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Sweden’s AP1 raises currency exposure to 20%

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SWEDEN - The 139 billion-crown (15.2 billion-euro) Swedish buffer fund Första AP-fonden says it has raised the currency exposure in its strategic benchmark to 20%, from 15% previously.

“The board of Första AP-fonden has decided to increase currency exposure in the fund’s strategic benchmark to 20% (previously 15%) during the first quarter of 2004,” AP1 said.

“After the completion of new ALM analyses (asset liability management), the board has decided to revise the strategic benchmark, i.e. the portfolio that is expected to give the fund the best potential to fulfil its long-term obligations in the pension system.”

The fund, which returned 16.5% in 2003, added that the spread of currency exposure between different currencies would also be adjusted. “The most significant change involves a reduction in the proportion of US dollars in favour of euro.”

“All in all, these adjustments are expected to decrease total risk in the strategic benchmark and improve protection of the Swedish pensioners’ long-term buying power.”

AP1’s strategic benchmark comprises around 70% foreign assets and it is composed of 57% equities, 40% fixed income and three percent alternatives.

The fund said recently said recently that it plans to research hedge funds. In April it appointed six asset managers to run around 300 million dollars in active US small-cap equities.

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