AP7 reviews quant index fund and manager
SWEDEN - In a push for diversification, the Swedish AP7 buffer fund has rearranged its quantitative index fund, while reviewing the position of State Street Global Advisors (SSGA) as its investment manager.
"We used to have one passive manager [SSGA] for the whole fund which included a Sweden, a US or America and a Europe mandate," said AP7 executive vice president Richard Grottheim.
He added because of the fund's growth from SEK15bn (€1.62bn) to SEK85bn in the past six years, AP7, the Swedish national fund for the PPM first pillar pension system, had decided to diversify.
"Not all of it is passively managed, but a large part, so we decided it was better to diversify the passive between three managers," said Grottheim.
State Street will still have one-third of the American, the European mandate and the Swedish mandate, but earlier this month AP7 awarded the remaining two-thirds of the American and the European mandate, worth around €2bn, to Northern Trust Global Investments (NTGI).
Swedish provider Handelsbanken has been appointed to run the remaining Swedish mandate.
NTGI said in a statement today the European mandate would be invested in an adjusted FTSE All-World Europe Index, while the American mandate is to be invested in an adjusted FTSE All-World Americas Index.
Asked if the fund contemplated any more changes, Grottheim outlined appointments for its pure alpha plans, whereby the fund will depart from a long-only approach to alpha/beta separation.
The fund told IPE last November it was in the process of retendering equity mandates after the five-year contracts of the incumbent managers SSGA, Carlsson Investment Management and Goldman Sachs Asset Management (GSAM) had expired.
The fund explained at the time it had asked managers to consider pure alpha instruments.
Grottheim today said AP7 had replaced Carlsson on the Swedish mandate with Danske Bank and Carnegie Asset Management
"In Japan we already have Nomura and we will appoint one more manager quite shortly," Grottheim said. "The same thing for Asia Pacific; today we are with Schroders, but there will be one more."
In the alpha/beta separation, the fund will add also another manager to the European portfolio, currently managed by Goldman Sachs Asset Management (GSAM) and Axa Rosenberg for long only.
"The GSAM mandate will be split up into two and that will be pure alpha," according to Grottheim.
The fund plans to make the appointed at the end of October.