Insight Summit 2017: Intelligent Risk Taking - Active vs passive investing Risk taking the ATP way - Kasper Lorenzen, Chief Investment Officer, ATP Presented at the third annual Insight Summit conference held on 7 November 2017 by London Business School’s AQR Asset Management Institute.

1. Risk taking the ATP way 07-11-2017
Risk taking the ATP way
07-11-2017
London Business School (AQR Asset Management Institute)

2. Risk taking the ATP way 07-11-2017
Framework
 Risk Budgetting
1. LDI Risk (‘the risk-free portfolio’)
2. Budget for Risk Taking (‘the risk engine’)
 Risk Taking
i. Based on Risk
• Not AuM (notionals and numbers do matter)
ii. Based on Risk Factors
• Implementable risk factors span the investment universe
iii. Based on Factor Production
• Guidance and direction to the risk taking teams

3. Risk taking the ATP way 07-11-2017
Risk Factors
 Investment Beliefs
➢ One factor framework
▪ Total return target
▪ One organization
➢ ‘Balanced Beta’
▪ Risk Parity (public & private markets)
 Active or Passive?
➢ Active Decisions Only
➢ Active and ‘Passive’ Blocks
➢ Risk Culture
➢ The search for ‘good’ risk…
RiskCapital(VaRbn.)