Railpen, the investment manager for the Railways Pension Scheme, one of the UK’s largest and longest established pension funds, has selected the Axioma Portfolio Optimizer solution to model portfolios and risk tolerence for the roughly £27bn (€29.8bn) of investments it oversees for its 350,000 scheme members.
The implementation follows the identification of a need to acquire an optimising solution that could integrate with existing proprietary data and optimisation models used for the quantitative equity strategies. In effect, Railpen required a hybrid setup, according to Tony Guida, senior investment manager at Railpen.
Sunil Rajan, managing director of International Sales at Axioma, added that technology solutions increasingly need to respond to a shift by investors towards diversified portfolios that combine smart beta strategies with passive ones.
Added Guida: “The Axioma Optimizer is central to our research and portfolio construction, the conception and the design of the library is perfectly suited for a hybrid set-up and allows us to improve our optimisation models for quant equities.”
Railpen’s investment strategy is structured to meet the demands of some 100 ‘sections’ of the overall scheme, each one of which needs to meet particular investment objectives depending on factors including the strength of the sponsoring employer, whether a particular sector is closed to new members, and what proportion of pensions are already being paid out.