Kirk Kapital's new HQ - The Fjordenhus in Vejle (photo: olafureliasson.net)
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Chairman of high-profile family office to launch fund

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Bjarne Graven Larsen, chairman of Danish family office Kirk Kapital, is preparing to launch a low-risk multi-strategy investment fund through his new firm, Qblue Capital, in the near future.

Larsen is seen as one of the safest pairs of hands in pension scheme management and should capture significant sums from institutions, keen to diversify out of highly-rated equities.

Larsen believes the time had come for asset managers to figure out how to solve big problems for their clients, rather than trying to push products in their direction

He stresses he is only seeking to work with investment professionals but they could include sophisticated family offices and endowments.

Prior to 2011, Larsen was best known for his 11-year tenure at the helm of Danish pension scheme ATP, where he overhauled its strategy to manage risks in five sectors: equities, credit, interest rates, inflation and commodities.

Larsen also managed ATP’s liquidity to cover unforeseen liabilities opportunities.

He said in an interview last year: “You hold liquidity, make sure you have enough and then, like a crocodile, you wait and wait.  You can let all the small fish pass by and then suddenly a wildebeest comes – and then it’s time to eat.”

In 2010, ATP became involved in the rescue of Danish bank FIH Erhversbank, where Larsen agreed to become co-CEO. He left in 2015 to become chief financial officer of Novo, the healthcare group, before being hired as chief investment officer at the Ontario Teachers Pension Plan.

Larsen returned to Denmark in 2018, where he went on the board of Kirk Kapital, the family office that manages the assets belonging to Lego heiress Gunhild Kirk Johansen and her family.  Lego’s main owner Kjeld Kirk Kristiansen has his own family office, Kirkbi.

Larsen became Kirk Kapital’s chairman in September 2018. The family office manages 8 billion Danish Krone, equivalent to $1.2 billion. Its 2017 annual report said 58% of its assets comprised strategic investments, while 32% were financial investments focused on long-term returns. The remaining 10% has been invested in a variety of assets, including its iconic Fjordenhus headquarters building.

Larsen declined to comment on his plans for Qblue.  But he believes the time had come for asset managers to figure out how to solve big problems for their clients, rather than trying to push products in their direction.

He has also decided he wants to put together a “multi-strategy alternative risk premia fund,” exposed to equities, bonds, commodities and currencies.

Larsen is not convinced that balanced products 60% invested in equities and 40% in bonds will perform as well as they have done in the past, given the scale of equity volatility which tends to be three times higher than bonds.

This can produce equity risk exposures which make up 80% to 90% of the total.

To avoid this risk, he wants to take long and short positions in derivatives to reduce the risk of the portfolio being pushed out of shape. The new strategy is likely to use a risk parity approach to reduce its volatility, by increasing allocations to safer assets, notably bonds, and using a degree of leverage in each sector, to achieve good risk-adjusted returns.

The best-known risk-parity approach is All-Weather, developed by Ray Dalio’s $160 billion asset management group Bridgewater.  A high bond allocation, to avoid risks, would not tend to perform during a bull market. They can be impeded by rising interest rates. But adjustments to leverage on a tactical basis can be used to boost returns. And the All-Weather strategy has produced reassuring returns during periods of stress.

To develop the process, Larsen has hired five of his former colleagues at ATP, including Fredrik Martinsson, its former investment chief and latterly chief investment officer at Kiski Group, whose business includes developing solutions for family offices and other institutions.

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