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ABN AMRO’s Geraldine Leegwater Unites Investing and Risk Management

Dual strategy delivers big returns at Dutch bank’s €24 billion fund; now CEO plots transition from a defined benefit to a collective defined contribution scheme.

Not many people have had the chance in recent years to build a new pension investment office. Geraldine Leegwater, who has spent her entire career at the Netherlands’ ABN AMRO, earned that opportunity in 2004, when the company separated its pension fund from its asset management division.

As CIO of newly created ABN AMRO Pensioenfonds, Leegwater, a former emerging-­markets equity analyst and portfolio manager at the Dutch bank, built a team of nine investment professionals and brought new ideas to the fund’s management. In 2007 she introduced a dynamic asset allocation strategy that divided the fund into two parts: a liability-matching portfolio that aims to minimize risk and a return portfolio that aims to harvest sufficient risk premia on a range of asset classes — including developed- and emerging-markets equities, credits and nonlisted real estate — to meet pension payout goals.

“It’s our belief that managing the pension fund assets is about investing and about risk management,” says Leegwater, 43. “It’s about managing the balance sheet, taking into account both sides of it.” The split between the two portfolios is revised every year according to the funding ratio of the fund. During her ten-year tenure as CIO, the now-€24 billion ($25 billion) fund delivered an annualized return of 9.4 percent.

Promoted to CEO of the fund last summer, Leegwater is now responsible for a team of 60 professionals, involved in all aspects of managing the pension fund, including investments, liability management, administration and communication. The new CEO is transitioning the plan from a defined benefit scheme to a collective defined contribution scheme and putting in place a new, one-tier governance structure combining investment professionals and nonexecutive board members–stakeholders.

This profile is one of 12 written for our 2015 European Investment Management Awards, which honors some of the best investors in the business. See also profiles of Lifetime Achievement Award winner Henrik Gade Jepsen, Centrica’s Chetan Ghosh and Lancashire County Pension Fund’s Michael Jensen. Check back tomorrow to read about Varma’s Reima Rytsola and AP4’s Magnus Eriksson.

Follow Frances Denmark on Twitter at @francesdenmark. Visit her blog, “Inside Edge.”

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