Qualitative metrics drive post-crisis pension fund asset allocation


The failure of metrics such as value-at-risk and correlation matrices to accurately predict portfolio performance in the financial crisis has led a number of leading European pension funds to take a more qualitative approach to their strategic asset allocation.

According to Andrejs Landsmanis, head of strategic asset allocation at the Stockholm-based First Swedish National Pension Fund (AP1), VAR and correlation matrices can only give indications of risk and on their own are insufficient to give