IRELAND - The National Pension Reserve Fund (NPRF) has decided to actively manage the frequency and spread between roll dates of commodity spot and futures prices in its 1.5% allocation to the asset class.
The NPRF has launched a search for one or more managers or products for this purpose, with a mandate value of €400m (US$567m).
Adrian O’Donovan, senior manager at the NPRF, commented: “As the commodities programme is mainly for diversification purposes, the fund has, up to now, accessed this market through the purchase from investment banks of certificates which reflect the return on the Goldman Sachs Commodity Index (GSCI) rather than seeking returns in excess of market indices.”
O’Donovan continued that whilst this approach avoided the need to physically hold commodities, the roll period of the underlying contracts was fixed and costs could be incurred when futures prices exceeded spot prices.
He added that this was a technical rather than an asset allocation change.
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