SWEDEN - Andra AP-fonden, the roughly SEK190.6bn (€20.5bn) Second Swedish National Pension Fund (AP2) today announced it has allocated 15% of its US equity portfolio to fundamental indexation.

The move could also see the scheme allocate a portion of its Swedish equity portfolio – accounting for 20% of the total portfolio - to a fundamental indexation strategy, said newly appointed chief investment strategist Thomas Franzén.

According to a spokesperson for the scheme, some SEK4.3bn or €469m was allocated to the Research Affiliates Fundamental Index (RAFI).

He told IPE that the decision was based on “performance that has been quite good”, and that fundamental indexation was thought to complement traditional active management.

According to AP2, there is currently “no grand master plan” as to when it will decide to allocate domestic equities to fundamental indexation or whether and when it might increase its US equity exposure.

“We haven’t decided yet, but both is possible,” said the spokesperson.

The decision to allocate US equities to fundamental indexation followed months of research by the scheme.

“We’ve been looking at this for quite a long time. The decision was taken by the board in June,” the spokesperson told IPE.

At the end of June, AP2 appointed former asset allocation head Tomas Franzén chief investment strategist. It also named former equities chief Poul Winslöw as new chief investment officer.

Winslöw took over the day-to-day CIO responsibilities along with his role as equities head following the unexpected resignation of former CIO Petter Odhnoff in March. Odhnoff quit amidst allegations of tax irregularities following an audit conducted by the Swedish tax authorities.


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