Sampension culls active managers as part of equity revamp
DENMARK - Labour-market scheme Sampension has slashed its tally of active managers to just two from 12 as part of an equities revamp, saying the overhaul will save around DKK30m (€4m) a year.
The DKK150bn fund has switched most of its equity holdings to passive management, after discovering only a small proportion of active managers could consistently beat their benchmark.
Investment director Henrik Olejasz Larsen said: “After a big examination of the portfolio, we have only kept two active managers on.”
Sampension said it would save about DKK30m a year as a result of the equities reorganisation.
The remaining two external managers are Maj Invest for Danish shares and First State for emerging markets.
The pension scheme said it assessed all 12 of its external active managers in Denmark and abroad in the last year.
These managers were split into regions and countries, as well as small cap and large cap, and their sole task was to beat the market within their field.
The analysis came up with two overriding conclusions, Sampension said.
“Firstly, only a small proportion of active managers were consistently able to beat their respective benchmark,” said Larsen.
“Secondly, our whole portfolio was very similar to a benchmark like the world index, MSCI World. In other words, if you look at it that way, we were just following the rest of the market, albeit with a modest additional return.
“The really big problem was just that we were paying far too much in fees for something that was in the end a standard product.”
The investment team asked what it would do if it started from the point of an empty portfolio, he said.
The result was the creation of two blocks in the equities portfolio - an active one and one that was close to the index.
The vast majority of the equity portfolio now tracks an index and consists of an optimised MSCI World portfolio, as well as an optimised index portfolio with an in-built tilt toward value, small cap and low volatility.
Larsen said: “The shares portfolio is now more transparent than before. This means we can focus our energy on our speciality - the optimal allocation of equities, bonds and alternative asset classes such as property.”
Getting these allocations right was obviously much more important than a single asset class outperforming, he added.