DENMARK - ATP made a massive DKK125bn (€14bn) return on assets last year - or 26% - and added more than DKK100bn to total assets after increasing reserves and paying tax.
At the end of 2011, total assets at the giant labour market supplementary pension fund climbed to DKK579bn from DKK475bn.
Lars Rohde, chief executive, said: "The result reflects our targeted efforts to manage and diversify the risk of our investments."
Four of ATP's five risk classes produced positive returns last year, with equities the only class to make a loss, losing DKK2bn.
Interest made a return of DKK13bn, credit returned DKK3bn, inflation produced DKK5bn and commodities contributed DKK1bn, ATP said.
ATP's return includes investment gains from its five risk classes as well as the proceeds from its interest-rate hedging activities.
"ATP has achieved an all-time high return in a historically challenging year for the financial markets," Rohde said. "And in spite of extremely low interest rates, we are still able to provide the pensions we have promised our members."
The fund increased its reserves by DKK4bn to DKK74bn, after paying government tax of more than DKK18bn.
Risk diversification had once again proved its strength, ATP said, with the investment portfolio producing positive returns in each quarter of 2011 in spite of big changes in economic trends and growing uncertainty over the debt crisis.
In the early summer of 2011, the fund opted to reduce investment risk, selling off assets in all risk classes to get the right risk diversification, it said.
"In addition, investments were targeted at safe-haven assets," the fund said. "For example, the bond portfolio consists almost exclusively of Danish and German government bonds.
"This made ATP's assets more robust to the significant risk characterising the financial markets in 2011."
The high return for 2011 triggered a historically high tax on pension-savings returns, it added.
"This corresponds to ATP providing, on average, one-third of the government's total income from tax on pension-savings returns for the last five years," it said.
Historically low interest rates were the main reason why ATP was not increasing pensions in payment, in spite of the high level of return, it said.
"Over and above the provisions of DKK406bn made at the end of 2010, a further DKK99bn has been set aside in 2011 to fulfil ATP's future pension obligations to members," it added.