DENMARK – ATP, Denmark’s largest pension fund, reported investment returns of 3.4% for the first quarter, with strong domestic equity markets being the single largest contributor to growth.

The scheme, which is currently overweight equities, said it expected to continue this overweight into the second quarter.

While all five of the fund’s risk classes – interest rates, credit, equities, inflation and commodities – saw positive returns, both listed and private equity holdings contributed nearly three-quarters of its DKK3.7bn (€496m) investment return.

Henrik Gade Jepsen, ATP’s CIO, noted that the global economy remained fragile, but that results were “satisfactory” in light of continuing low interest rates and general market uncertainty.

The fund incurred losses of DKK6.5bn from its hedging activities, with Gade Jepsen noting that the losses, combined with its investment activities, would result in an estimated negative return of 0.5%.

However, he stressed that the losses from the hedging portfolio were offset by the comparable reduction in liabilities, and that the portfolio therefore only caused a net loss of DKK238m.

“If you look at the first quarter,” he told IPE, “you could say it was a broad-based positive return story – even though all asset classes had positive returns, it was mainly driven by equities, not least due to the vey low interest rates in both nominal and real terms.

“Danish equities did very well once again – it was a 14-15% return, somewhat better than the market, at least.”

ATP’s equity risk class currently accounts for 18% of its DKK261bn investment portfolio, but contributed DKK2.8bn of its DKK3.7bn pre-tax returns.

Gade Jepsen added: “We had a larger weighting in equities than we normally had, which turned out to be a good idea, and so far we are maintaining that strategy going into the second quarter.”

Interest rates, at nearly 44% the fund’s single-largest risk class, contributed DKK84m to investment returns, and credit a further DKK458m.

The inflation and commodities risk classes, the latter only accounting for 1.5% of all assets, contributed a further DKK194m and DKK148m, respectively.

Real estate holdings made the single-largest contribution to the inflation portfolio’s return.

The fund lost a comparative amount on its foreign infrastructure holdings within the risk class but, aided by its hedge, was able to nonetheless see positive returns.

At DKK797bn, ATP Group has seen total assets decline by DKK26bn over the three months to March.