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Active Asset Allocation
We#Protect,#You#Perform
MARS 2015
Reconciliation of security and
performance comes with a perfect
control of risk
Who we are ?
Active Asset Allocation is an independent company was created by a team
of actuaries and financial engineers that provide unbiased asset allocation advices.
Mission
Active Asset Allocation puts in practice a responsible approach to preserve the
financial resources managed for the long term, such as pensions of future
generations.
We believe that risk management should be at the heart of the investment process.
Solutions
Our unique asset allocation methodology combines a blend of risk
management techniques : diversification, hedging and portfolio insurance. We enable
our clients to manage their investments’ downside risk in the most efficient way.
Our solutions are fully customized to integrate all clients’ objectives and
constraints. We do not use any forecasts of expected returns for the asset
classes; instead we test our models on a large number of simulated market
scenarios in a stochastic environment.
Clients
Our clients are based in Europe and the US. We mainly advise pension funds,
asset managers, institutional investors, family offices and private banks. Despite their
own specific issues, our clients all show the desire to improve the risk
management of their investments.
We#protect,#You#perform
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Your needs are at the heart of our
process
We advise on the asset allocation, investors keep the control of
their investments.
1 Risk Channeling Analysis
Diagnostic
- We take into account your
objectives and constraints
- We identify the asset classes you
would like to invest in
2 Crash Testing Design
Asset Allocation Design
- We design a customized model
- We crash test the model in a
stochastic environment
(Thousands of scenarios)
3
Definition of your level of
risk
Customized asset
allocation model
Dynamic Performance Locking
Implementation
- We define a monthly optimal asset
allocation
- We monitor your portfolio and the
level of risk on a daily basis
Monthly report
4 Research & Innovation
Research & Development
- We upgrade on an on-going basis
our in house models, and you will
benefit from our innovations
On-going improvement
We#protect,#You#perform
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Our added value
A complete control of your risk by using our customized model that takes into
account both your internal and regulatory constraints
A pre-defined decision framework enabling to optimize your asset allocations
whatever market conditions including the most stressed
A Enhanced long term performances
A Reconcile your long-term objectives with short-term constraints
Our strengths
Serenity
Independence'
Our allocation model controls and
limits the maximal downside risk to a
pre-defined level.
Our achievements and the fidelity of
our clients confirm our expertise.
Active Asset Allocation is an
independent company, we provide
unbiased advices. We do not promote
funds. You choose the assets you wish
to invest in and we help you to make
the most of them.
No'bets'on'future
Academic'research
Our allocation recommendations are
not guided by market sentiment but
are determined accordingly with the
investor capacity to take risk at a
cer tain period of time . (Risk
budgeting)
By applying state-of-the-art academic
research into the investment world,
Active Asset Allocation brings
financial engineering to the service of
investors. 35% of our resources are
directed to research, development
and innovation.
We#protect,#You#perform
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Customized solutions
DARM (Dynamic Asset and Risk Management)
Enhances performance by providing downside protection
DALM (Dynamic Asset and Liability Management)
Delivers an optimal solution to reach a fully funded situation
DARM Horizon
Offers an innovative solution for life cycle investing
Your issues - Our solutions
Investments
issues
Solution
objectives
Funds and mandates
Performance and
withdraws
DARM
Enhance performance by
controlling downside risk
Foundations et
Endowments
Cash flows
stability
DARM
Enhance performance by
controlling downside risk
DB Pension Funds
Fund’s solvency
DALM
Fully funded situation
DC Pension Funds
Capital loss
DARM
Manage the downside risk
(Maximum drawdown)
Targets Date Funds
Fund’s solvency
DARM
Horizon
General Insurance
Funds
Continous Yields
decrease
DALM
Life insurance
(UC)
Capital loss at
maturity
DARM
Horizon
Manage the downside risk
(Maximum drawdown)
Enhance performance by
controlling downside risk
Enhance performance by
controlling downside risk
We#protect,#You#perform
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Zoom on...
The DARM
DARM (Dynamic Asset and Risk Management) is our asset allocation solution that
enables an asymmetric management of the portfolio returns: by dynamically
controlling negative returns, DARM helps limit losses without restricting
performance.
Allows'mul0ple'asset'
classes'(unlike'CPPI)
Protec0on'of'a'progressive'level'of'
wealth
Management'of'diﬀerent'
protec0on'types
Reduc0on'of'the'risk'to'be'fully'
invested'in'cash
Value'of'the'diﬀerent'assets,'normalised'to'100
Exemple'of'DARM'on'mul01assets
300
260
220
180
140
100
60
20
1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013
100
80
60
40
20
0
1999
Final DARM
Floor
Benchmark (50% Cash 50%MSCI World)
Alloca0
on'(%)
Alloca0on'(%)
MSCI World
2000
Eonia
GSCI
2001
2002
2003
Oblig. Gouv. Euro
DJAIG
2004
2005
Crédit Euro
EPRA
2006
2007
Corp Euro
2008
2009
2010
MSCI World
2011
2012
2013
MSCI EM
We#protect,#You#perform
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CONTACT'US'
+33'(0)4'93'18'02'97'
[email protected]'
www.ac0ve1asset1alloca0on.com
join us
www.linkedin.com/company/active-asset-allocation
https://twitter.com/ActivAssetAlloc
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www.youtube.com/user/ActiveAssetAlloc
Disclaimer
©'2015,'Ac0ve'Asset'Alloca0on.'All'rights'reserved.'
This'document'has'been'prepared'by'Ac0ve'Asset'Alloca0on,'as'thoroughly'as'possible'and'with'extreme'cau0on.'Informa0on,'descrip0ve'
analyses'or'sta0s0cs'contained'herein'have'been'obtained'from'sources'believed'to'be'reliable,'but'not'guaranteed'and'they'do'not'engage'
the'responsibility'of'Ac0ve'Asset'Alloca0on.'This'material'has'been'distributed'for'informa0onal'purposes'and'for'the'recipients’'use'only.'It'
should' not' be' considered' as' investment' advice' or' a' recommenda0on' of' any' par0cular' security,' strategy' or' investment' product.' This'
communica0on'is'directed'at'professional'clients'who'are'deemed'both'knowledgeable'and'experienced'in'maQers'rela0ng'to'investments.'
Ac0ve'Asset'Alloca0on'shall'not'be'held'responsible'either'for'any'direct'or'indirect'damage'incurred'as'a'result'of'the'use'of'informa0on'
provided'in'this'document.'No'part'of'this'material'may'be'reproduced'in'any'form,'without'express'wriQen'permission'from'Ac0ve'Asset'
Alloca0on.'
Ac0ve'Asset'Alloca0on'is'registered'in'France'under'No'B000183'with'ACIFTE,'an'associa0on'regulated'by'the'French'Authority'of'Financial'
Markets'(AMF).'The'ﬁrm'is'also'registered'with'ORIAS,'under'No'13000765.'