The main goal of the Tungsten PARITON is to generate a risk balanced absolute return via a combination of single asset classes within a multi asset portfolio. Thus the portfolio is structured under a risk-parity-procedure and will be rebalanced on a constant basis. This approach is based on the premise that every asset class receives, based in an aggregate target volatility, the same risk budget of the overall portfolio. This way of constructing a portfolio allows high risk adjusted returns (Sharpe ratio), while decreasing the overall risk efficient to a moderate level. One critical factor of success is here the identification of different liquid asset classes, which harvestable risk premiums and which show a correlation effect among themselves. The typical character of the strategy allows a leverage effect from time to time.
Lutz Klaus is joining Tungsten as Partner and Executive Director coming from Mayfair Asset Management, the well renowned family office of the Herz family (“Tchibo”). He started his career in the Asset Management department of cologne-based private bank Sal. Oppenheim subsequently leaving for the multi-billion Euro Degussa Pension Fund where he became CIO. During his tenure the fund successfully avoided most pitfalls of the recent financial crisis leading to several Awards from “Portfolio Institutionell.” His investment style is a combination of modern portfolio construction theory paired with derivative overlay strategies.
Lutz Klaus holds a degree as “Diplom Ökonom” from the University of Giessen and is a CFA Charterholder.