“In external alpha we are going to go out and actively, within an alpha framework for the first time, look at direct portable alpha strategies,” Fredrik Martinsson, ATP’s CIO for alpha said. “I am on my way to set up a qualified and dedicated team to run that business.”

The alpha portfolio, which started operating at the beginning of the year, also plans to expand its number of internal teams from six to 10. The fund recently also poached a global macro team from the proprietary trading desk at Merrill Lynch.

“I think that there are some good products out there and I think that it is quite interesting to see the divergence of traditional and hedge products,” continued Mr Martinsson. “The way to capitalise on what is happening now is to understand the segments of the market and to try to capitalise on them, getting the skills but not being forced to pay to the full premium for getting access to those skills.”

The fund began to separate its portfolios into alpha and beta components some 18 months ago. That project, the implementation phase of which is due to end formally at the end of the year, follows ATP’s 2003 decision to hedge its nominal guarantees with DKr300bn (€40.2bn) of euro-denominated interest rate swaps.

The beta portfolio borrows liquidity from the hedge portfolio at market rates, and in turn lends securities to the alpha portfolio. The alpha portfolio, which is run close to market neutral on a long-short basis, aims to deliver DKr3bn in alpha by 2009 – two thirds from internal sources and one third from external sources (see p28).

LK

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