Adrian Orr feels vindicated. In February 2007 the energetic, outspoken economist took over as CEO of the Guardians of New Zealand Superannuation, the investment group that manages the country’s NZ$23 billion ($18.9 billion) sovereign wealth fund. His remit: Transform the fund from a traditional asset allocator into an agile and opportunistic investor.

Orr had been on the job only a few months when the subprime mortgage crisis erupted. Far from giving him pause, though, the crisis spurred him to accelerate the strategic shift. Adopting a total-portfolio approach, the CEO and his team created a passive reference portfolio to serve as an internal benchmark. They seek to beat that benchmark by finding investments with superior risk-adjusted returns, using tactics such as strategic tilting, or adjusting exposure to asset classes that are over- or undervalued in the expectation that they’ll revert to the mean.

The recalibrated strategy took a few years to perfect, Orr admits, but the results are starting to show. The New Zealand Superannuation Fund had its best results ever in the fiscal year ended June 30, gaining 25.8 percent. Since inception in September 2003, it has returned an annualized 8.8 percent, beating its reference portfolio by 1.14 percentage points, worth a tidy NZ$2 billion. Orr, 50, who previously served as deputy governor of the Reserve Bank of New Zealand, recently spoke to London Bureau Chief Loch Adamson.

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