NETHERLANDS - PMT, the pension fund for metalworkers and mechanical engineers, has postponed new investment in relatively risky and less liquid asset classes such as private equity, international property and infrastructure.
The €35bn fund has also suspended investment in CO2 emission rights, clean technology and energy, according to its 2009 annual report.
The industry-wide scheme, which appointed a risk manager three months ago, has increased the passive component of its investment portfolio, having already scaled back its equity holdings to 22.6% at the end of the year.
Officials said the scheme had also tightened its grip on external asset managers by introducing monthly reports on set margins for essential policy, as well as requiring a separate policy plan for most of the asset classes.
In addition, the board has decided to raise the 10% hedge of the interest risk on its liabilities to 25%.
However, officials said PMT had not opted for full cover, as any interest rate rise would "hamper the scheme's ability to compensate for inflation" for the long term.
The pension fund reported returns of 15.1%, with equities returning 39.3%, largely due to emerging markets and small caps. Its 52.8% fixed income holdings returned 11.3%.
Officials said PMT had separated its fixed income investments into portfolios for government bonds and corporate bonds in a bid to improve risk management and management efficiency.
The metal scheme's alternatives portfolio - consisting of hedge funds and private equity - returned 13.3% in total, while its 11.4% property allocation lost 2%.
PMT's coverage ratio - 100% at year-end, after an absolute low of 85% in March 2009 - dropped to 91% last June.