Interview – ATP


INTERVIEW – MIKKEL SVENSTRUP


“Given the size of ATP, it is hard to be a nimble hedge fund operation.”


The chief investment officer of the £109bn Danish public pension fund ATP, talks to Andrew Holt about factor investing, the attraction of Danish equities, a bad year for bonds and why an investment return of 35% is okay.


What is your investment approach? Our investment strategy operates through a factor lens targeting four risks: equity, rates, inflation and, what we call, other risk. Within each factor we try to create a global, diversified and balanced exposure. The equity portion consists of Danish equities, globally-listed equities and vari- ous forms of private equity. We try to balance that, given the nature of the way we trade – we do not trade actively in the traditional benchmark sense – as a


12 | portfolio institutional | June 2022 | issue 114


long-term owner. And when you look at the international portfolio, it is also a risk- balancing tool.


Why do you have an allocation to Danish equities?


There are two reasons. Danish equities have been a fantastic investment during the past 15 years. It is one of the best per- forming asset classes we have. It is also the nature of ATP. We have an in-depth knowledge of all Danish compa-


nies – we know their leadership – and nat- urally, we know the country very well. We are not big believers in alpha, but one of the places where there is alpha for us is Danish equities, given our insight into the local market.


What exposure do you have to inflation- linked instruments?


The inflation factor is roughly 15% of our risk, so quite a lot when compared to a traditional 60/40 portfolio.


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