Stichting Shell Pensioenfonds, the e13.7bn scheme of the oil giant, made a 6.9% return on its hedge fund investments in 2004.
“On the hedge fund portfolio a return of almost 7% was achieved,” the scheme says in a statement on its website. Hedge funds, including currency hedging, account for 5.5% of its total portfolio, or e800m.
“The Shell Pension Fund invests solely in hedge funds that have what are termed ‘market-neutral’ strategies,” it says.
The scheme’s investments overall returned 16.1% last year. “For the NL Shell Pension Fund, 2004 was a very good investment year.” Equities returned 15.7% and fixed income returned 16.5%.
The equities portfolio is worth e9.6bn while fixed income is worth e3.7bn.
It adds that its funding ratio (on the basis of an actuarial interest rate of 4%) rose from 127% at year-end 2003 to 135% at year-end 2004. This was despite an increase in liabilities of more than 6.5%.
The scheme said that in 2003 pensions in payment had been increased by a temporary 2.5% cost-of-living allowance for the duration of one year.
This temporary allowance was continued indefinitely as from 1 July 2004. In addition, pensions were increased by a 0.6% cost-of-living allowance as from 1 July 2004.
Pension contributions were kept at the same level. In 2004 the employer’s contribution was 20% of salary payments and the employees’ contribution was 8% of salaries above the e69,510 contribution threshold.