Hedge funds deliver more than one-quarter of Dutch scheme's return
Provisum, the €1.4bn pension fund for retail company C&A, has said its sizeable hedge-fund allocation accounted for more than 1.5 percentage points of its 6.3% overall return for 2015.
According to its annual report, Provisum’s 14.8% hedge-fund allocation returned 15.3% over the period, outperforming its benchmark by 5.6 percentage points.
The scheme, one of the few in the Netherlands to enjoy a strong funding position, attributed the result largely to the appreciation of the US dollar against the euro.
It also cited the impact of its hedged-equity, event-driven and relative-value strategies, and particularly to its “exposure to Asia and volatility”.
Provisum, which outsources asset management to Anthos Fund and Asset Management, said its real estate holdings returned 11.5%, with indirect real estate delivering more than 20%.
It cited a revaluation of non-listed property investments, with the CBRE Retail Fund Belgium and France returning 42.3%.
The pension fund’s 15% bond allocation, which returned 1.3%, outperformed its benchmark by 0.9 percentage points, due in part to positions in Spanish, Italian and Belgian government paper.
The allocation produced an overall net return of 3.2%, after a 3-percentage-point loss caused by the appreciation of the US dollar against the euro.
Provisum hedged 75% of the downward risk of the dollar, as well as the UK pound and the Japanese yen.
C&A’s scheme strategically covered 50% of the interest on its liabilities through long-term German and Dutch government bonds, with a bandwidth of 40-60% for tactical adjustments.
A relatively high coverage ratio of 124.6% at year-end enabled the pension fund to grant all of its participants a full indexation of 0.66%.
The pension fund reported administration costs of €219 per participant and said it spent 0.87% and 0.03% on asset management and transactions, respectively.
Provisum has 9,450 participants in total, of whom 3,385 are workers and 2,620 pensioners.