ATP's revamped hedge strategy passed first test: "So far, it looks quite nice"

One of Europe’s biggest pension funds says a strategy it’s developed to tackle risk in an era of ultra-low interest rates just proved it holds up under the most extreme conditions.

"We make strategies and we backtest them and they seem to work, and then the very big test is the live test: how does it work in real life? So far, it looks quite nice," Christian Kjær, head of liquid markets at ATP, said. | Photo: PR/ATP

ATP of Denmark switched to a market-neutral hedging strategy toward the end of last year, after its existing model failed to keep pace in a world dominated by never-ending monetary stimulus.

In March, when markets went into a state of shock due to the spread of Covid-19, ATP got a chance to see just how crisis-resistant the new strategy is.

"It actually worked," Christian Kjær, head of liquid markets at ATP, said in an interview. The experience was “reassuring,” he said. Recently named Europe’s best pension manager, the EUR 124 billion ATP fund has acted as something of a bellwether for its peers as it figures out how to navigate through a once unthinkable rate environment.

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