Leverage our analytical capabilities.

With senior team involvement throughout each step of our process, we’re able to perform asset-level and portfolio-level analysis and build bespoke models. We identify optimal strategies to achieve the client’s objectives in line with our overall investment approach and philosophy.

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Why Klarphos?

Incorporating alternative assets

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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

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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

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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

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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.”
Shuang Kang, Head of Portfolio Management
Saa case study 1

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

Base currency
Euro
Investment objective
Minimizing funding deficit by outperforming Liability by 2%-4% p.a.
Risk Limit
Daily VaR <0.1% (99% confidence; parametric)
Investment universe and restrictions
Global mult-asset with illiquid assets < 40%; FX hedge and LDI overlay notional < 50% of AuM.
pension Modified Duration
18 years
37%
Fixed income

Risk summaries (10y historical)

Annualized return
7.6%
Cumulative return
102%
Annualized vol
6.4%
Skewness
-1.73
Kurtosis
8.9
Historical Var daily
1%
Cvar daily
1.4%
Max drawdown
11%
Max run-up
103%
SHARPE RATIO
1.13
Past performance is no guarantee of future results.

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.

Saa case study 2

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

Base currency
Euro
Investment objective
Minimizing funding deficit by outperforming by 2% p.a.
Risk target
Daily VaR <0.1% (99% confidence; parametric)
Investment opportunity set
Global mult-asset with illiquid assets < 25%; FX hedge and LDI overlay notional < 50% of AuM.
Investment horizon
16 years
40%
Fixed income

Risk summaries (10y historical)

Annualized return
6%
Cumulative return
85%
Annualized vol
7.4%
Skewness
-1.72
Kurtosis
8.72
Historical Var daily
1.2%
Cvar daily
1.6%
Max drawdown
13%
Max run-up
87%
SHARPE RATIO
0.85
Past performance is no guarantee of future results.

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