Bantleon Risk2Return is more reliable than other capital protection systems. Although we cannot offer a 100% capital guarantee, with a confidence of 1:1 million, we come pretty close when it comes to assessing the risks of a portfolio. And thanks to our sophisticated methodology, your initial risk budget will never be completely used up with the corresponding confidence.

Successful risk management means carefully analysing risks and correctly identifying potential returns in line with the risk budget as early as in the SAA process.

Unique selling point of Bantleon Risk2Return

When Jörg Bantleon founded the asset manager Bantleon in December 1991, he placed his focus on capital preservation. And we have never lost sight of this guiding principle since then. Our overlay management also focuses on this goal and attempts to minimise the costs of the overlay through appropriate management parameters, as the following chart shows.

Overlay management does not have to cost performance

The objectives of our overlay management:

• Optimisation of allocation in terms of risk capital efficiency during portfolio construction to determine the strategic asset allocation (SAA)
• Maximisation of yield per unit of risk through targeted exposure management
• Securing the lower value limit with a confidence of 1:1 million
• Continuous monitoring of risk capital and adjustment to market changes
   

Main types of risk:

• Interest rate risks
• Equity risks
• FX risks
• Spread risks
   

Our approach

Possible applications

Key figures

As an institutional investor, you will ask yourself: Which strategy should I use to put together an optimal asset allocation? There are several standard methods for this:

• Equal weighting: But how many asset classes should be used for equal weighting?
• Markowitz – minimum risk and tangential portfolio: Requires accurate yield and correlation forecasts.
• Black Littermann: Like Markowitz, but with extra
• »market expectations and subjective views«.
• Equal risk: Objectively practical and optimal under the assumption of uncorrelated normal distribution.
   

But none of these methods actively limits the downside risk!

Bantleon Risk2Return is a method for constructing portfolios in which the risk of loss plays a key role right from the drawing board – as it should be in practice and as it is implemented in order to keep the long-term return target realistically achievable.

Portfolio construction and analysis process with Bantleon Risk2Return:

On request, we can determine at asset class level the tactical allocation with which the exposures permitted for the respective asset classes in accordance with overlay control should actually be utilised. The result is a reduced risk budget requirement and consumption in a poor capital market environment, as well as more stable performance that is less susceptible to fluctuations. The implementation of TAA therefore makes it possible to invest with one unit of risk budget in a portfolio with higher return potential. As a result, the same portfolio requires significantly less risk budget if the investor uses the optional TAA management at asset class level.

Parameters at asset class level:

• Equity allocation management for global and European equities based on adaptive lookback management and the concept of market breadth
• FX management for EUR/USD, EUR/GPB, EUR/JPY, EUR/CAD, EUR/CHF, EUR/AUD
• High-yield bonds (spread management)
• Emerging market bonds (spread management)
• Government bonds (duration management EUR and USD)
   

Convincing results

Our tactical allocation signals deliver significant added value across all major liquid asset classes, as the following two charts show. We would be more than happy to show you further examples – including for other asset classes and time periods – in a personal meeting.

Tactical equity allocation using the MSCI World (EUR) as an example:

During phases of crisis, drawdowns and volatility are reduced, while during upward phases, the highest possible participation is ensured.

Note: From December 2001 to December 2024, calculated retrospectively on the basis of technical signals. The signals have been in live use since December 2014.

Tactical FX trading using EUR/USD as an example:

During periods of euro appreciation, currency hedging prevents losses, while during periods of US dollar appreciation, closing the hedging position allows participation in the appreciation.

Note: From December 2001 to August 2025, calculated retrospectively on the basis of technical signals. The signals have been in live use since December 2018.

The MaRisk requirements are mandatory for all credit institutions and pose recurring challenges for banks and savings banks, particularly in the area of proprietary investments. MaRisk holds all managers – regardless of the distribution of tasks in the rules of procedure – responsible for the risks associated with proprietary investments (AT 3 MaRisk). Credit institutions should therefore implement a system that enables every member of the Executive Board to meet this requirement.

All market phases have occurred during the period of performance shown since 1999. And anyone who has actively participated in them will remember that they all seemed unprecedented. Whether the market was moving up, sideways or down, the ability to remain calm was necessary for investment success at all times. This requires a strategy that makes predictable, rule-based and goal-oriented portfolio adjustments in all these phases without making bad decisions out of haste or even panic. The market may be unpredictable, but that is precisely why Bantleon Risk2Return remains predictable, reliable and successful.

In addition to consistent capacity to act (in terms of available risk budget for exposure build-up), risk management has also led to adequate performance over the years. The chart clearly shows that, with careful definition of the management parameters of the overlay as part of the Bantleon Risk2Return analysis, a portfolio with risk management does not necessarily have to perform worse.

Note: March 1999 to December 2024. Retrospective calculation based on systematic management parameters.

In phases of crisis, sufficient distance from the lower value limit enables participation in the subsequent market recovery – even without additional risk capital.

Our management parameters for the implementation of an overlay are calibrated in such a way that, in upward phases with an appropriate risk budget allocation, exposures above 100% are also permitted at portfolio level. The specifications for this are tailored to each individual client. If the risk budget exceeds the specified upper limits and further exposure build-up is not desired, we adjust the lower value limits and secure the risk budget.

Although the system can be set up without external risk budget allocations due to the loss limit of 1:1 million, it is sometimes advisable to increase the participation rate by allocating risk budget in order to achieve a more precise (risk) benchmark orientation for the mandate. This can be useful at the turn of the year or after certain market phases with increased risk budget consumption. The customer-specific implementation is usually carried out by reducing the lower value limit in several weekly steps.