Danish and Dutch pension funds have enjoyed some of the highest average returns over the last decade due to their growing exposure to alternatives, the OECD has suggested.

The think tank noted the correlation between increased exposure to non-traditional assets – those falling outside bonds, equities, cash and deposits – and the 15% returns seen across Danish and Dutch pension funds in 2014.

Both countries also reported annualised returns over the decade to 2014 of around 5%, which the OECD’s 2015 Pension Markets in Focus linked to the growing diversification of investments as pension funds sought out higher-yielding asset classes.

The findings come after the OECD earlier this year warned about the risks of an “excessive” search for yield by pension funds, and marked its first attempt to show how asset allocation had changed in the years since low interest rates began causing problems for investors.

The report says that, while a limited number of countries increased their exposure to alternatives over the past decade, those where an increase occurred are among the largest pension markets in the world – including the UK and Canada, where exposure grew by 12.8 and 8 percentage points, respectively.

“It is interesting to note,” it adds, “that pension funds in the two countries that experienced among the highest returns in 2014, over the last five years and over the last 10 years, have also moved towards alternative asset classes over the last 10 years.”

The report goes on to note the high annual, five-year and 10-year returns achieved by Danish and Dutch pension funds, which have seen alternatives increase by 11 and 4.6 percentage points, respectively.

“The shift towards alternative investments seems, therefore, to have resulted in higher returns so far in these two countries,” it concludes.

A survey by LCP Netherlands recently found that the sector’s drive for higher yield had all but wiped out cost savings achieved in other areas

The OECD also examined how the search for yield had been expressed through growing geographical diversification.

However, it also found that the Danish defined contribution sector had seen a resurgent home bias, and at the end of 2014 only invested 25.2% of assets outside Denmark.