NETHERLANDS - The €6.9bn pension fund for Dutch housing corporations (SPW) lost 26.7% on its 0.7% opportunities portfolio due to a downgraded valuation by its new manager.

According to its 2011 annual report, the scheme has sacked the previous opportunities manager over ongoing concerns about the portfolio's valuation.

SPW reported an annual result of 11.8%, largely due to its extensive hedge of the interest risk on its liabilities.

It attributed the 7.3% return on its 34% fixed income holdings mainly to its credits investments.

Private equity and infrastructure - with returns of 9.8% and 9.5%, respectively - were the scheme's best returning asset classes, exceeding their benchmarks by 7.4% and 7.1%.

SPW's property holdings also performed well, returning 5.4% against a benchmark of 1.4%, mainly due to non-listed real estate.

By contrast, the 30.7% equity portfolio lost 5.3%, with emerging market equities falling by 16.1%.

SPW said it had made "solid" arrangements on reporting on risk and investments with its new asset manager APG, which replaced Cordares in 2011 after their merger in 2009.

It said it redefined internal rules, responsibilities and procedures, focusing on integral risk management - including its governance and pensions policy - and appointed an independent risk manager.

It also stressed that it has started implementing corrective measures after the pensions regulator identified an "imbalance" between the scheme's expertise and the complexity of a number of its investments.

During 2011, and following the movement of 30-year interest rates, SPW said it initially raised the hedge of the interest risk on its liabilities from 60% to 68%, but lowered it subsequently to 58% in September, and re-invested the proceeds of €101m.

At year-end, SPW had hedged 91% of its equity exposure through put options with a duration of up to five years. The equity hedge contributed 0.1 percentage points to its overall result.

However, the scheme also said it lost €126m on its full hedge on the main currencies through forward contracts.

The pension fund for Dutch housing corporations has 35,510 active participants, 17,740 deferred members and 14,590 pensioners, affiliated with 446 employers.