Asset Owner

Investment consolidation and analysis

The challenge

This large pension fund has an Alternative Risk Premia (ARP) program to act as a tail-protection overlay for its broader investment portfolio.

The pension fund wanted to be able to flexibly assess the impact of ad hoc market scenarios on the overlay portfolio, as well as on the portfolio being hedged.

The investments being hedged are held through several managed accounts managed by external entities.

Our approach

The client uses the LumRisk platform to gain a consolidated view of its investments including the ARP overlay.

LumRisk obtains transparency on all client managed accounts and provides daily analytics to assess the overlay’s efficacy in relation to the client’s consolidated exposures.

LumRisk further provides data uploads for integration into the client’s internal systems and risk engine.

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