Insurance Funds: The Liquidity vs. Return Trade-Off

Citi Research Multi-Assets analysts Stephen Antczak and Jung Lee show in their recent work, “If I Managed Insurance Money…,” how an insurance fund manager can boost portfolio returns by adjusting the liquidity score.

The authors studied 15 insurance company credit portfolios to determine whether their managers had opted for liquidity in preference to returns, and whether it was possible to enhance returns by working down the emphasis on liquidity.


- Given their inherent advantage of relatively less rigorous MTM risk sensitivity,


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