Economic Scenario Generator and Investment Strategy in a ...€¦ · Economic Scenario Generator and Investment Strategy in a Low Interest Rate World CAS CLRS – Boston, MA – 9/17/2013

1

Presented by

Edward Yao, FCAS, CFA, CERAVice President, Risk & Capital ManagementSolutions

Economic Scenario Generator and InvestmentStrategy in a Low Interest Rate World

CAS CLRS – Boston, MA – 9/17/2013

Placeholderfor HeadShot ifdesired

1CAS CLRS – Boston, MA – 9/17/2013

Agenda

Economic Scenario Generator

Current Interest Rate Environment and Impact on P&C InsuranceIndustry

Investment Strategy for A Sample P&C Insurer

Q & A


What is an Economic Scenario Generator (ESG)

A stochastic model in most cases Can be deterministic, but application would be very limited Randomness: Uncertainty in the future A system of stochastic difference/differential equations

A Monte-Carlo simulator “Monte Carlo methods (or Monte Carlo experiments) are a broad

class of computational algorithms that rely on repeated randomsampling to obtain numerical results; i.e., by running simulationsmany times over in order to calculate those same probabilitiesheuristically just like actually playing and recording your results in areal casino situation: hence the name.”

-- Wikipedia A generator of future distributions of different economic variables A generator of time-series of economic variables Not a tool to make forecasts

2


Purposes of ESG

Why do we need a ESG?

Business decision making under uncertainty

Demand of better risk management from regulators and rating agencies Solvency II ORSA S&P AM Best

Pricing/valuation of contingent cash flows


Clarification of Some Terminology

Real world

Initial-to-normative vs. normative-to-normative

Risk neutral

Market consistent valuation

Arbitrage free


Key Features of an ESG

Key economic variables are being modelled

Covering a broad range of asset types

Dynamic relationships among the variables are captured andinternal consistency are maintained

Flexibility and efficiency in calibration and parameter estimationusing benchmark data

Models can be fully validated

Simulation can lead to unexpected/not-yet-observed but plausibleoutcome.

3


Important decisions for an ESG

Type of scenarios Real World or Risk Neutral Initial-to-normative or Normative-to-normative

Model choices Interest Rate Models Credit Models Inflation Models Equity Index Models Models for additional asset classes and economic variables

Model calibration Expected level, volatility, and correlation

Simulation properties Frequency: annual, quarterly, or monthly Number of periods Number of paths


Calibration of A Real-World ESG

Calibration is a process of setting the parameters so that thescenarios generated ESG satisfy certain pre-defined quantifiablecharacteristics.

The goal of a real-world ESG is to generate economic andfinancial time series that are “realistic” and reflect the assumptionsof future development of economic and financial variables: Representing the observed dynamics and distributional

characteristics of historical data Professional forecasts / Expert opinions


Interest rate environment

Source: Bloomberg

0.00

1.00

2.00

3.00

4.00

5.00

6.00

1/31

/200

24/

30/2

002

7/31

/200

210

/31/

2002

1/31

/200

34/

30/2

003

7/31

/200

310

/31/

2003

1/31

/200

44/

30/2

004

7/31

/200

410

/31/

2004

1/31

/200

54/

30/2

005

7/31

/200

510

/31/

2005

1/31

/200

64/

30/2

006

7/31

/200

610

/31/

2006

1/31

/200

74/

30/2

007

7/31

/200

710

/31/

2007

1/31

/200

84/

30/2

008

7/31

/200

810

/31/

2008

1/31

/200

94/

30/2

009

7/31

/200

910

/31/

2009

1/31

/201

04/

30/2

010

7/31

/201

010

/31/

2010

1/31

/201

14/

30/2

011

7/31

/201

110

/31/

2011

1/31

/201

24/

30/2

012

7/31

/201

210

/31/

2012

1/31

/201

34/

30/2

013

7/31

/201

3

Inte

rest

Rat

e (%

)

