GERMANY – Nordrheinische Ärtzeversorgung (NAEV), a €7.5bn pension fund for physicians, has awarded Goldman Sachs Asset Management a global tactical asset allocation mandate worth €60m.

NAEV said it expected GSAM to generate an additional return of 0.8% per annum on its mortgage loan portfolio. The portfolio is worth €1.4bn – or 19% of the pension fund’s assets.

The €60m mandate is GSAM’s second from NAEV for GTAA. The other one applies to a portfolio of equities and bonds whose notional volume is €815m. With that mandate, NAEV said it had generated an additional return of more than 2% between March 2005 and March 2006.

Dirk Lepelmeier, NAEV’s managing director, noted that going forward portable alpha would “play a greater role” in the fund’s investment strategy.

With portable alpha, the asset manager attempts to maximise the alpha return by investing in securities that are not correlated with the beta, or market return, of the existing portfolio.

At the end of 2005, NAEV had 49% of its €7.5bn allocated to fixed income, more than half of which were German Schuldscheine (non-negotiable loan certificates). Another 18% was invested in equities and 1% was held in cash.

A further 13% was invested in real estate, including institutional funds and direct holdings. NAEV plans to increase its exposure to real estate to 15% in the short term by investing primarily in international property funds.

The pension fund also had a net return of 4.5% under German accounting rules (HGB). Its market return was, however, much higher, as HGB requires schemes like NAEV to build reserves for sudden market fluctuations and to better finance future liabilities.

Based in Düsseldorf, NAEV provides a corporate pension to around 38,000 physicians in Germany’s North-Rhine region. It also has 12,000 pensioners.

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