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Pension fund risk manager of the year: PKA

Danish fund makes the case for a new breed of patient, unleveraged arbitrageur - capitalising on structural dislocations in equity repo rates, volatility and basis swaps

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The team (L-R): Jannik Teigen Hjelmsted, Lea Vibeke Nielsen, Nils Ladefoged, Lene Rasmussen, =Hugo Groos, Claus Jorgensen and Line Vestergaard

Banks and hedge funds are the traditional arbitrageurs in derivatives markets, but both have taken a step back in the past year – banks because the Volcker rule requires them to shut down the proprietary trading desks that used to run these strategies, and hedge funds because arbitrage generally requires a lot of leverage to be profitable, and financing is now harder to come by and more expensive

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