To get her staff to rally round these changes, Kemna coined a theme for the new regime: ∼ontrolled simplicity would become the order of the day. In her first week on the job, the new CIO began to draw up a plan to root out any securities, strategies and investment managers that were taking on too much risk for the amount of return they were generating and causing too much volatility. Her challenge was to strike a balance between maintaining a diverse portfolio suitable for ABPs long-term liabilities and responding to the clamor for scaling back investment risk. in quantitative economics and two decades of experience in senior roles at Dutch mutual fund manager Robeco and at ING Group, Kemna was no stranger to complex portfolio management strategies. It required a drastic shift of policy, a harsh shift, she tells Institutional Investor.
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Pension regulators, trustees and pensioners were demanding change from the moment Kemna arrived at APG. This is healthy for the long-term viability of the system but difficult for current participants. When the market moves suddenly in the Netherlands, it has a much more immediate impact on pension premiums and benefits than we experience in the United States. You have a public thats angry, says Scott Evans, a member of ABPs external investment committee, who earlier this year stepped down as president of asset management at TIAA-CREF in New York. The dramatic decline in what has long been considered Europes leading pension fund, and pension system, has caused an uproar in the Netherlands and triggered widespread calls for pension managers to rein in risk. Even so, ABP remains underfunded and is likely to have to impose new benefit cuts next April. The Dutch central bank, which regulates pension funds, ordered a five-year recovery plan that forced ABP to cut retirees cost-of-living increases and increase employees contributions. ABP went from being one of the best-funded major pension funds in the world, with assets worth 140 percent of liabilities at the end of 2007, to being an underfunded plan with a coverage ratio of just 89.6 percent 12 months later. Still, the setback slashed ABPs portfolio by a hefty 44 billion, to 173 billion.Ĭompounding the impact of those losses, a change in Dutch regulations aimed at shoring up pension solvency required funds to adopt a much lower interest rate to discount their future liabilities. pension fund, and the 27.6 percent drop in Harvard Universitys famed endowment. That was relatively mild compared with the 38 percent plunge suffered by the California Public Employees Retirement System, the largest U.S.
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But the global financial crisis hammered the funds portfolio. ABP has generated an average annual return of 7 percent since 1993. Today, APG has nearly 30 percent of its funds in alternative investments, including such exotica as Amsterdam-based hedge fund seeder IMQubator and a 1.5 billion opportunity fund that holds music rights, catastrophe bonds and pharmaceuticals royalties.įor a long time, that formula worked wonders. CIOs Jean Frijns and later Roderick Munsters took advantage of a liberalization of Dutch pension rules and embraced the so-called Yale model, investing heavily in everything from international stocks and bonds to hedge funds and private equity. In the 15 or so years before Kemnas arrival, her predecessors had transformed the outfit from a stodgy manager of Dutch bonds and real estate into one of Europes most diversified, cutting-edge investors. With her no-nonsense style, Kemna has been simplifying much more than office arrangements at APG and its predominant fund, Stichting Pensioenfonds ABP, the 261 billion plan for Dutch civil servants and teachers thats the second-largest pension fund in the world. If her staff needs the space for a meeting, the CIO decamps to the nearest empty office and gets on with her work.
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Kemna works at one end of the long, blond wooden conference table and keeps her personal effects in cabinets at the back of the room.
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Her solution? She gave her corner office on the 15th floor of APGs Amsterdam headquarters to a colleague and moved into a conference room. In November 2009, after becoming CIO at APG Asset Management, which runs the biggest Dutch pension fund, Kemna wanted to bring her scattered executive team together on a single floor, but she faced a shortage of offices. OR AT least as simple as she can, considering its her job to oversee 300 billion ($376 billion) in pension assets. ANGELIEN KEMNA LIKES TO KEEP THINGS SIMPLE.