SWEDEN - The Third Swedish National Pension Fund (AP3) is to restructure its asset management operations to enable the implementation of its alpha-beta separation strategy.

In a statement AP3, one of the Swedish pension buffer funds, confirmed the organisational changes will take place from June and will mark the transition from an asset management structure based on asset classes to one consisting of alpha and beta separation.

AP3 currently has around SEK 224.9bn (€24.1bn) of assets under management, but from this month the asset management will be split between an alpha group and a beta group.  

The beta group will consist of all staff involved in internal and external beta management - returns from market exposure - and will include equity and fixed income management and fundamental-based passive, enhanced and equally-weighted equity mandates.

As a result, the alpha group will include all internal and external management of Swedish equities, fixed income, foreign exchange, tactical asset allocation mandates, active equity mandates and global tactical asset allocation mandates (GTAA).  

The restructure will place Hans Ericsson as head of beta management  while Olle Bastmark is in charge of equities and derivatives execution, alongside four portfolio managers with responsibility for a number of specific areas including short-term asset allocation, external mandates, cash management, repo and foreign exchange and quantitative strategies.

Lars Orest, meanwhile, is head of alpha management, overseeing nine portfolio managers focusing on areas including short rates, credits, foreign exchange, equities, quantitative analysis and two external alpha mandates.  

That said, details of AP3's asset management structure also revealed the alternative investment section remains separate under the management of Bengt Hellström.

AP3's decision to pursue an alpha-beta separation strategy follows a similar move by AP7 - the default fund of the Swedish Premium Pension system - three years ago, and is designed to maximise returns by focusing on ‘pure alpha' returns.

At a recent conference, Erik Valtonen, chief investment officer at AP3, confirmed the pension fund was investigating the possibility of investing in reinsurance products and liquidity products. (See earlier IPE stories: AP3 mulls reinsurance and liquidity and AP3 sceptical about hedge fund replicators)

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