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SWITZERLAND - According to the Credit Suisse Pensionskassenindex for the second quarter pension funds' exposure to foreign equities, real estate and alternative assets has increased over the last three months - but this may not have been down to active allocation decisions.

After having slashed exposure to foreign equities from 16.3% to 14.8% at the beginning of this year investments in this asset class are up again to 15.5%  at the end of Q2, according to the latest findings of Credit Suisse for its quarterly Pensionskassenindex.

However, Christoph Ryter, president of the Swiss pension fund association ASIP said he "would be careful" to assume the increase was down to an active decision to increase exposure.

"From my experience and from talks with pension funds I would say Pensionskassen have kept their stand on equities the same," Ryter explained to IPE.

He said he believed the increase was only down to re-balancing effects in the portfolios.

Statistical proof for this might be the fact that exposure to domestic equities remained virtually the same at 13.1% compared to 13% in Q1.

Ryter added those funds that had made an active decision to go back into equities when they thought the market had hit bottom had been "punished in June".

Similarly, Ryter said increases in real estate and alternative asset exposure shown by the index are more likely down to "statistical effects" than active asset allocation decisions.

Over the last three months exposure to alternative assets increased from 4.7% to 5% and real estate from 17.2% to 17.4%.

"You cannot get rid of direct real estate holdings within one months - and this is also true for private equity and hedge fund holdings," Ryter noted.

"Therefore, when the value of the portfolio goes down the relative size of real estate and other unliquid investments goes up."

He added the increase in alterative asset exposure is also down to the fact that commodity investments have performed very well over the last months. 

Credit Suisse's calculations also showed that mid-size funds fared the worst over the last quarter with Pensionskassen in the region of CHF150m (€92m) to CHF500m going down -0.10% while all other categories showd positive returns.

Best performers were the second largest Pensionskassen between just under CHF1bn and over CHF500m (+0.76%) followed by the largest funds above CHF1bn with (+0.30%).

The index had shown a slightly positive performance for the funds in Q2 at 0.2%. (see earlier IPE-article: Swiss pension funds move back to positive ground)

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