Acadian Asset Management LLC, a Boston-based asset manager, has, with over 30 years’ experience, developed and refined its expertise in quantitative equity selection across global equity markets. With assets under management of over 80 billion euros, Acadian already serves several of the largest funds and companies.
Acadian has developed a very interesting tool for forecasting share returns, based on signals it has developed in-house. It differs from the approaches used by both our smart beta managers and our more traditional active managers, and will therefore be a truly exciting addition to our equity portfolio. The fact that Acadian also bases its processes on sound research has only made the decision easier.
Equity fund manager using alternative methods
Acadian analyses up to 20,000 companies every day. The number of companies analysed and the speed at which they are analysed differ significantly from traditional stock selection. To capitalise on price anomalies and predict share returns before the market picks up on the same signals, Acadian needs to stay at the forefront of technology and the testing of new signals.
“Predicting share returns is difficult, and quantitative share selection using new techniques, such as machine learning, can quickly become a ‘black box’. To assess where the results come from, it has therefore been important for us to choose a partner with transparent and comprehensible procedures,” says Kristoffer Birch.
Whereas a traditional equity fund manager often ignores short-term share price movements in order to focus on companies’ long-term growth potential, Acadian seeks to anticipate short-term movements using high-frequency data of both a traditional nature (e.g. price-to-earnings ratio) and more alternative methods such as quantitative text analysis of company announcements, etc. The aim is to identify overlooked companies showing positive signals that can drive returns over a 3–6-month horizon.
Investment of both Cost-of-Living Allowance funds and holiday allowance funds
Acadian won the contract in competition with 10 other international investment firms, all of which submitted bids in LD Pensions’ EU tender. Both funds managed by LD Pensions – The Cost-of-Living Allowance Fund and The Holiday Allowance Fund – will benefit from the forthcoming collaboration with Acadian. The management of LD Pensions’ assets will commence in autumn 2020 at the earliest.
LD Pensions currently manages DKK 35 billion, which stems from the contributions made during the period of high inflation in the late 1970s. In 2020, LD Pensions began managing holiday allowance funds from the transitional year leading up to a new holiday legislation. This amounts to a total of DKK 40 billion, which will be partly invested in securities and partly held as receivables from employers.
