NETHERLANDS - The €4bn pension fund for sheltered workshops PWRI has returned 8.2% on investments after it decided to set up a mandate along main themes, with a wide geographical spread of equity and fixed income investments.
It has also created an opportunities portfolio consisting of assets with comparable risk profiles, such as convertible bonds, indirect property and commodities, as well as an opportunities portfolio focusing on absolute return strategies, according to its annual report for 2009.
Pension fund officials said: "This new set-up creates the possibility to add new ideas, such as the option to deviate from the benchmark, by interim investments in specific sectors, investment styles, countries and regions."
The changes follow the scheme's decision to establish its own five-strong pension office to increase the board's control, the pension fund said.
As part of an increased focus on risk management, Stichting Pensioenfonds Werk en (re)Integratie said it would also carry out an extensive analysis of risk from outsourcing.
It added that it would consider options to improve the performance of its pensions provider Syntrus Achmea.
Kees de Wit, chairman of the scheme's investment committee, said: "Improvements are needed at all fronts. We also need to de-weave tasks, as our new pension bureau will carry out policy tasks, including communication, whereas Syntrus Achmea will solely act as pensions provider."
However, officials said the scheme extended its contract with the pension provider for another year, while also extending its contracts with property manager Syntrus Achmea Vastgoed and asset manager F&C by one year.
The scheme's board said it decreased its full hedge of the interest risk on its liabilities to 75%, as it expects interest rates to rise.
However, following a study into the possibility of a hedge against inflation risks, it decided not to deploy inflation-links bonds or swaps for the time being, as these instruments are too expensive, according to De Wit.
The pension fund has divided its assets into a €3.6bn portfolio consisting of investments for the scheme's risk and a €400m portfolio holding investments for the risk of its participants, with both portfolios divided into liquid and less liquid assets.
While its main portfolio returned 8.2%, the investments for the participants' risk - with 15.3% allocated to securities and 84.7% to fixed income, including credits - returned 26.5%.
The illiquid part of the main portfolio has been divided into 67.6% liability-driven investment, 11.3% mortgages and 16.6% property investments.
PWRI's coverage ratio fell from 100% at year-end to 96.5% at the end of June.
According to the pension fund, a study has confirmed the life expectancy of its participants is lower than average and that the option to keep on working after 65 no longer "went without saying".