NETHERLANDS – A top manager at the Dutch civil service pension fund ABP has expanded on the reasons why the 150 billion-euro fund has stuck with its long-term asset allocation.

At heart it’s to do with timescale.

Mark Blok, risk manager at ABP Investments, said the fund works on 30-year time horizons when computing liability correlations. The pension and insurance regulator the PVK, Pensioen- & Verzekeringskamer was looking at a one-year horizon when it made its controversial demands about pension fund solvency requirements, he said.

Under that assumption, he said the fund would indeed need to change its asset mix. “Longer horizon, longer history,” Blok told a conference in London today.

Dutch pension funds’ exposure to equities – currently between 30% and 40% - have been under pressure from all sides: the media, participants, consultants and actuaries, regulators, academics and accounting standards.

ABP’s strategic asset mix is 36% equities, 44% fixed income and 20% alternatives. Its mission statement is to be a “global player with state-of-the-art allocation”.

“In the long term we even see equities as an hedge against liabilities,” Blok added.

ABP investment director Jean Frijns has in the past said that equities should be part of a portfolio if the specific pension fund characteristics implied a long investment horizon and if there is a “clear and sufficient” set of policy rules governing their inclusion.

“My personal view is that the supervisory board must do what’s best for the beneficiaries,” Blok said on a panel organised by risk software firm Barra. “The priority task for a pension fund is to manage risk.”

Meanwhile the PVK’s joint website with the Nederlandsche Bank has now gone live, prior to the merger between the institutions.

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