NETHERLANDS - PGGM, the e56bn Zeist-based pension fund, is planning to begin a search for its fourth global tactical asset allocation (GTAA) manager later this year.
Marc Nuijten, manager, derivatives and overlay management at PGGM, said that the fund had appointed a further two managers since it hired Goldman Sachs Asset Management (GSAM) earlier this year. GSAM was mandated to run a e1bn GTAA brief and the two new mandates had the “same characteristics and the same limits” as the first. The fourth manager will also be appointed to a similar brief, he said.
“For GTAA, we look for managers that don’t just use one strategy but provide optimal risk diversification, based on the combination of strategies they have in place and the variety of markets they cover.
“The fourth manager will have to add a new dimension to the current PGGM overlay portfolio, having a different investment style and/or process compared to the others,” said Nuijten.
He explained why the fund had decided to appoint external GTAA managers although it had an in-house model in place: “When we were discussing what would be the best way to run a TAA portfolio we felt that first of all, we need to look at it on a risk/return basis.
“We decided to hire external managers because we felt that these external managers were better positioned, based on their implemented models and experience.”
The fund said that the new managers would also provide the “learning effect” for the organisation as PGGM could learn how the managers managed the portfolio, how they assessed risk etc.
GSAM said that its GTAA strategy is designed to capture relative value opportunities across multiple countries, currencies and asset classes.
It added that PGGM’s approach to overlay mandates was different in that they retained the management of the underlying capital, thus further increasing the capital efficiency.
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