ATP’s CIO Henrik Gade Jepsen Discusses Risk and Innovation

May 03, 2016 by Loch Adamson

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In May 2015, Henrik Gade Jepsen, chief investment officer at ATP Groep, Denmark’s biggest pension fund, received a lifetime achievement award at Institutional Investor’s European Awards ceremony at the Park Lane Hotel in London. The honor recognized Jepsen’s efforts to drive innovation at the $116 billion fund. Not one to rest on his laurels, the 53-year old Dane was already working on a fresh overhaul of ATP’s investment model even as he ascended the podium to collect his prize. Over the course of 2015, Jepsen and ATP’s CEO Carsten Stendevad oversaw the implementation of an ambitious new investment framework. Since 2006, ATP has divided its assets between a hedging portfolio, designed to match its liabilities, and an investment portfolio, which targets absolute returns. Until this year, the fund organized its investment portfolio using five risk classes — commodities, credit, equities, inflation and interest rates — which broadly corresponded…

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