The recipient of this year's Insurance Asset Risk Americas equity manager of the year award is DWS, for designing an investment strategy for a domestic property/casualty workers compensation insurer that was looking to diversify its US equity exposure.

Given the insurer's regulatory regime and associated operational and reporting requirements, a traditional ETF would not suffice. The mandated design required two elements – the actual market/asset class exposure, and customised reporting features.

DWS constructed a S&P 500 Growth SMA, designed to track the S&P 500 Growth Index, with minimisation of tracking error being the goal. Two key filters applied to the investment universe had to do with ESG scores and credit quality. Within ESG, the companies had to carry MSCI ESG scores of BB or better, and could not have a credit quality rating below BBB. Additionally, the portfolio was operationally constrained to a universe of 150 names in a cap-weighted SMA structure.

For the reporting and operational customisation, the firm created a passive solution specific to the insurer. This included provisions for customised, manual trade approvals and rebalancing features. Additional permissioning around gains and losses associated with any rebalancing was also required.

From start to finish, the resulting mandate took approximately six months to complete and is being periodically funded.