SWEDEN - The SEK80bn (€8.8bn) Swedish buffer fund AP7, Sjunde AP-fonden, has chosen Danske Bank for its pure alpha mandate.
For the new approach - which AP7's head Peter Norman outlined on an IPE online symposium last year - the fund will allocate SEK2bn (€217m).
"We do not get any money - we just get a risk budget, so to say," said Mikael Nordberg, managing director of Danske Capital Sweden.
"We are selling short in the market for around SEK1bn and buying long for the same amount so the maximal exposure we can have is SEK2bn."
AP7 is expecting an annual return of SEK20m. The mandate forbids the use of derivatives. Danske Capital, the asset management arm of Danske Bank can only short-sell individual stock or the ETF fund based on the Swedish OMX XACT index.
It is the first mandate for Danske Capital with a major Life and pension provider in Sweden.
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