NETHERLANDS - Life insurance company De Eendragt Pensioen NV has awarded Lehman Brothers a mandate worth up to €100m (US$145m).
The €100m will be invested in Lehman Brothers anti-benchmark family of funds, designed to maximise the efficiency of equity portfolios by focusing on the benefits of diversification but offering less risk.
Philip Menco, CEO, De Eendragt Pensioen NV, said it had chosen between alpha generating products and beta strategies: "The anti-benchmark product seems to offer the holy grail of higher returns in combination with lower risk.
"Moreover, back tests of quantitative beta strategies are much more reliable in forecasting future returns than tests of judgmental management styles."
The De Eendragt Pensioen NV mandate will consist of equity portfolio management and a currency hedging overlay and will be split between the US, Euro and Japan anti-benchmark funds.
Menco said the insurer expected Lehman Brothers to continue to produce good returns: "Particularly in a more demanding environment this investment strategy should be able to yield a decent return that is the result of already in place skills, instead of incidental and unpredictable luck."
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