PenSam, the Danish labour market pension fund, has completed the appointment of Boston-based Man Numeric to run a €3bn climate equities brief that was previously managed by Amundi.
The €28.9bn pension fund runs two equities strategies against a tailored version of S&P Dow Jones’ Carbon Budget Indices. The tailored index targets 70% decarbonisation against its parent, with 7% annual reductions.
French asset management giant Amundi was originally appointed to run a passive fund tracking the index.
But PenSam formally terminated that contract last week in favour of an active strategy managed by Man Numeric, a Boston-based quantitative investment house owned by UK-listed Man Group, an appointment first reported by IPE earlier this year.
“We have been really happy with Amundi,” said Henrik Lorin Rasmussen, PenSam’s chief portfolio manager. “But [we] wanted a more active approach.”
The new DKK24bn (€3.2bn) strategy has tracking error constraints built in to keep its performance within 2% of the S&P climate benchmark at all times.
PenSam’s other climate fund, which is also based on the S&P carbon budget benchmark, will remain managed by Nordea Asset Management for the foreseeable future.
That DKK30bn mandate is also actively run, with similar tracking error constraints built in.
PenSam created its low-carbon benchmark with S&P at the start of 2024, having previously used a climate index from MSCI.
It takes the remaining global carbon budget, as estimated by the UN’s Intergovernmental Panel on Climate Change, and works out the level of decarbonisation required by a portfolio to meet net zero by 2050.
At the time it announced the new index, which has been customised to include a more aggressive decarbonisation pathway than the S&P parent, PenSam’s chief investment officer, Claus Jorgensen, said it would enable the pension fund “to achieve our climate objectives in a credible way”.
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