European Institutional Investor of the Year PUBLIC SECTOR

Developments at the £9.3bn (€10.9bn) Strathclyde fund over the past year have taken place in currency overlay, private equity and responsible investment. In January 2008 the pension fund increased its currency overlay strategy, launched in 2006, from a notional exposure of £450m to £1.1bn.

The scheme uses three currency overlay managers: Record, BNY Mellon and Millennium. The fund also increased its private equity exposure through Partners Group towards a targeted 5% with no ‘J-Curve’ effect (when an investment initially worsens before rising to higher than the starting point). Strathclyde said this was a significant achievement and its selection as winner of this category shows that judges agreed.

By the end of 2007, Partners had returned 10.5% against a benchmark of 5.3%.

Click the screen for a video of the award presentation.

West Midlands Pension Fund (special commendation)

Following a 2007 actuarial valuation the £7.4bn (€8.7bn) West Midlands fund undertook a major review of its investment strategy. This led to a substantial increase in its allocation to alternatives, which modestly reduced risk and increased returns by a similar amount.

It is within alternatives that the fund makes most use of specialist asset managers, as West Midlands believes that manager skill is most prevalent in these assets. Judges liked the fund’s aim to generate 60% of alpha from 25% of the fund. They also noted the fund’s management of its risk budget. Officers use the risk budget prudently, only looking to exceed market returns where probability is in the fund’s favour, being reluctant to pay high fees in return for beta.