NETHERLANDS -  Investors flight, as displayed during the recent market turmoil, negatively affects PGGM's pioneering portfolio of strategies, according to Jelle Beenen, former head of alternative beta at PGGM.

Beenen told IPE, after a presentation at the ALM 2008 conference in Amsterdam, how in stress scenarios investments focused on a spread portfolio of innovative strategies can suffer.

"'Liquid' strategies hit us," said Beenen, still speaking at that time for PGGM. "You can see an effect that - now that others are also diversified - shows we are dependent on the behaviour of other investors."

Beenen, who moved to consultancy firm Mercer last week, suggested the "running away from certain strategies by investors" has a negative impact on the strategies portfolio of PGGM, which manages the almost €90bn of pension assets of the Dutch health care pension scheme PFZW.

PGGM's strategies portfolio - which currently accounts for 3% of the PFZW's entire assets including investments such as timber, carbon emission rights and catastrophe bonds -  focuses on strategies which enforce desired risks but filter out the undesired risks, aiming for structural return sources separate to the market benchmarks, according to Beenen.

Despite the negative impact on the portfolio, PGGM still plans to expand the portfolio to 8% in the future.

PGGM is a division of the PFZW pension fund, separated earlier this year to manage the €90bn in assets and administration of the pension fund.

Beenen emphasised during his presentation last week his comments about the portfolio of strategies were made in agreement with PGGM.

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