NETHERLANDS – Europe’s largest pension fund, ABP, has reported a decline in pensions capital in 2001 from €150bn at the start of the year to €147bn at the end. The decline is the result of disappointing returns coupled with the decline in net assets and overlay contracts, says the company’s annual report.
There were no major changes in returns on its investments in equities, real estate or fixed income. However, despite the decline in its financial position, ABP says it remains strong enough to withstand a further two-year period similar to 2000 and 2001 before suffering any major problems.
Nonetheless, ABP is looking at redrafting its financial strategy to help it recover. Firstly, contribution rates have begun to increase in 2002 and are expected to continue doing so over the coming years. Secondly, the company has designed a risk budgeting system whereby its investments are analysed thoroughly to identify those that will generate extra returns without additional risk.
Overall, however, the company is sticking to its investment strategy to give it an asset mix of 60% in its equities and real estate portfolio and 40% in fixed income by next year. The level of investments in equities and real estate at the end of 2001 amounted to 49%, with equities accounting for just over three quarters of the portfolio.