Swiss Post pours more assets into anti-benchmark strategy

The Swiss Post Pension Fund has allocated an additional CHF60m ($55.5m) to TOBAM’s so-called anti-benchmark fund, the French asset manager said, reports Global Pensions. The article continues:

TOBAM head of development Christophe Roehri described the fund as a beta-prime strategy that re-weights securities within an existing index in a way that achieves the most diversified portfolio possible. It is meant to reduce volatility while adding marginal returns.

This is a second allocation to the strategy from the pension fund, which invested in the Anti-Benchmark Global Equities strategy in June 2008. Swiss Post now invests a total of CHF165m. Their investment has outperformed its benchmark by 3% net of fees since inception and reduced volatility by 20%, said TOBAM.

Roehri said: “This initiative confirms a growing trend of European institutional investors to adopt ‘intelligent’ beta solutions by arbitraging either active managers with disappointing relative performance, or passive managers, whose risk/return ratio is far from the efficient frontier.”

Officials at the CHF12.8bn Swiss Post Pension Fund could not be reached for comment.

The development of the anti-benchmark strategy stems from a belief that traditional market-cap indexes are constructed in a way that does not result in a well diversified portfolio, and can be heavily weighted towards equity bubbles.

The rationale parallels the drivers of fundamental indexes, whose supporters also point a finger at market-cap weighted indexes for favouring already over-valued companies.

Earlier this month, GP reported Towers Watson is recommending its clients invest up to half of their total passive assets in fundamental indexing.