As of Date

10 Year Treasury Yield

90 day Treasury Yield

4



Source: Global Financial Database; Bloomberg

0.00

2.00

4.00

6.00

8.00

10.00

12.00

14.00

16.00

18.00

1/30

/194

8

1/30

/195

0

1/30

/195

2

1/30

/195

4

1/30

/195

6

1/30

/195

8

1/30

/196

0

1/30

/196

2

1/30

/196

4

1/30

/196

6

1/30

/196

8

1/30

/197

0

1/30

/197

2

1/30

/197

4

1/30

/197

6

1/30

/197

8

1/30

/198

0

1/30

/198

2

1/30

/198

4

1/30

/198

6

1/30

/198

8

1/30

/199

0

1/30

/199

2

1/30

/199

4

1/30

/199

6

1/30

/199

8

1/30

/200

0

1/30

/200

2

1/30

/200

4

1/30

/200

6

1/30

/200

8

1/30

/201

0

1/30

/201

2

Inte

rest

Rat

e (%

)

As of Date

90 day Treasury Yield

10 Year Treasury Yield



Source: Bloomberg

-1.00

0.00

1.00

2.00

3.00

4.00

5.00

1/29

/198

2

1/29

/198

3

1/29

/198

4

1/29

/198

5

1/29

/198

6

1/29

/198

7

1/29

/198

8

1/29

/198

9

1/29

/199

0

1/29

/199

1

1/29

/199

2

1/29

/199

3

1/29

/199

4

1/29

/199

5

1/29

/199

6

1/29

/199

7

1/29

/199

8

1/29

/199

9

1/29

/200

0

1/29

/200

1

1/29

/200

2

1/29

/200

3

1/29

/200

4

1/29

/200

5

1/29

/200

6

1/29

/200

7

1/29

/200

8

1/29

/200

9

1/29

/201

0

1/29

/201

1

1/29

/201

2

1/29

/201

3

Term

Pre

miu

m (%

)

As of Date

Term Premium



Source: Bloomberg

-

0.50

1.00

1.50

2.00

2.50

3.00

3.50

4.00

4/1/

1991

11/1

/199

16/

1/19

921/

1/19

938/

1/19

933/

1/19

9410

/1/1

994

5/1/

1995

12/1

/199

57/

1/19

962/

1/19

979/

1/19

974/

1/19

9811

/1/1

998

6/1/

1999

1/1/

2000

8/1/

2000

3/1/

2001

10/1

/200

15/

1/20

0212

/1/2

002

7/1/

2003

2/1/

2004

9/1/

2004

4/1/

2005

11/1

/200

56/

1/20

061/

1/20

078/

1/20

073/

1/20

0810

/1/2

008

5/1/

2009

12/1

/200

97/

1/20

102/

1/20

119/

1/20

114/

1/20

1211

/1/2

012

6/1/

2013

US Industrial Credit A Spread

3 Month 10 Year

5


Impact on P&C Insurance Companies

Source: A.M.Best.

Year

Net investmentincome earned

($'000)Net underwritinggain (loss) ($'000)

Net Capital Gains(Losses) ($'000)

Other Income($'000)

Net incomeBefore Income

Tax ($'000)

2012 49,236,993 (13,438,268) 9,032,838 2,499,107 47,330,669

2011 51,369,890 (35,212,378) 7,579,382 2,415,894 26,152,788

2010 49,861,020 (8,527,901) 8,296,097 979,289 50,608,505

2009 50,918,364 1,314,557 (8,254,481) 887,556 44,865,996

2008 54,421,335 (19,506,667) (21,222,553) 391,595 14,083,709

2007 58,063,181 22,831,900 8,994,578 (814,688) 89,074,971

2006 55,084,608 35,436,197 3,594,307 2,798,457 96,913,569

2005 51,906,655 (6,220,796) 12,119,428 1,853,805 59,659,092

2004 41,788,071 4,194,824 9,192,055 (323,164) 54,851,786

2003 41,151,925 (2,912,620) 6,518,958 (223,707) 44,534,555

2002 41,097,451 (29,368,464) 2,823,786 (730,465) 13,822,308


Impact on P&C Insurance CompaniesRecent History of US P&C industry’s Combined and Operating Ratios

80%

85%

90%

95%

100%

105%

110%

2008 2009 2010 2011 2012

Operating Ratio Net Investment Income Ratio Combined Ratio

Source: A.M.Best, Conning analytics.


