SWEDEN - AP3, the SEK212.2bn (€22.9bn) third Swedish buffer fund, has appointed 12 managers within global tactical asset allocation (GTAA) as it seeks to diversify its active risk-taking.

Selected managers are Aspect Capital, Bridgewater Associates, La Compagnie Bejamin De Rothschild, Crédit Agricole Asset Management, Goldman Sachs Asset Management, INVESCO, IPM, Lehman Brothers Asset Management, Mellon Capital Management, Morley Fund Management Group, PanAgora Asset Management and Sinopia Asset Management.

Erik Valtonen, chief investment officer of AP3, said the fund was in discussions with a handful of managers on the approved list with the intention of building a GTAA portfolio.

He said AP3 planned to activate “at least three mandates with different investment styles” but would not reveal how much would be allocated, or how the briefs would be funded.

“An important part of the risk budget has been allocated to GTAA alpha,” Valtonen said.

“The reason why we went into GTAA is the need to diversify our active risk taking. GTAA is a good source of alpha and the information ratios historically have been reasonably good.”

This move is in line with AP3’s new alpha strategy, in which alpha exposure will be predominantly through overlay mandates.

Following a portfolio review in 2006, the fund opted to separate alpha and beta, with the beta exposure provided through passive and enhanced management.

Valtonen said AP3 was investigating GTAA funds, which typically are high risk with a tracking error of around 20%, total return swaps and segregated accounts.

“All the solutions are capital effective,” he said. “Long-only equity management ties up a lot of capital but GTAA doesn’t.”

In March, AP3 tendered for external managers for global enhanced indexing.

Valtonen said the procurement process was still in the “early stages”.