Henrik Olejasz Larsen - Morningstar

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Sampension in briefIndustry-wide collective pension schemesOwnershipNon-profitRun-off portfolio of DB (2/3) and active DC (1/3) inthe form of life cycle variable annuity typeMembers – 300.000, primarily white-collarworkers in municipalities and central governmentMunicipalities47%Labourunions50%Balance pr. 31. 12. 2012: 28 bn EURRegions3%265 employees, Copenhagen, Denmark2
The talk in three sentences plus…Three observations:• The most certain alpha-source isinvestment costs - and it is negative• Diversification is said to be the onlyfree lunch - but it is not free• Low risk assets can give high yields• … and conclusions on how this isreflected in our portfolio construction3
Page 1: Gettingalpha frombeta
Page 5 and 6: Investment costs: Trails and tribul
Page 7 and 8: The Sampension Case: SeparationSepa
Page 9 and 10: Alpha or alternative betas?• Cons
Page 11 and 12: The Sampension Case: Alternative be
Page 13 and 14: Low liquidity is an option foregone
Page 15: For comments: Please contact hzl@sa

Henrik Olejasz Larsen - Morningstar

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