Impact on P&C Insurance Companies

Note: Calculations based on net investment income divided by net investable assets.Source: A.M.Best, Conning analytics.

US Property-Casualty Insurance Industry Historical Book YieldRates

5.1%

4.7%

4.3%4.2% 4.1%

3.9%

3%

4%

4%

5%

5%

6%

2007 2008 2009 2010 2011 2012

Book Yield

6


How to respond strategically?Asset Allocation

2007 2008 2009 2010 2011 2012 Trend

Net Cash 2.1% 2.1% 1.1% 1.8% 1.4% 2.1%AAA-A Bonds 76.8% 78.3% 77.6% 75.9% 74.6% 71.9%BBB Bonds 4.9% 7.0% 8.0% 8.2% 9.3% 10.7%High Yield Bonds 1.7% 1.6% 1.8% 2.2% 2.3% 2.6%Common Stock 8.1% 5.0% 5.9% 6.4% 6.4% 7.1%Schedule BA 3.5% 3.4% 3.3% 3.4% 3.8% 3.6%Investment Real Estate 0.1% 0.1% 0.1% 0.1% 0.1% 0.1%Other* 2.8% 2.4% 2.1% 2.0% 1.9% 1.9%

Bond Sector Allocation2007 2008 2009 2010 2011 2012 Trend

US Govt 12.7% 12.4% 13.8% 13.6% 13.2% 10.6%Corp 23.2% 24.6% 26.9% 29.6% 31.0% 32.9%Agency / Muni 40.3% 40.7% 37.4% 35.3% 32.5% 33.7%Hybrid 0.0% 0.0% 0.4% 0.3% 0.3% 0.2%Other Govt 1.3% 1.0% 1.5% 1.9% 2.3% 2.3%Parents / Subs / Affiliates 0.9% 0.9% 0.8% 0.9% 0.8% 0.8%Structured Securities 21.6% 20.2% 19.1% 18.2% 19.8% 19.5%

Bond Market Allocation2007 2008 2009 2010 2011 2012 Trend

Publically-traded Bonds 96.4% 96.1% 95.0% 93.7% 92.2% 90.6%Private Placement Bonds 3.6% 3.9% 5.0% 6.3% 7.8% 9.4%

Source: A.M.Best; Conning analytics.


How to respond strategically?

Quality Distribution2007 2008 2009 2010 2011 2012 Trend

NAIC 1 92.2% 90.1% 88.8% 87.9% 86.5% 84.4%NAIC 2 5.9% 8.1% 9.2% 9.5% 10.8% 12.6%NAIC 3 1.0% 0.9% 1.1% 1.3% 1.4% 1.5%NAIC 4 0.7% 0.5% 0.6% 0.8% 0.9% 1.1%NAIC 5 0.2% 0.3% 0.2% 0.3% 0.2% 0.2%NAIC 6 0.1% 0.1% 0.2% 0.2% 0.2% 0.2%

Avg. 1.1 1.1 1.1 1.2 1.2 1.2

2007 2008 2009 2010 2011 2012 Trend

Investment Grade 98.0% 98.1% 97.9% 97.5% 97.3% 97.0%Below Investment Grade 2.0% 1.9% 2.1% 2.5% 2.7% 3.0%

Maturity Distribution2007 2008 2009 2010 2011 2012 Trend

<=1 Yr 14.1% 15.6% 15.2% 15.0% 14.2% 15.5%1-5 Yrs 30.7% 32.8% 36.9% 40.3% 41.9% 41.3%5-10 Yrs 33.0% 29.9% 28.0% 26.5% 26.4% 26.7%10-20 Yrs 13.4% 13.2% 12.1% 11.4% 10.7% 10.1%>20 Yrs 8.8% 8.6% 7.7% 6.8% 6.9% 6.5%

Avg. 7.7 7.4 7.0 6.7 6.6 6.4

Source: A.M.Best; Conning analytics.


