The pension fund has already expanded into a wide range of alternative assets, including a number of more exotic asset classes.

“The only thing we don’t really have is hedge funds. A lot of what hedge funds can achieve, we already have in the portfolio,” said Leif Hasager, chief investment officer at Bankpension. However, the diversification effects of adding hedge funds have made him reconsider the asset class.

“If you get the right diversifier, you can even appoint a hedge fund manager with negative risk-adjusted returns, because you get the diversification benefit. But I don’t really believe in hedge funds as pure return drivers,” he said.

If Bankpension is to make the move, it would probably be in a few selected hedge fund strategies that would match its other positions in the portfolio, such as global macro, relative value strategies or equity short strategies.

Mr Hasager added that the fund will continue to add to its portfolio of more unusual assets. He is currently looking at agricultural funds, shipping funds and insurance-linked securities. Bankpension has on average about 0.5 per cent invested in most of the smaller asset classes.

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