FRANCE - Fonds de Reserve pour les Retraites (FRR), the French national pension reserve fund, is making comfortable investment gains under its new asset allocation strategy and has now risen by almost 13% since the start of this year.

The pension fund now has assets of €31.9bn to the end of September 2009, compared with €27.7bn by the end of 2008, as assets have grown by 12.8% in nine months.

More specifically, the pension fund lost 6.5% in the first three months of this year, but then rose 10.5% in the second quarter of this year and 9.2% in the third quarter. The performance improvement was "attributable to the strong rebound in the equity markets observed since the second half of March".

Officials announced in June that there would be an adjustment to the asset allocation strategy which would balance equity holdings against bonds. The new asset allocation will be split as 45% equities, 25% fixed-rate bonds, 20% indexed bonds, 5% real estate and 5% in commodities, though there will be more flexibility around the target allocations of the "performance" assets to vary between 40% and 60% at least until the next review, which will now be conducted annually. (See earlier IPE story: FRR lowers equity holding in strategic review)

By the end of September, at least 49.5% of assets were held in performance strategies, such as equities, real estate and commodities, while the remainder was in fixed income and cash.

This latest update means FRR has continued to pull back from its negative annualised performance since inception, net of financial and administrative operating expenses, and returned 2.6% since the fund was created in June 2004.

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