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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