Similarly, when the pension fund began investing in hedge funds in 2006 it didn’t turn to funds of funds, but instead set up an internal unit called ATP Alpha to run internal hedge funds. It now has 10 teams running 11 different strategies.
The discretionary and quantitative strategies run by ATP’s managers on a multi-strategy platform span long/short equity, equity market neutral, fixed income, global macro, relative value and foreign exchange. Now the pension fund is planning to begin allocating capital to external hedge funds to complement the $800 million allocated to internal managers. The aim is to expand this several fold in the next few years, building on a solid four year record that shows annualised returns of 9.5% and making money in more than eight months in 12.
“I think we have outperformed the broad peer group of multi-strategy funds given their underperformance in 2008 when we made money,” says Fredrik Martinsson, chief investment officer of ATP Alpha, the unit of the pension fund manager that runs hedge fund investing, in an interview. “What we are going to do now is build on that track record. We’ve proven we can produce asymmetric returns in a consistent way and we are going to continue to do it, but on a greater and greater scale. To compliment the base we have we will start to allocate capital both in terms of idea generation and risk management outside our internal boutique.”
ATP is the basic pillar of the Danish state pension system with 4.5 million members and assets under management of $80 billion. It is a mandatory system, set up by statute, and dates from 1964. In 2005, ATP broke up its existing silo structure (common to most pension funds) which featured fixed income and equities departments (the latter headed by Martinsson) as well as a tactical allocation group. Satellite investment companies were already in place for private equity and real estate.
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