Entering volatility
ABP, one of the world's largest pension funds, has launched an in-house volatility portfolio. Johannes van de Wetering, head of the new initiative, talks exclusively to Risk. By Jayne Jung
ABP is no stranger to hedge fund strategies. The EUR196 billion Dutch pension scheme - the full name of which is Algemeen Burgerlijk Pensioenfonds - has been investing in hedge funds since 2001. It currently has around EUR5 billion allocated - three-quarters of which is invested with more than 30 managers, while the remainder consists of investments in a handful of funds of funds.
Separately, ABP Investments, the pension scheme's investment arm, has built its own expertise in derivatives trading
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