Dutch quant manager, Robeco, has joined the Government Superannuation Fund (GSF) global equities panel, filling a gap left vacant by the now-defunct UK psych-conscious investor, Ardevora, last December.
In its just-published annual report, the GSF reveals Robeco, which also advises a portfolio for the NZ Superannuation Fund, came aboard at the end of July this year.
Robeco shares the $2.7 billion GSF international shares portfolio management duties with six other firms including T Rowe Price, Hyperion, Arrowstreet, Pzena, Lazard and QTron.
The Annuitas-managed fund, established to defray the cost of several government-related defined pension schemes, exited Ardervora last December a month before the UK manager closed shop. Westpac/BT also replaced Ardevora with Schroders from its KiwiSaver and other funds in October 2023.
Ardevora saw funds under management shrink from £10 billion at the end of 2021 to £1.4 billion two years later as institutional investors bailed on the group.
In a statement this January, Aredvora said: “After 38 years of working together managing assets for institutional investors around the world, employing a unique investment approach based on behavioural psychology, Jeremy Lang and William Pattisson have decided to stop managing money for third parties.”
Aside from the global equities swap, the GSF made one other manager change during the 12 months to the end of June this year, removing Credit Suisse (Europe) from a life settlements allocation: Apollo remains as the sole manager in this asset class.
Anne Blackburn, GSF chair, says in the report that the fund “returned 14.3% in the year to June 2024, net of investment management fees and before tax”.
“This is a strong outcome relative to the 4.7% return for New Zealand Government Bonds but lagged behind the 14.9% return for the Fund’s benchmark Reference Portfolio,” Blackburn says.
But after falling behind even its NZ bond return target from 2008 through to 2020, the GSF has climbed above that long-term benchmark after recording four years of relatively good performance.
Since inception in 2001 the fund is now about par with the reference portfolio, reporting annualised returns of 7.5 per cent.
Net-of-fees, the GSF is “comfortably ahead” of the reference portfolio for the three- and five-year periods, the report says, while attributing the most recent one-year benchmark miss to its global private equity allocations.
“In large part this is due to the private markets not having exposure to the surging AI related listed equities that drove the public markets higher. The Fund’s investment in alternative assets, such as insurance-linked securities were also strong contributors this year, significantly outperforming their funding sources.”
The roughly $856 million GSF global private equity portfolio was up 3 per cent year-on-year compared to 23 per cent for its benchmark: all other asset classes outperformed respective benchmarks net-of-fees.
Blackburn says in the report that in “the year ahead, we will review our risk appetite to ensure that the overall risk level of the Fund remains acceptable”.
“We continue to review regularly the investment assets of the Fund to confirm they remain fit for purpose,” she says.
Both Annuitas-managed government-associated defined benefit schemes – the GSF and the National Provident Fund (NPF) – are in sunset mode with contributors and pensioners set to fade away.
Blackburn says Annuitas along with the GSF and NPF boards “have initiated a long-term strategic options review to consider how we can best navigate through this declining membership”.
In July this year the GSF also named Fisher Funds responsible investment specialist, Rebekah Swan, to the board, replacing long-time incumbent, Angela Foulkes.
Meanwhile, Ed Schuck, ended a nine-year stint as chair of the now almost $1.8 billion NPF in June with Louise Edwards stepping into the role as of July 1 and Michelle Tsui arriving as a new director.