NETHERLANDS - The €2.4bn pension fund for the Dutch wholesale grocery sector returned 13.1% last year, due mainly to a combination of decreasing interest rates, a 75% interest hedge and an increased allocation to fixed income investments.
Over the last six months, its matching portfolio - consisting mainly of fixed income and interest derivatives - returned nearly 58%, according to the pension fund's 2011 annual report.
Midway through 2011, the pension fund adjusted its investment portfolio following an asset-liability management study, boosting its fixed income allocation by nearly 12% at the expense of its equity holdings.
At the same time, it continued with Kempen Capital Management as asset manager, which replaced Syntrus Achmea Asset Management.
The scheme then also split its assets into a matching portfolio and an equally sized return portfolio.
However, Levensmiddelen indicated that it kept the hedge of the interest risk on its liabilities at 75%, and only decreased its 75% currency hedge to 65% in October, due to the "growing turmoil" in Europe.
For the first half of the year, the pension fund reported a 4.5% loss, due to its interest hedge.
However, Levensmiddelen said it benefited from the interest cover during the second half year.
Despite a 4.5% loss in its 25% equity holdings, it returned 18.5% on investments, it added.
The industry-wide scheme closed 2011 with a coverage ratio of 103.2%, but saw its funding decrease to 95.4% at June-end due to falling interest rates.
However, it said it was still too early to determine whether coverage-improving measures would be needed.
Last year, the industry-wide scheme decided to raise the average contribution by 0.2% to 18.5%, and to decrease the yearly pensions accrual to 0.15%, depending on the pension plan of the various groups of participants.
Levensmiddelen has almost 75,900 active participants, more than 147,000 deferred members and approximately 10,000 pensioners, affiliated with 3,285 employers.