NETHERLANDS - SPW, the €6bn pension fund for Dutch housing corporations, returned 5.4% on investments and another 3.8% from its interest hedge during the third quarter.

The industry-wide scheme reported a 72% interest hedge on its liabilities through interest swaps.

However, its protection against equity risk using options contributed negatively to the pension fund’s performance, lowering the return by 1.1%.

According to Harald de Valck, SPW’s director, the scheme had fully hedged its equity at 75% of the agreed strike level.

SPW said its fixed income portfolio returned 1.8%, beating the benchmark by about three times. The director attributed the result mainly to the outperformance of the credit allocation.

With a return of 7.3%, listed property was the fund’s best performing asset class. In contrast, unlisted property lost 0.6% against a benchmark return of 1.2%.

De Valck said setting a benchmark for the asset class was “always tricky”.

Equity returned 2.4%, while commodities and hedge funds contributed negatively to third-quarter results, losing 2.7% and 6.9%, respectively.

Private equity, returning 1.1%, far exceeded its benchmark return of 0.5%.

SPW said it had maintained its slightly overweight positions equity and fixed income at the expense of alternative investments.

In fact, it increased its equity exposure by financing the adjustment with liquid assets through divesting fixed income.

“Our expectation that the equity markets were on their way up turned out to be correct,” De Valck said.