The move is likely to lead to more assets managed internally and could also imply a shift from active to passive management. Sampension is currently looking to set up a system to manage an index portfolio in-house.

“When we make a more clear distinction in management style, we believe that we could manage some of the beta exposure equally well internally. That gives us flexibility and perhaps also lower costs,” said Henrik Olejasz Larsen, chief investment officer at Sampension.

However, Mr Olejasz Larsen was reluctant to go into any details about which areas of the portfolio would change.

“All of our plain vanilla fixed income, which makes up most of our fixed income portfolio, is already managed internally, but a large majority of our equities are externally managed. We have not yet communicated anything to our managers, so I don’t want to go into any details,” he said.

Mr Olejasz Larsen also indicated that the restructuring might lead to a move from active to passive management and will put more pressure on external active managers to perform.

“It may be the outcome and it’s not unrealistic that we will have more passive investments in the future. Alpha mandates will have the burden of proof as their existence is not necessary for our allocation. Reducing active management is not decided, but it may be an outcome since alpha is difficult to find,” he said.

However, Mr Olejasz Larsen denied that any shift from active to passive is related to unsatisfactory performance of external managers.

“This year, our external managers have performed very well. The shift has more to do with investment beliefs and what we think is viable in the long run as markets are fairly efficient. We are not totally convinced that we can find managers that systematically beat the benchmark yet demand low fees enough that leave anything left for us,” he said.

Sampension’s investment portfolio returned 2.2 per cent before fees for the first half of 2009. The main part of its assets is invested in fixed income, which returned 2.5 per cent. Equities and hedge funds also contributed positively to the result, while property and forestry dragged down returns.