NETHERLANDS - The €2.5bn pension fund for the hotel and catering sector (PH&C) has changed its asset management approach from active to mainly passive.

The scheme said in its annual report that assets will only be managed actively if it is clear the strategy can add structural value, and attributed the change to the varying performance of active managers as well as the increased efficiency of the financial markets.

Following this change of tack, PH&C has re-housed a €165m  US equity active mandate with T. Rowe Price, which was already managing part of its assets in a limited risk profile.

At the same time, a €235m world equity mandate developed markets has been placed under passive management with State Street Global Investors, the scheme said.

The industry-wide pension fund, which lost 14.8% on its investments last year, blamed the shortfall on the credit crisis and the subsequent recession.

An extensive ‘swaption' strategy to hedge interest rate risk on liabilities prevented the loss from tumbling further to 25.1% and stopped the cover ratio from dropping an additional 16%, according to the scheme. Its funding ratio was 93% at the end of 2008, down from 148% the previous year.

The fund's officials has purchased a €1bn swaption against a long-term interest rate which is lower than 3.25% in the summer of 2013, and has a second swaption of €500m against a rate exceeding 5.379%.

"Because the pricing in the markets was driven by distortions, we decided not to adjust our investment policy," said officials, adding that the strategic allocation has been maintained as 50% equities, 40% fixed income and 10% property.

That said, an asset-liability management study, initially planned for 2010, will now be carried out this year.

PH&C's 42.4% equity allocation returned -44.7% last year, whereas its 46.5% fixed income investments yielded 1.4%. Returns on private equity, commodities and listed property also tumbled to -20%, -58.9% and -43.1% respectively.

The hotel and catering scheme also said that it expects to begin allocating investments to its two new asset classes of worldwide unlisted property and infrastructure, after holding back on implementation last year.

The pension fund also said it planned to add care-related unlisted property and clean technology to its portfolio holdings, in line with its ESG policy.

The Pensioenfonds Horeca & Catering has 219,000 active participants, 570,000 deferred members and 25,500 pensioners. A total of 29,265 employers are affiliated with the scheme.

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