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.”
By Madhu Kalia
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The ITN Limited Pension Scheme has named Trafalgar House as its administrator for an initial term of five years.