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What does it mean to win this Insurance Asset Risk award?

Toby Nangle: We are very proud to win the multi-asset manager of the year award. We have been working very hard for our clients and are pleased this recognises some of the quality work we have been able to do, delivering good total returns with low levels of volatility.

Eugene Dimitriou: What is really pleasing is that we have managed to meet all the criteria insurance companies care about. As a lot of these requirements are regulatory, it is very satisfying that we have managed to bring together so many different types of investment into a strategy that can be deployed for insurance companies.

What are the key challenges facing insurance clients and how are you helping address them?

Eugene Dimitriou: Compared with other investors, insurers have so many more constraints to contend with, such as questions about how much capital they need to hold, which in turn translates into a series of stress tests.

To manage these capital constraints, our multi-asset strategy allows us to take an optimal mix of investments and translate them into the different capital charges that insurance companies must meet.

The second area where we deliver for insurers is around reporting: we provide all relevant data and individual positions in such a way that insurance companies can effectively communicate to the regulators, rating agencies and other constituencies with which they interact.

At a much higher level, it is also about ensuring the insurance company understands the investments we are making on their behalf, and we maintain a frequent and detailed dialogue with our clients.

For example, regarding the Threadneedle Dynamic Real Return Fund (DRR) run by Toby, our investors will understand why it has performed as it has at any given point in time.

We also aim for full transparency so they know where in the future we would expect the fund to under or outperform.

The fact we have managed to deploy this strategy and satisfy insurers in different contexts across balance sheets containing with-profit funds, unit-linked funds and pension funds, is a testament to the strength of our investment process.

Over the past five years, what have been the biggest opportunities and challenges for the DRR Fund and its clients?

Toby Nangle: From an investment perspective we are challenged by the daily evolution of markets. There have been some good opportunities to capture strong risk-adjusted returns, and we are pleased to have done so. There have also been some challenges, but on balance the fund has delivered on its goal.

For example, Q4 last year was very challenging, and risk premia rose around the market. We were positioned relatively neutrally, but could have been more defensive.

As such, we suffered a drawdown. But the way we dealt with that challenge was very much in line with our investment process.

This involves doing good forward-looking economic and valuation work. The result being that the drawdown in fact represented an opportunity in certain key asset classes, particularly in Asian equity markets.

We increased our risk exposure, at probably the most uncomfortable time, to Chinese, Korean, Taiwanese and Japanese equity markets when risk premia had increased meaningfully.

With the strong rebound we have since seen in markets we have been able to capture returns, and this kind of dynamism has been helpful.