Case Study: Sanlam Multi-Manager International achieves near‑instant quantitative risk analysis and streamlined portfolio optimization with MathWorks

Sanlam Multi-Manager International Develops Dashboard for Quantitative Risk Analysis

Sanlam Multi-Manager International (SMMI) faced inefficiencies from spreadsheet-based workflows for assigning asset and manager weightings, tracking risk inputs, and sharing analysis—tasks that were too slow and hard to maintain using Excel or a VBA solution. SMMI engaged MathWorks and used MATLAB (with Financial Toolbox and Optimization Toolbox) to replace siloed processes and create an integrated quantitative risk and portfolio analysis capability.

Using MathWorks' MATLAB, Financial Toolbox, Optimization Toolbox and MATLAB Compiler, SMMI built a risk dashboard that models volatility, correlation and covariance, runs Black–Litterman optimizations, stores inputs in SQL, and interfaces with a SunGard APT risk engine. The dashboard cut calculation time from minutes to seconds, shortened development time by months, was widely deployed across the investment team (including the CIO), and improved shared risk understanding that contributed to better performance in challenging market conditions.

Sanlam Multi-Manager International

Mathew John

Investment Analyst