NZ Super awards AQR $500 million for factor-based strategies

The NZ$32.7 billion ($23.4 billion) New Zealand Superannuation Fund hired AQR Capital Management to actively manage $250 million each in customized factor-based equity strategies targeting value and low risk, the Auckland-based fund announced Wednesday.

Simon Wills, a Sydney-based managing director with AQR, said in a telephone interview the New Zealand Super allocation calls for the value and low-risk strategies to be managed separately. AQR won't be making any factor-timing decisions on NZ Super's behalf, he said.

The AQR hire follows the fund's initial two factor-based allocations last August of NZ$300 million each for Northern Trust Asset Management, confirmed Catherine Etheredge, a NZ Super spokeswoman, in an email. The Northern Trust allocations likewise covered value and low risk.

The AQR allocation was funded from cash, said Ms. Etheredge.

Roland Winn, manager-investment analyst with NZ Super, said in a June interview that factor-based strategies could grow to be a “material portion” of the fund's portfolio over the next 12 months.

In a separate interview Wednesday, Matt Whineray, the fund's general manager and chief investment officer, didn't rule out further allocations. But for now, he said, the fund is looking to become more familiar with how its initial factor allocations have been constructed and how they perform.