IRELAND – Ireland's National Pensions Reserve Fund (NPRF) has re-allocated earnings from expired put options into new options as its discretionary portfolio saw year-to-date returns increase to 5.9%.

According to the NPRF's third-quarter results, overall returns for the €6bn discretionary portfolio and the €8bn allocated to support the Bank of Ireland and Allied Irish Banks stood at just above 1% for the quarter and 4.6% over the first nine months of the year.

However, assets under management for the entire fund have fallen over the past three quarters after the NPRF commissioned an independent valuation of the banking shares it holds over concerns the publicly traded price was an "inappropriate" measure of valuation.

As a result, the value of the bank-targeted directed portfolio fell in value from €9.4bn at the end of March to €8.1bn in June.

Its value remained largely static in the three months to September, declining by a further 0.2%.

The losses were offset by the discretionary portfolio's gains, with assets under management up by more than €100m in the most recent quarter.

The NPRF Commission currently holds nearly 41% of the €6bn discretionary portfolio in equity, while €99m were allocated to equity put options.

The options were boosted in July after proceeds from previous positions were rolled into new positions, the report said.

The Commission continued its low exposure to euro-zone sovereigns, investing only €112m in inflation-linked sovereign bonds from the region and not allocating any assets to regular sovereign fixed come.

Alternative assets also continued to claim a large share of the fund's AUM, accounting for 35.6% of the discretionary portfolio.

A €87m increase in assets was distributed evenly across private equity, property, commodities and infrastructure, and absolute return funds grew from 3% to 4% of investments.

The fund continued to hold an unusually high amount of assets in cash – 13.4%, or €800m – up marginally on the second quarter, but a reduction from the €918m held at the end of March.

The NPRF did not reply to a request for comment on the size of its cash portfolio at the time of publication.