“A lot of other financial institutions, most of them banks, have gotten out of making inventory,” Wilson said. “So it was an opportunity for us to come in and fill that liquidity when there's supply-and-demand imbalance.” He said the strategy can improve returns by as much as 1 percentage point.

Bond inventories for large banks, or dealers, shrank by about 27 percent between 2007 and early 2015. Mutual funds and exchange traded funds have almost doubled assets, while insurance companies have been a source of liquidity as they hold longer-dated securities to match policy obligations.

Wilson said that government regulation has helped make banks an attractive investment for bondholders, even while suppressing returns for equity investors.

“What you're seeing is capital moving out of the banking industry,” Wilson said, citing how the companies devote almost all of their profit to dividends and share repurchases. “If 90 percent of what you're making, you're giving back to your shareholders, it means you're not retaining capital to grow yourself as an entity.”

Allstate, the largest publicly traded U.S. auto and home insurer, has an investment portfolio valued at more than $80 billion, mostly allocated toward fixed income. Wilson is among insurance executives seeking strategies beyond holding bonds to maturity, as nearly record-low interest rates squeeze investment income. He has also diversified into holdings such as real estate and timber.

Wilson said the investing approach has become more active since he took over as CEO in 2007, first because of the opportunities presented by higher yields in the financial crisis.

Then, said Wilson, “We looked and we said, 'Well we don't think that's going to happen that often, so we need a different way to work in what's a low-interest-rate environment.'”

–With assistance from Sridhar Natarajan and Alexandra Scaggs in New York.

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