The €6.5bn pension fund of insurer Achmea has increased its strategic securities allocation by 10 percentage points to 30% at the expense of its fixed income holdings, which now stand at 70%.
In a clarification of its annual report for 2015, director Sybrand Nauta said the scheme was targeting allocations of 20% for equities and 10% for real assets.
He said the new investment policy came in the wake of the pension fund’s becoming independent, after it decided against extending its contract for re-insured pension arrangements with Achmea as of 1 January 2014.
Since then, the Pensioenfonds Achmea has provided a collective defined contribution plan for its 35,000 participants and pensioners.
According to Nauta, the adjustments – based on extensive asset-liability management and portfolio construction studies – are being made gradually, without a strict time frame, “as prudence is paramount”.
In a bid to improve risk management and find the best managers for specific tasks, the pension fund has shifted mandates and adjusted contracts with existing managers, he said.
It also appointed BlackRock, Dynamic Credit, M&G and Investec as new managers for developed and emerging market equities, Dutch residential mortgages, euro-denominated credit and local-currency emerging market debt, respectively.
The scheme said it transformed its 55% government bond holdings – together with its interest swaps, credit and mortgages – into a matching portfolio for its liabilities, focusing on the highest-rated countries in the euro-zone, as well as long-duration bonds.
Achmea Investment Management manages the new matching portfolio.
The scheme said it also reduced its interest hedge from 80% to 50% of its liabilities, following the introduction of a dynamic cover, with the hedge rising in sync with the interest level.
The insurer’s pension fund posted a return on investments of 1.33%, due largely to a 7.4% return on its equity portfolio.
The pension fund’s 67% fixed income portfolio generated a 0.4% loss, while its 1.9% property holdings returned 8.7%.
Private equity and infrastructure – representing 0.3% of the scheme’s assets – were the best-performing asset classes, with returns of 19% and 14%, respectively.
The pension fund cited the significant outperformance of both investment categories to “high valuations in a strong merger and takeover market” for private equity, and “maturing” infrastructure investments.
The Pensioenfonds Achmea reported asset management and transaction costs of 0.21% and 0.16%, respectively, and spent €333 per participant on pensions administration.
It granted its active participants an indexation of 1.5%, while awarding pensioners and deferred members an inflation compensation of 0.2%.
As of the end of May, its funding stood at 113.5%.