There are few jobs in European finance that come with as much pressure as the one Kasper Ahrndt Lorenzen took up on June 2. As incoming CIO of Denmark's national pension fund, Lorenzen is responsible for the state retirement benefits of his 5.6 million countrymen and women – and he has something of a legacy to live up to.

At the end of 2015, ATP could boast an average annual return of 9% over a 20-year period that contained two sizeable market downturns. This performance was largely due to a sophisticated investment approach that uses risk factors, rather than traditional asset classes to access returns. The approach won ATP the pensions category in Financial News' 20th Anniversary Awards on May 26.