Morgan Stanley Investment Management's (MSIM) Global Balanced Risk Control (GBaR) strategy, used in conjunction with the asset manager's Solvency II tailoring skills, has helped European insurers since 2009.

As of November last year, MSIM's GBaR team managed over £3.7bn ($5bn) for European insurance clients, which incorporates dealing with solvency capital ratio (SCR) constraints and a loss absorbing capacity dynamic.

A key differentiator of the GBaR strategy is its starting point: a risk target, volatility or value-at-risk (VaR) number which together overrides the need for a traditional benchmark.

The strategy's portfolio managers, in co-operation with MSIM's Insurance Solutions team, manage portfolios to participate in rising markets, but also to limit downside in volatile markets with high flexibility in asset allocation shifts.

Targeting volatility is a strong starting point for the strategy, from which fine-tuning of the portfolio to reflect actual VaR or SCR can then be achieved. The facility to limit-SCR allows clients to retain control of capital budgeting, which is essential for risk management when insurers outsource multi-asset mandates.

The GBaR commingled composite performance, for portfolios targeting a volatility range of 4% to 10%, has an annualised return of 7.11% and a Sharpe ratio of 1.22 since inception in June 2009 to October last year.

Judges like the product for its risk-adjusted return with SCR constraints and VaR frontier analysis, which made it "appropriate for long-term insurance investors".