How to respond strategically?

Investment strategy: shorten duration, search for additional yield,buy floating rate assets, use derivatives

Underwriting strategy: write less long tailed lines, be moreselective in risks underwritten, change product features (for lifeinsurers with interest sensitive liabilities)

Management needs to evaluate a wide range of options in aconsistent framework

The evaluation needs to consider both asset and liabilities, bothrisk and reward, and a wide range of possibilities

7


Modelling system for strategy evaluation

Assets Liabilities

Investment Model

All Major Asset Classes

Investment Portfolios

Duration, Credit Quality, etc..

Rebalancing

Economic Scenario Generator Interest Rates Credit Spreads Equity Indexes Inflation, GDP, Unemployment Market Value and Cash Flows Prepayments Credit Rating Transitions

ManagementDecision

Dynamic Management Behavior Investment Strategy Shifts Dividends

Financing AccountingTax Regulatory

GAAP, Stat, IFRS, Fair Value Balance Sheet Income and Cash Flow Statements Regulatory/Rating Agency Capital Tax Model

Liability Model

Premiums Losses and Expenses CAT models Detailed Inflation/Trend Models Reinsurance models Correlation Etc..

ExternalEnvironment

Enterprise Model


Investment Strategies: An Example of A Long Tailed P&C Insurer

Some key long-term economic and capital market assumptions: US Inflation: 2.5% 3 Month US Treasury Yield: 3.25% 10 Year US Treasury Yield: 4.75% US Large Cap Equity Index Total Return: 8.5%

Liability assumptions (expected loss and expense ratios andvolatility, loss reserve volatility, payment patterns) based on thedata of AM Best Workers Compensation Composite with reserveduration about 5 years.

The future business development assumptions use ConningResearch & Publication’s forecasts for Workers’ Compensationline of insurance.

The projection horizon is five year.


Simulated Distributions of Economic Variables: Example

Source: Bloomberg, Conning GEMS® model simulation.

0

0.01

0.02

0.03

0.04

0.05

0.06

0.07

2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017

10 Year US Treasury Yield

0.9-0.99

0.8-0.9

0.6-0.8

0.4-0.6

0.2-0.4

0.1-0.2

0.01-0.1

Average

0

80

40

357

37

Paths

8


Simulated Asset Class Returns: Example

Source: Conning GEMS® model simulation.

0 0.05 0.1 0.15 0.2 0.25 0.3

Private Equity

US Large Cap Equity

US Intermediate High Yield Bonds

US 5 to 7 Year A-rated Corporate Bonds

US 5 to 7 Year Government Bonds

US 5 to 7 Year Tax-exempt Municipal Bonds

Cash Equivalents

Annual Return: Std. Dev. Average Annual Return

Cash Equivalent US 5 to 7 Year Govt Bond US 5 to 7 Year Corp Bond US 5 to 7 Year TE Muni Bond US Intermediate HY US Large Cap Equity Private EquityCash Equivalent 1.000US 5 to 7 Year Govt Bond 0.017 1.000US 5 to 7 Year Corp Bond 0.011 0.927 1.000US 5 to 7 Year TE Muni Bond 0.024 0.980 0.909 1.000US Intermediate HY (0.008) 0.549 0.612 0.538 1.000US Large Cap Equity 0.085 0.012 0.104 0.017 0.365 1.000Private Equity (0.097) (0.008) 0.036 (0.009) 0.173 0.478 1.000


