Striking the right balance
The EUR29 billion Fonds de Reserve pour les Retraites (FRR) has a mandate to pre-fund France's state sector pension liabilities between 2020 and 2040. The unique nature of its mandate means it could take a different approach to the majority of institutional investors with its 2009 triennial strategic asset allocation (SAA). Chief investment officer Nicolas Sobczak explains the rationale behind the buffer fund's reviewed SAA. Aaron Woolner Reports
Life & Pensions: Was there much internal debate when you completed your triennial review of the FRR's strategic asset allocation?
Nicolas Sobczak, chief investment officer, FRR: Yes. There was a huge debate and it was good to go through. The first line of discussion was, what is the equity risk premium (ERP) in the long run? And are we rewarded for carrying and holding risky assets in our portfolio in the long run? That means you have to question more deeply what the ERP is. Was it material, and
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