Factor investing the ATP way

Date: September, 2017

Skrevet af: Kasper Ahrndt Lorenzen (ATP) & Søren Fiig Jarner (ATP)

Published in: Finans/Invest 

Abstract: 

The Danish Labour Market Supplementary Pension Fund (ATP) manages pension assets of €100bn on behalf of the Danish population. In 2015, ATP revised its investment portfolio strategy, resulting in a new portfolio allocation approach based on risk factors rather than asset classes. The fundamental idea is that assets are perceived on the basis of their exposure to a well-defined set of common factors (risk sources), such as equity, interest rate and illiquidity factors. The labelling, i.e. the asset class, is not important. The factor approach offers a rigorous framework for composing the desired risk profile and a method for constructing a total portfolio with this profile.