Economic Value Efficient Frontier

Economic Value = Market Value of Assets- Discounted Value of Liabilities+ Value of future business- Discounted Value of Taxes

More objective More consistent across entities and countries Other measures converge to economic value overtime

Ret

urn

Risk

x

y z

Ret

urn

Risk

Ret

urn

Risk

Efficient Frontier

Ret

urn

Risk


A B C D E F G H I J K

Duration 3.5 3.5 3.6 3.7 3.7 3.8 3.9 3.9 4.2 4.6 5.4

Cash 0% 0% 0% 0% 0% 0% 0% 0% 0% 0% 0%Government 56% 30% 10% 5% 3% 3% 2% 0% 0% 0% 0%Corporate 44% 70% 90% 95% 97% 97% 98% 100% 100% 100% 100%Total 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100%

ΔReward / ΔRisk 50.5 16.4 6.2 3.4 2.6 2.1 1.8 1.2 0.7 0.3

Duration: Rising Interest Rates

A

B

C

D E FG H IJ K

39.50

39.60

39.70

39.80

39.90

40.00

40.10

40.20

40.30

40.40

8.10 8.15 8.20 8.25 8.30 8.35 8.40 8.45

Rew

ard

($bi

llion

s)

Risk ($billions)

Source: Conning FIRM® analysis.

9



Duration 3.3 3.6 3.9 4.2 4.5 4.9 5.3 5.8 6.5 7.2 8.1


ΔReward / ΔRisk 52.0 15.4 8.2 5.9 4.3 3.4 2.7 2.2 1.8 1.4

Duration: Prolonged Low Interest Rates

A

BC

DE

FG

H

IJ

K

43.00

44.00

45.00

46.00

47.00

48.00

49.00

50.00

51.00

7.90 8.40 8.90 9.40 9.90

Rew

ard

($bi

llion

s)

Risk ($billions)




Duration 3.3 3.5 3.8 4.0 4.2 4.5 4.8 5.2 5.6 5.8 6.4


ΔReward / ΔRisk 49.2 15.6 8.6 5.8 4.3 3.4 2.7 2.2 1.8 1.4

Duration: Normative Condition

A

BC

DE

FG

HI

JK

43.50

44.00

44.50

45.00

45.50

46.00

46.50

47.00

47.50

48.00

48.50

8.40 8.60 8.80 9.00 9.20 9.40 9.60

Rew

ard

($bi

llion

s)

Risk ($billions)




Duration 3.1 3.5 3.8 4.0 4.3 4.6 5.0 5.4 5.7 6.0 6.4

Cash 0% 0% 0% 0% 0% 0% 0% 0% 0% 0% 0%Government 44% 3% 0% 0% 0% 0% 0% 0% 0% 0% 0%Corporate 46% 87% 90% 90% 90% 90% 90% 90% 90% 90% 90%TIPS 10% 10% 10% 10% 10% 10% 10% 10% 10% 10% 10%Total 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100%

ΔReward / ΔRisk 60.0 15.4 8.5 5.8 4.4 3.3 2.7 2.2 1.8 1.4

Impact of Inflation Risk

A

BC

DE

FG

HI

JK

43.50

44.00

44.50

45.00

45.50

46.00

46.50

47.00

47.50

48.00

48.50

8.25 8.45 8.65 8.85 9.05 9.25 9.45 9.65

Rew

ard

($bi

llion

s)

Risk ($billions)


10


Tax-advantaged Municipal Bond

0.40

0.60

0.80

1.00

1.20

1.40

1.60

1.80

2.00

Jan-

50Ja

n-52

Jan-

54Ja

n-56

Jan-

58Ja

n-60

Jan-

62Ja

n-64

Jan-

66Ja

n-68

Jan-

70Ja

n-72

Jan-

74Ja

n-76

Jan-

78Ja

n-80

Jan-

82Ja

n-84

Jan-

86Ja

n-88

Jan-

90Ja

n-92

Jan-

94Ja

n-96

Jan-

98Ja

n-00

Jan-

02Ja

n-04

Jan-

06Ja

n-08

Jan-

10Ja

n-12

Rat

io

As of Date

Historical 10-Year Muni to Gov't Yield Ratio

Source: Global Financial Database; Bloomberg.

