NETHERLANDS/UK - Jan Straatman, the former capital markets head at Dutch pension giant ABP, has outlined his investment strategy for new London-based asset manager Axial.
Straatman was last month named chief investment officer at Axial, the new liability and asset management arm of Pearl Group. He told the Financial Times today that he believes ABP's ‘portfolio of strategies' approach can generate a superior risk/return trade-off.
"Most sophisticated investment managers are moving in that direction," he was quoted saying in an interview.
This was compared to the traditional asset diversification model. He argued the benefits of diversification are being lost, especially when there is event risk and the correlation jumps sharply. "There is nowhere to hide," Straatman told the paper.
Straatman said he has sought to identify liability profiles for each of the portfolios in his range, in terms of minimum possible return, the size of the risk budget and the maximum acceptable drawdown, to find the "most optimal set of strategies" that fits each profile.
He added that dynamically managing the shortfall risk is important, as "that is the true risk," said Straatman, who plans to hedge out uncompensated excess risk at the overlay level.
According to Straatman, this is also a good approach for pension funds, arguing: "The overall issues for a pension fund are similar. The skills needed to provide a full set of solutions are the same."
Straatman joined Pearl Group, the life assurance fund investment vehicle of the pub and pizza entrepreneur Hugh Osmond, in 2005 together with a handful of ABP-colleagues, such as Pranay Gupta.