NETHERLANDS - Goldman Sachs Asset Management has been awarded a global tactical asset allocation mandate from PGGM worth a notional one billion euros.

GSAM said it has been appointed by the 53 billion-euro Dutch health care pension scheme "to manage a substantial global tactical asset allocation mandate using derivatives".

It said: "The allocated risk to this portfolio is the equivalent of one billion-euros notional with approximately four percent targeted tracking error."

PGGM spokeswoman Ellen Habermehl said: “Via this overlay-product we expect a higher performance with our tactical asset allocation strategy. After an extensive searching process GS came closest to the profile we had in mind.” She said the fund did not use a consultant.

"PGGM has been very forward looking by incorporating a GTAA programme as part of their active risk budget," said Mark Carhart, co-chief investment officer of quantitative strategies for GSAM.

"PGGM's search process was one of the most extensive we've been through, so we are particularly excited to have been chosen as their first manager in this area."

GSAM said its GTAA team won 11 new mandates in Europe last year, and three so far this year.
It has a notional 31 billion euros in GTAA assets under management.

It said PGGM's approach to overlay mandates is to retain the management of the underlying capital, which Goldman says further increases capital efficiency.

"We are seeing increasing demand for GTAA mandates from continental European pension funds, particularly in Holland," said Pepijn Heins, GSAM's head of institutional business development in the Netherlands.

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