Henrik Olejasz Larsen - Morningstar

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Investment cost: Observations on feesManagementfees• Can be negotiated• Cost benefits from concentration• Cost benefits from index-near stylePerformancefees• Not on index-near mandates• Performance fees as a portfolio ofwritten options – diversification is costlyTherefore• Be conservative in selecting activestrategies• Diversify, but don’t overdo it4
Investment costs: Trails and tribulationsTransactioncosts•Lower in index-near strategiesTransitions•Our experience is that you will experience morechanges than you might think•Why ? Non-persistence of performance, changes inregulation, taxes and your own strategy•Passive strategies are less likely to disappoint. Evenwhen transitions might be necessary with passivestrategies, they are cheaperTherefore•Separate alpha from beta and keep core portfolio inindex-near strategies•Reduce rebalancing costs, rebalance even less in illiquidassets, use derivative overlays and ETF’s for fine tuning5
Page 1 and 2: Gettingalpha frombeta
Page 3: The talk in three sentences plus…
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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