected manual.
*Required fields
Entity Name*
Risk Pool Type*
Quarter*
Asset Totals ($M)
(Risk Assets should include high yield and all non-core fixed income)
Surplus ($M)
Annual Fees (%)*
Asset Manager(s)
Intro
Exhibit Details
Disclosures
Introduction

Compare key elements of your Government Risk Pool's investment process directly with other pools utilizing SAA's proprietary Pooling Peer Database.

SAA's database consists of 23 risk pooling clients and additional non-client pools that have supplied verified data for the provided peer analyses.

As the database continues to grow, so will the depth of your Pool's peer analysis.

To Generate Your Pool Peer Group:

  1. Select "Insurer Type" and provide asset totals & surplus in millions (e.g. enter 15.1 for $15,100,000). Fees should be entered in percent format.
  2. After populating all required fields, select "Add to Pool Peer Group & View Exhibits" and your Pool's data will be added to the comparative exhibits.
  3. To submit another entity, overwrite the "Entity Name" and complete the required fields. A drop-down will appear to let you navigate between entities.

To request a complete peer analysis (comparing asset allocation, yield/duration metrics, credit quality, etc.) or learn how SAA can help with your Pool's investment process, please contact Dan Smereck at dsmereck@saai.com.


How SAA Works with Pools >>

Portfolio Analysis

Manager Select

SAA Solutions

With SAA Solutions, we help insurance companies and governmental risk pools with an investment portfolio <$25MM achieve an improved investment process, at a fraction of the cost of an in-house investment professional.

Key Benefits of SAA Solutions

  • Investment expertise from SAA’s Principals, all former Senior Investment Executives in the insurance industry, at a fraction of the cost of an in-house investment professional.
  • Similar investment process as utilized by much larger organizations.
  • Staff time saved on a very specialized, time intensive activity.
  • We have no conflicts of interest nor vested interested in the trades you approve, as you will have access to Index Funds and ETFs from various providers.
  • SAA Solutions provides all of the following:
    • Strategic Asset Allocation Analysis
    • Investment Policy Generation
    • Performance Monitoring
    • Quarterly Review Calls
    • Quarterly Trade Execution

How Can SAA Solutions Help You? >>

What Services Do You Receive?

1. Strategic Asset Allocation Analysis
Advice on the current investment asset allocation and risk profiles, subject to current insurance regulations, every two years or as material business changes occur.

2. Investment Policy Generation
SAA will assist client in developing a policy utilizing SAA’s “Best Practices” templates, including the setting of your company's benchmark (tied to asset allocation).

3. Performance Monitoring
Ongoing monitoring of investment portfolio holdings and risks, based upon recommended benchmarks.

4. Quarterly Review Call
Review and analysis of your portfolio’s quarterly performance with the Board, Investment Committee and/or senior management via conference call.

5. Quarterly Trade Execution
SAA executes quarterly trades via Vanguard Brokerage Services®, as necessary, to re-balance portfolio if outside of policy limits.


Sample Case Studies

1. Asset Allocation

SAA will provide advice on the current investment asset allocation and risk profiles, subject to current insurance regulations, every two years or as material business changes occur.

Over 90% of your company’s investment performance and returns will be determined by the allocation decision.

SAA will review the impact of different allocations in a risk management framework by modeling various asset class combinations for clients.

SAA uses an asset allocation approach providing detailed asset allocation strategies designed to maximize return on risk adjusted capital for any given product line.


Contact SAA to Learn More >>

*The information provided is meant for demonstrative purposes only. The information does not reflect or represent an actual company or entity.

Strategic Asset Allocation - Efficient Frontier:


*Provided for illustrative purposes only, not a recommendation.

SAA integrates the results of efficient frontier analysis with the impact of company constraints, downside risk analysis and other variables, to develop a plan that will best achieve each client’s objectives.

Strategic Asset Allocation - Risk Asset Impact to Surplus:


*Provided for illustrative purposes only, not a recommendation.

The impact of risk asset declines on company surplus levels is a key component of SAA’s strategic asset allocation analysis given the implications these declines may have on a company’s ability to continue to operate as desired.

3. Performance Monitoring

Ongoing monitoring of investment portfolio holdings and risks, based upon recommended benchmarks.

