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Why Klarphos?
Incorporating alternative assets
We combine sophisticated Asset Management and ALM capabilities (including risk and regulatory interfaces).
Our platform leverages the best and trusted independent industry partners and data providers.
Multi-year assets modelling
For institutional clients with long-term horizons (e.g. pensions), instead of using a single horizon mean-variance Markowitz optimization approach, our multi-asset portfolio construction framework adopts multi-year assets modelling and balance investor’s long-/short- term return and risk objectives with a focus on C-VaR and maximum drawdown.
Funded assets + linear & option overlays
We incorporate both funded assets and liquid derivatives in the same framework to further expand the efficient frontier with bespoke overlay structures, including rates/inflation (swap/swaptions, caps, floors), equities & FX (forwards and options) and index CDS.
Fat-tails of cross-asset returns
Our bottom-up assets modelling and portfolio simulations incorporates tail risks across different asset classes which consider non-normal distributions and time-varying correlations under different economic cycles and specific scenarios and stress testing.
We look beyond the return-enhancing and diversifying benefits of alternative investments to achieve multi-asset portfolio optimality and balance long- & short-term objectives for clients.”
European Defined Benefit Pension
Our research and study show that a typical European defined-benefit (DB) pension plan has on average 40-50% allocation to fixed income, 25-35% to equity, and about 10-20% to alternatives. As an SAA study we have developed as a model portfolio, we are recommending one of our clients to hold a global multi-asset portfolio with a maximum 40% allocation to alternative funds, while maintaining a light LDI hedging overlay to achieve a moderate growth of funding ratio in long-term which minimize a funding shortfall.
Assumptions
Risk summaries (10y historical)
Note: The hypothetical SAA as shown in the piechart is derived based on the above mentioned restrictions and along with other limits set in the model and Klarphos' capital market return assumptions. Index proxies for hedge funds and private markets are from Preqin, and for liquid assets are from Bloomberg and main indices of respective markets.
Source: Klarphos, with data from Bloomberg, Markit, and Preqin. Data as of May 31, 2022.
European Defined Benefit Pension
As an SAA study we have developed for an investor with a lower limit on private markets allocations (max. 25%), we still recommend to hold a global multi-asset liquid portfolio with a more Europe-focused private markets strategy, while maintaining a modest global hedge fund allocation with top quantile managers, and a light LDI hedging overlay to achieve a moderate growth of funding ratio in long-term which minimize a funding shortfall.
Assumptions
Risk summaries (10y historical)
Note: The hypothetical SAA as shown in the piechart is derived based on the above mentioned restrictions and along with other limits set in the model and Klarphos' capital market return assumptions. Index proxies for hedge funds and private markets are from Preqin, and for liquid assets are from Bloomberg and main indices of respective markets.
Source: Klarphos, with data from Bloomberg, Markit, and Preqin. Data as of May 31, 2022
