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Strathclyde pension scheme to adopt top-down strategy

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  • Strathclyde pension scheme to adopt top-down strategy

UK - One of the UK's largest local authority pension schemes is to implement a new portfolio rebalancing strategy designed to better manage its fund.

The £7.6bn (€9.3bn) Strathclyde pension scheme has revised the way in which it monitors asset and fund weightings to ensure they do not stray too far from its long-term strategic benchmark.

The latest rebalancing strategy - devised by consultants Hymans Roberts, in conjunction with Strathclyde's internal Investment Advisory Panel - moves away from considering weightings at an individual portfolio level and instead takes a more macroeconomic, top-down view.

The scheme said: "Where the existing strategy focuses on rebalancing at individual portfolio level, the revised version takes a three-stage, top-down approach, looking in turn at asset class, mandate type and individual portfolio."

Strathclyde has not changed its passive rebalancing strategy since 1998, when it first moved to a customised benchmark, which is set at 73% equities, 15% bonds and 12% property.

Further, Strathclyde has made small alternations to its investment management arrangements by switching £75m away from equity manager Genesis, whose £320m holding was overweight at the end of March.

The money will be apportioned to Aberdeen's underweight property fund, although this may yet be rebalanced once Strathclyde hires an additional property manager later this year.

In a separate move, the Scottish public-sector fund has rejected proposals for appointing a responsible engagement overlay manager alongside membership to additional industry SRI initiatives or forums.

The rejections come despite failings by managers Alliance Bernstein and Lazard to comply with Strathclyde's policies on engagement and voting activity.

Strathclyde's investment committee said: "The panel discussed a paper proposing the fund consider appointing an engagement overlay provider and joining one of the responsible investment industry initiatives.

"It was agreed this was likely to improve the fund's United Nations principles for responsible investment standing, but would entail additional cost with no guarantee of any real performance improvement."
 

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