Historically muniyields had beenlower than USTreasury yields dueto tax-exemptstatus.

Currently muniyields are above USTreasury yields.


Tax-advantaged Municipal Bond

A

BC

DE

F GH

IJ

K

43.00

44.00

45.00

46.00

47.00

48.00

49.00

8.25 8.45 8.65 8.85 9.05 9.25 9.45 9.65 9.85

Rew

ard

($bi

llion

s)

Risk ($billions)A B C D E F G H I J K

Duration 3.4 3.5 3.8 4.0 4.2 4.5 4.8 5.2 5.7 6.0 6.7

Cash 0% 0% 0% 0% 0% 0% 0% 0% 0% 0% 0%Government 39% 3% 0% 0% 0% 0% 0% 0% 0% 0% 0%Corporate 51% 87% 90% 87% 84% 78% 76% 74% 71% 69% 59%Municipal 0% 0% 0% 3% 6% 12% 14% 16% 19% 21% 31%TIPS 10% 10% 10% 10% 10% 10% 10% 10% 10% 10% 10%Total 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100%

ΔReward / ΔRisk 53.3 15.8 8.5 5.9 4.3 3.3 2.7 2.2 1.8 1.4




Duration 3.0 3.3 3.5 3.8 4.0 4.3 4.6 5.0 5.4 5.9 7.1

Cash 0% 0% 0% 0% 0% 0% 0% 0% 0% 0% 0%Government 72% 1% 0% 0% 0% 0% 0% 0% 0% 0% 0%Corporate 13% 73% 68% 61% 57% 55% 47% 45% 40% 37% 24%Municipal 5% 16% 22% 29% 33% 35% 43% 45% 50% 53% 66%TIPS 10% 10% 10% 10% 10% 10% 10% 10% 10% 10% 10%Total 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100%

ΔReward / ΔRisk 53.7 14.9 8.5 6.0 4.3 3.3 2.7 2.2 1.8 1.4

Tax-advantaged Municipal Bond – more profitable underwriting


A

BC

D EF G

HI

J

K

54.00

55.00

56.00

57.00

58.00

59.00

60.00

61.00

62.00

7.50 8.00 8.50 9.00 9.50 10.00

Rew

ard

($bi

llion

s)

Risk ($billions)

Efficient Frontier withMuniEfficient Frontierwithout Muni

11



Duration 3.2 3.5 3.8 4.1 4.4 4.7 5.2 5.7 6.6 7.2 7.8

Cash 0% 0% 0% 0% 0% 0% 0% 0% 0% 0% 0%Government 33% 3% 0% 0% 0% 0% 0% 0% 0% 0% 0%Corporate 47% 87% 89% 85% 79% 70% 66% 62% 52% 38% 12%Municipal 0% 0% 0% 3% 8% 15% 18% 20% 27% 37% 55%TIPS 10% 10% 10% 10% 10% 10% 10% 10% 10% 10% 10%Common Stock 0% 0% 1% 2% 3% 5% 6% 8% 11% 14% 21%Private Equity 0% 0% 0% 0% 0% 0% 0% 0% 0% 1% 2%Total 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100%

ΔReward / ΔRisk 95.7 16.5 9.0 6.1 4.4 3.3 2.6 2.0 1.4 0.9

Equity and Alternative Investments

A

BC

D EF G

HI

JK

40.00

42.00

44.00

46.00

48.00

50.00

52.00

54.00

8.25 8.75 9.25 9.75 10.25 10.75 11.25 11.75 12.25

Rew

ard

($bi

llion

s)

Risk ($billions)



What else to consider

What would happen to the other key financials?

