​LD turns to active quant for first time, launches tender worth €134m initially

Danish pension fund manager LD Pensions has launched a tender process for a global active quantitative equities mandate for an initial amount of around DKK1bn (€134m), to be invested actively in both developed and emerging markets.

In an EU tender notice, the Copenhagen-based firm said it was important the product offered had at least €500m of available capacity at the time of signing the deal, even though it was unable to say in advance how much the mandate would be for.

LD Pensions – which runs an older scheme based on cost-of-living allowances granted to workers in the late 1970s while preparing to manage a holiday allowances fund of up to DKK100bn – told IPE this was the first time it had allocated money to active quant equity.

Kristoffer Fabricius Birch, LD Pensions’ head of equities, told IPE: “The allocation will likely be around DKK1bn from our old fund but it will increase once we get the new holiday allowance fund inflow.”

The quantitative process must be “an active, systematic stock selection process based on multiple proprietary signals that forecast equity returns,” LD Pensions said in the notice.

The intention was to generate alpha, it said, adjusted for academically-tested factors such as value, size, momentum, low-volatility and quality.

The product had to be provided as a segregated mandate, it said, and be tailored to the needs of LD Pensions by incorporating its exclusion list, tracking error and other restrictions.

It either had to be run as a global all-country product, or as a combination of a global developed markets product and a global emerging markets product, LD Pensions said, using the same quantitative model and investment process, with a close to neutral weighting of the two products versus the MSCI All Country benchmark.

The mandate is long-only, with a four-year duration and the ability for it to be renewed for one year up to three times, according to the tender notice.

LD Pensions is looking for just one manager, with the deadline for requests to participate set at 3 March.

Fabricius Birch also said: “We have invested in a smart beta fund a couple of years ago and are close to announcing the manager for our smart beta mandate to replace that fund.”