THE NETHERLANDS - Heerlen-headquartered ABP is to introduce a long/short market neutral strategy into its portfolio, developed by Advanced Investment Technology (AIT), a unit of State Street Global Alliance (SSGA).
The EUR150bn pension fund for civil servants is to employ the strategy which aims to apply AIT’s computer-driven stock selection process to generate return forecasts for stocks within the strategy’s eligible universe.
The overall objective of the strategy is to generate total net returns above the 91-day US Treasury Bill benchmark with a low correlation to major stock and bond markets. Investments may be in equity securities of US corporations and non-US companies traded on US stock exchanges.
SSGA was launched in February as a strategic venture between investment house State Street Global Advisors (SSgA) and ABP. SSGA holds equity stakes in fledgling niche asset management firms and holds a majority interest in Florida-based AIT as a member firm.
Doug Case, president and chief investment officer of AIT said: “Our definition of market neutrality goes far beyond the simple measures of cash, beta and sector balancing to include the hedging of all common factor sources of market risk.”
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