What is the risk tolerance and what metrics to use?

What would happen in the extreme scenarios?

What if the key assumptions are wrong?

Should we move to the strategic targets quickly?

To what extend can we tolerate the investment portfolio deviatingfrom the strategic targets?


Conclusion

As a tool to develop strategy, an ESG is necessary but notsufficient.

There is no one-size-fits-all solution and there is no silver bulletsolution.

Interest rate is just one risk factor and has to be consideredtogether with other risk factors.

For an insurance company’s investment strategy, liability mattersand it has to manage underwriting and investment strategiestogether in a coordinative fashion to perform well.

The strategy development also needs to consider both likely andunanticipated future events.

The key is to find the right balance of risk and reward, avoidoverreaction, and diversify.

12

Conning & Company is the parent of Conning, Inc., Goodwin Capital Advisers, Inc. and Conning Investment Products, Inc., a FINRA-registered broker dealer,and an affiliate of Conning Asset Management Limited, and Cathay Conning Asset Management Limited (CCAM) (together, “Conning”). Conning is a portfoliocompany of the funds managed by Aquiline Capital Partners LLC (a New York-based private equity firm,) with offices in Hartford, Purchase, London, Cologne,and Hong Kong.

Conning, Inc. and Goodwin Capital Advisers, Inc. are registered with the Securities and Exchange Commission (“SEC”) under the Investment Advisers Act of1940. Conning, Inc. is also registered with the Ontario Securities Commission. Conning Asset Management Limited is authorized and regulated by the UnitedKingdom's Financial Conduct Authority, and Cathay Conning Asset Management Limited is regulated by Hong Kong’s Securities and Futures Commission.Conning primarily provides asset management services for third-party assets. Conning predominantly invests client portfolios in fixed income strategies inaccordance with guidelines supplied by its institutional clients.

Conning, Inc. is registered as an Investment Adviser with the SEC and has noticed other jurisdictions it is conducting securities advisory business when requiredby law. In any other jurisdictions where it has not provided notice and is not exempt or excluded from those laws, it cannot transact business as an investmentadviser and may not be able to respond to individual inquiries if the response could potentially lead to a transaction in securities.

All investment performance information included within this material is historical. Past performance is not indicative of future results. Any tax related informationcontained within this presentation is for informational purposes only and should not be considered tax advice. You should consult a tax professional with anyquestions.

For complete details regarding Conning and its services, you should refer to our Form ADV Part 2, which may be obtained by calling us.

Legal Disclaimer

Copyright 2013 Conning, Inc. This document and the software described within are copyrighted with all rights reserved. No part of this document may bereproduced, transcribed, transmitted, stored in an electronic retrieval system, or translated into any language in any form by any means without the prior writtenpermission of Conning. Conning does not make any warranties, express or implied, in this document. In no event shall Conning be liable for damages of anykind arising out of the use of this document or the information contained within it.

This document contains information that is confidential or proprietary to Conning (or their direct and indirect subsidiaries). By accepting this document you agreethat: (1) if there is any pre-existing contract containing disclosure and use restrictions between your company and Conning, you and your company will use thisinformation in reliance on and subject to the terms of any such pre-existing contract; or (2) if there is no contractual relationship between you and your companyand Conning, you and your company agree to protect this information and not to reproduce, disclose or use the information in any way, except as may berequired by law.

ADVISE®, FIRM®, and GEMS® are registered trademarks of Conning, Inc.

This material is for informational purposes only and should not be interpreted as an offer to sell, or a solicitation or recommendation of an offer to buy anysecurity, product or service, or retain Conning for investment advisory services. This information is not intended to be nor should it be used as investment adviceand should not be copied or distributed without the prior consent of Conning.

Disclosure C11#1412415

Documents

Economic Scenario Generator and Investment Strategy in a ...€¦ · Economic Scenario Generator and Investment Strategy in a Low Interest Rate World CAS CLRS – Boston, MA – 9/17/2013