ABN AMRO Pensioenfonds has raised the exposure of its investment portfolio through derivatives, IPE reports. The retirement system has increased the exposure of its matching portfolio by 10.9% compared with its market value.
The move by the lender’s pension fund is part of its dynamic re-balancing policy, aimed at adjusting the risk/return ratio of the matching portfolio and return portfolio. The €10 billion pension fund of ABN AMRO has around 78,000 participants.
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