SWITZERLAND - The median return of a selection of 68 member funds of ASIP, the Swiss Pensionskassen association, was 0% for the first six months of 2010, according to Towers Watson.

The result was about midway between State Street's first-half estimate of 0.2% and Credit Suisse's estimated loss of 0.06%.

Towers Watson was commissioned to take a look at 68 member funds with more than 600 portfolios and combined assets of CHF164bn (€125bn), making it the largest independent performance survey in Switzerland, according to ASIP.

Foreign equities and foreign real estate were the biggest drags on performance, posting median losses of 14.1% and 3.2 per cent, respectively.

Keeping the median performance out of the red digits were bonds (Swiss: 3%, foreign: 1.2%) and indirect domestic real estate (2.3%).

Towers Watson found "notable" asset allocation changes in the period between June 2009 and June 2010, with hedge fund exposure falling from 3% to 1.6% and commodities increasing from 1.1% to 3.1%.

The consultancy said: "These changes cannot be solely explained by changes in the returns.

"We interpret this reduction in the exposure to hedge funds in a few funds in the ASIP universe as reaction to the disruptions on the financial markets."

Towers Watson also noted the delay in the reaction to the crisis could be explained by the minimum holding and notice periods for such investments.

The reduction in the equity quota - currently at 26.5%, down from 37.5% before the crisis at year-end 2007 - can mostly be explained by return-related changes, the consultancy said.