Danish pension fund converts to risk factor allocation to maintain a robust portfolio

CIO Anders Stensbøl is in the middle of converting Velliv's numerous portfolios, totaling DKK 306bn (EUR 41bn), to a risk factor allocation strategy, primarily to ensure robustness.

Velliv CIO Anders Stensbøl | Photo: PR/Velliv

Anders Stensbøl, who has been CIO at Velliv for the past four years, has embarked on a journey that will end with the investment team making investments on the basis of risk factors instead of the traditional asset allocation approach.

The basic idea is that assets are evaluated based on their exposure to different risk factors. The risk factors can then be used to construct the desired risk profile in a portfolio.

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