The DKK20 billion (GBP1.86 billion) Danish pension fund for lawyers and economists, the Juristernes og Økonomernes Pensionskasse (JØP), increased its synthetic equity exposure by some 3% to around 25% of assets, from the low 20s, by unwinding a short call position on the Standard & Poor's 500. Henrik Frank, cio in Copenhagen, said the pension fund wrote a call at the turn of the year with a strike around 1,000 and bought the option back on June 27. The option was due to mature in December. The S&P opened at 1,007.2 on Wednesday.
The fund unwound the option position because it was concerned that its equity exposure had fallen below its strategic asset allocation of 25%. The risk of remaining underweight equity was higher than the risk of increasing the equity exposure before a minor correction in the market, Frank explained.
