DENMARK - Bankpension, a Danish fund offering company pension schemes to financial sector employees, has allocated $200m (€141m) of its assets to a value-tilted strategy run by State Street Global Advisers (SSgA).
The €1.7bn pension fund is investing its assets in SSgA's Global Valuation-Tilted strategy which adjusts portfolio weights to reflect the valuation of shares based on earnings, dividends and cash flow, instead of the traditional index approach which allocates capital based on market capitalisation.
As a result, SSgA said the valuation-tilted approach allocates more capital to stocks with below average valuations and less capital to stocks with above average valuations, and claims to offer an alternative to traditional value investing.
Leif Hasager, head of investments at Bankpension, said: "We view SSgA's value-tilted indexing as another innovative approach that will produce returns in excess of conventional benchmarks."
Jyske Invest of Denmark will administer the mandate, which SSgA said has been shown to outperform high price-to-fundamentals stock over the long-term, while also mitigating the volatility of value-and-growth-stock cycles compared to traditional value investing.
Benoît Fally, managing director of SSgA in Brussels, added: "Valuation-tilted strategies are attracting growing investor interest, as evidence mounts that their long-term returns have outpaced conventional capitalisation-weighted investing."
The pension fund currently has an asset allocation of 30% in Danish fixed income, 22% in developed market equities and 13% in emerging market equities, while the remaining assets are split between a 13% investment in real estate, 9% in high yield bonds, 5% in emerging market bonds and 7% in private equity.
However despite the diversification in the portfolio, the latest figures from Bankpension showed for the eight months to the end of July 2008 the scheme had achieved a total negative return, including currency overlay, of -9.2%, against a benchmark negative return of -8.8%.
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