SWEDEN - The 140.4 billion-crown (15.3 billion-euro) second Swedish national pension fund, Andra AP-fonden or AP2, is considering using derivatives “for portfolio–rebalancing purposes”.
An official at the fund told IPE that the fund was considering using options but it would not be a “sharp turnaround”, rather it would be a way of hedging risks.
The person explained that the use of options was not yet being exploited to the full in Europe, while its use was quite common in the US.
The scheme is using the derivatives expertise of portfolio manager Richard Nilsson, recruited in June from Handelsbanken Asset Management, where he was head of trading.
The official also said that at the moment AP2 invests between five and six billion crowns in futures, less than five percent of its portfolio.
“We could make a tactical use of futures but the amount of futures is not going to be very high.”
The fund returned 17.7% on its investments in 2003. It is set to release its first-half returns on August 19.
The fund said last month that it has awarded five global Tactical Asset Allocation mandates to: Barclays Global Investors, Bridgewater Associates, First Quadrant, Goldman Sachs Asset Management and JP Morgan Investment Management.
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