Amonis, a €1.8bn Belgian pension fund primarily serving the medical sector, is to consider the case for upping its allocation to alternatives, including infrastructure, as part of a strategic asset allocation review it aims to conclude by the end of the year.

The review is a regular exercise the pension fund aims to conduct at least every five years; its last was at the beginning of 2011.

The review will be sweeping, according to chief executive Tom Mergaerts.

“We will be looking at all sorts of different asset classes we are not already invested in, and to what extent it is desirable and feasible to add them to our portfolio,” he told IPE.

The pension fund already invests in real estate and infrastructure, but Mergaerts noted that its exposure to the former was via listed equities and that it only has a small position in the latter, via private equity.

“Our actual exposure to more illiquid investments is very small,” he said.

Amonis is primarily invested in bonds (67%), the bulk of which are highly rated government bonds the fund holds in its liability-driven investment (LDI) portfolio; this accounts for 60% of its total assets, with the remainder managed in a growth portfolio.

amonis allocation 2016

The latter houses the pension fund’s investments in stocks (20% of total assets), real estate equity (4%) and ‘other assets’ (8.2%), split between absolute return strategies (8%) and private equity infrastructure (0.2%).

The growth portfolio also holds the pension fund’s investments in euro corporate bonds (2.9%) and emerging market government debt (2.5%).

Last year, the pension fund tweaked its hedge fund exposure, increasing this from 7% of total assets to 8%, the target strategic allocation.

Amonis may consider increasing the hedge fund allocation again as part of this year’s strategy review, said Mergaerts.

“But it’s much broader than just hedge funds,” he said.

Hedge funds account for some 20% of Amonis’s growth portfolio.

The pension fund may also consider selling some “overpriced” bonds in its growth portfolio.

Mergaerts attributed the overpricing to a large extent to the European Central Bank’s policies and Solvency II regulations that “discourage and punish investing in securities other than government bonds”.

“Investor sentiment in the current uncertain and volatile environment does the rest,” he added.


LDI portfolio drag

Amonis’s investments achieved a total return of 3.69% in 2015.

A return of 9.13% from the growth portfolio was “dragged” down by a return of 0.28% from the LDI portfolio, according to Mergaerts.

“Actually, we had a ‘relatively’ very good year when it comes to investing actively,” he said.

He put the active return at 1.12%, given a return of 8.01% for the composite benchmark the pension fund uses for the growth portfolio.

“When we compare this over a rolling three-year horizon, there is an outperformance of 0.71% annualised, which shows our active part performs top class,” he said.

Amonis’s equity investments returned 11.86% in 2015, its bond investments -1.72% and property 23%.