DENMARK - Sampension has set in motion a restructure of its €2bn ($2.6bn) equities portfolio by incorporating a core/satellite approach and plans to search for absolute return strategies for the first time.
Staff at the pension fund last week moved to divide its equity portfolio into four different mandates, two passive global index mandates to serve as the core portfolio, and two active mandates. The active mandates invest in emerging markets and Danish equities.
Chief investment officer Henrik Olejasz Larsen first revealed his plans at the Pension Fund Forum Denmark held in late November and organised by GP parent company Incisive Media.
He said: "The reason why we have used this is primarily to have a good overall value for the cost of owning our equity portfolio, but we also think it's a good division of labour. We can get access to specialised skill by dividing alpha and beta skills."
In a follow-up interview, Larsen said the active portfolios constitute about a quarter of the overall equity portfolio.
He said staff would look to supplement the so-called satellite portfolio with market neutral strategies in 2011. "We are just beginning to discuss how to approach that," he said.
Separately, Larsen said staff has been working over the past year to add liquidity to its alternatives portfolio in part by using exchange traded funds as overlays.
He said the scheme has used real estate and forestry ETFs to manage its exposures in both asset classes. Public equity overlays are used to manage its exposure within private equity.
Sampension has a policy of having a 10% liquid allocation to these asset classes.
"The liquidity we're talking about is most important in our lifecycle product, which is 25% of our total portfolio," said Larsen. Sampension has €16bn in assets under management.
The life cycle product invests €400m in real estate, €110m in private equity and €200m in forestry.
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