Copenhagen-based Unipension is in the process of redeeming from its hedge fund holdings.
The plan, which runs around $15 billion, had invested between 1% and 2% of its total assets at the start of 2007 in a fund of funds managed by Cheyne. It had intended to increase the holding going forward.
However, Unipension has found that the holding failed to deliver the expected diversification benefits during the financial crisis of 2008. In addition, a lack of transparency made it difficult to calculate the risk in underlying positions.
As a result, the plan is in the process of divesting from