NETHERLANDS – TNO, the €2.5bn pension fund for the Dutch Institute for Applied Technical Research, has lost 2% on investments over the second quarter and nearly -0.5% year to date.

The pension fund conceded that private equity was the only asset class in its portfolio to generate a positive return over the period.   

Private equity holdings returned nearly 1.9%, while listed equities lost more than 2.3%.

The Stichting Pensioenfonds TNO attributed the more than 1.8% loss on its fixed income holdings to the US central bank chairman’s recent suggestion that it would scale back its government-bond purchasing programme.

The TNO scheme also lost 0.95% on its non-listed property portfolio.

It said its full currency hedge on the US dollar, the yen and the British pound contributed 0.26 percentage points to its quarterly result.

By contrast, the 55% hedge of the interest risk on its liabilities caused a loss of 0.67%, due to rising swap rates.

The TNO pension fund saw its coverage ratio drop to 103.1%, as at the end of June.

However, Hans de Ruiter, the scheme’s CIO, said its funding improved to more than 105% at July-end, partly on the back of recovering equity markets.

“As the official discount rate reflects the three-month average, our funding is to rise further to 107% if the long-term interest rates remain unchanged,” he said.

Last year, the TNO scheme returned 14.8%, with its 25% equity portfolio and its 55% fixed income holdings returning 16% and 15%, respectively.