NETHERLANDS - PGGM, the asset manager in charge of the €88bn assets of the Dutch health care pension fund PFZW, is likely to halve its 8% target allocation to alternative beta.
Suzan Peeters, senior investment manager for the pioneering portfolio of strategies, told the Asset Allocation Summit 2008 in London PGGM, recently created by PFZW, is planning to cut its target to 4%.
Asked if PGGM still would maintain its course to the initial target allocation of the portfolio, Peeters said: "We currently think that 8% is not realistic anymore - it is too high."
PGGM so far has reached a 3% allocation, having launched its pioneering portfolio of strategies in 2005 under the leadership of the recently departed Jelle Beenen.
Peeters said PGGM is currently reassessing the target, adding "we will go back to our board to come up with a more realistic target".
Beenen, former head of alternative beta and now with consultancy firm Mercer in the Netherlands, told IPE in April that investor flight, as displayed during the recent market turmoil, negatively affects PGGM's portfolio of strategies. (See earlier IPE article: Investor flight affects PGGM's diversification strategies)
Beenen outlined at the time how in stress scenarios investments focused on a spread portfolio of innovative strategies can suffer, arguing "liquid' strategies hit us."
"You can see an effect that - now that others are also diversified - shows we are dependent on the behaviour of other investors," he said.
Beenen suggested the "running away from certain strategies by investors" has a negative impact on the strategies portfolio of PGGM.
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