SAA’s process goes beyond simply monitoring returns and includes assistance in areas such as compliance, other than temporary impairment, stress testing, and analysis of overall and specific risk exposures, etc.

Portfolio Monitoring May Consist Of:

  • Compliance Monitoring
  • Investment Practices Review
  • Analytical Reporting Review
  • Stress & Sensitivity Testing
  • Analysis of Changing Regulatory Environment
  • Turnover Analysis

Contact SAA to Learn More >>

Performance Summary - Example:

4. Quarterly Review Call

Every quarter, SAA's Principals will provide a review and analysis of your portfolio’s quarterly performance with the Board, Investment Committee and/or senior management via conference call.

How are we doing? How can we do better? Where are the potential problems?

SAA will provide answers to these questions and help improve your insurer or pool's Board members, executives and staff better understand the investment process.

About SAA:

  • All Principals are Former Senior Investment Executives at Insurance Companies
  • We Have Worked with Pooling Organizations for Over a Decade
  • We Only Work with Insurers and Governmental Risk Pools
  • Since Inception (1994) SAA Has Worked With More Than 100 Insurers/Pools

Contact SAA to Learn More >>

Meet SAA's Principals:

Alton R. Cogert, CFA, CPA, CAIA, CGMA, President and Chief Executive Officer. Mr. Cogert formed Strategic Asset Alliance in 1994.

He has served as a technical advisor to the NAIC Invested Assets Working Group. He is a former member of the Board of Directors and former chairman of the Investment Committee of the National Alliance of Life Companies.

He is a Chartered Financial Analyst, a Certified Public Accountant and a Chartered Alternative Investment Analyst. Mr. Cogert holds a BS from the Wharton School of the University of Pennsylvania and an MBA from the University of Southern California.

Email: acogert@saai.com
Phone: (360) 255-2500


Daniel G. Smereck, Managing Director, is the primary consultant for SAA’s governmental risk pooling clients. Mr. Smereck has over 20 years of experience across investments, insurance, corporate finance, statistical analysis, and information technology.

Prior to joining SAA in 2003, Mr. Smereck was Senior Vice President and Chief Investment/Information Officer for a large, regional medical malpractice insurer where he was responsible for treasury, asset management and information technology.

Mr. Smereck has a BS in Managerial Finance, an MBA from the University of Nevada, Las Vegas, and an MS in Finance from the Carroll School of Management, Boston College.

Email: dsmereck@saai.com
Phone: (215) 801-4275


John P. Mohr, CFA, CAIA, Managing Director, has over 30 years of experience in the insurance and insurance asset management fields.

Prior to joining Strategic Asset Alliance, Mr. Mohr was Senior Vice President and Client Portfolio Manager at Boston-based fixed income investment manager Income Research + Management (IR+M), where he worked primarily with the firm’s clients in the health and P&C insurance sectors.

Mr. Mohr is a graduate of Stonehill College and has an MBA from Suffolk University. He holds the Chartered Financial Analyst (CFA) and Chartered Alternative Investment Analyst (CAIA) charters.

Email: jmohr@saai.com
Phone: (774) 343-5166

5. Quarterly Trade Execution

SAA executes quarterly trades via Vanguard Brokerage Services®, as necessary, to re-balance portfolio if outside of policy limits:

SAA notifies client up to one week in advance of pending trades. SAA will execute trades unless client intervenes
or
Client provides written approval of SAA recommended rebalancing trades. SAA executes trades after approval.

Overview of SAA Solutions

  • We have no conflicts of interest nor vested interested in the trades you approve, as you will have access to Index Funds and ETFs from various providers.
  • Since we have no vested interest in the trades you approve, we can recommend the optimal trades to achieve the best results.
  • At your option, Bond Funds will meet NAIC’s approved criteria for Systematic Accounting, which allow for funds to use statutory accounting treatment similar to holding a bond.

Contact SAA to Learn More >>

*The information provided is meant for demonstrative purposes only. The information does not reflect or represent an actual company or entity.

*Source: Vanguard: Guide to Your Account

Vanguard Brokerage Services - Example 1:

Vanguard Brokerage Services - Example 2: