Warum Hedgefonds in ein Pensionskassenportfolio gehören: Praxisbeispiel der Cassa Pensioni di Lugano (CPdL)

Author: Patrick Coggi, Francesco Franzoni, Carlo Raimondo
 

Published by VPS-Verlag

Based on the study of a ten-year track record, it emerges that allocating a portion of assets to an “alternative equity” mandate similar to that implemented by BdC for CPdL can be a valid investment strategy for pension funds seeking positive returns while minimizing risk, and an alternative to a risk overlay strategy. This approach should be considered, in particular, by undercapitalized pension institutions that do not have fluctuation reserves and thus have a limited risk budget. Specifically, it is observed that a portfolio with an allocation to hedge funds achieves a significantly lower beta than a portfolio without hedge funds (0.59 vs. 0.64). This difference explains why an allocation to hedge funds limits losses during stock index drawdown periods and reduces participation in upturns in the opposite case.
In terms of performance attribution, the choice of weights for the underlying strategies of this “alternative equity” mandate has made a significant contribution. The Global Macro strategy, which was preferred by the manager during the period under consideration, allowed containing the portfolio’s volatility and diversifying real estate risk, which is notoriously not negligible in the portfolios of Swiss pension funds.