PKA, Hellerup, Denmark, hired Acadian Asset Management to run a $450 million managed volatility strategy, said Claus Joergensen, head of equities.
Funding comes from a broad restructuring of the equity portfolio that began in 2012, in which PKA adopted an investment process that allocates to 17 different risk premiums within the equity portfolio rather than using traditional strategic allocations to regions, Mr. Joergensen said.
“The main objective is to lower the risk allocation to equity beta,” Mr. Joergensen said. “That freed up the risk budget for other parts of the portfolio.” PKA, which is owned by five Danish occupational pension funds, managed about 200 billion Danish kroner ($36 billion) at the year-end 2012.
Overall, the equity portfolio decreased to about 18% of total assets compared to 28% during 2012, with the difference primarily shifting into credit, alternatives and cash.
Deutsche Bank, J.P. Morgan Asset Management's global multiasset group and AQR Capital Management advised PKA on the portfolio restructuring.
PKA returned 13.7% for the year ended Dec. 31, compared to 9.4% the previous year.