The new developed market equity index strategy of civil service scheme ABP did not meet expectations in the first full year it has been running, with its developed markets equity portfolio underperforming by 1.7 percentage points in 2025.
The fund’s president Harmen van Wijnen admitted the switch to index investing has “not yet yielded what we expect from it”. The index is based on ABP’s own ESG criteria and excludes several hundred companies, mainly in the US, including Alphabet (Google), Meta (Facebook), Tesla, Caterpillar and Booking.com.
ABP declined to comment further on the reasons for the underperformance, although the exclusion of Alphabet appears to have been a significant factor. The technology company returned 65% in 2025 amid strong investor optimism around artificial intelligence. ABP’s remaining actively managed portfolio, about 20% of its equity exposure, also lagged the benchmark, however.
PFZW, the second-largest Dutch pension scheme, also published its annual report this month. The fund blamed its -3.8% return on the weak dollar and a sharp rise in longer-dated swap rates.
The healthcare sector scheme reported a 24.7% loss on its €94.5bn interest rate hedging portfolio as interest rates rose. The scheme said it is vulnerable to rising rates because of its long duration and relatively young participant base. By contrast, the equity portfolio returned 8%, although this was 1 percentage point below its benchmark.
Transport scheme ups US equity exposure
In other news, Pensioenfonds Vervoer, the €37bn pension fund for the Dutch transport sector, has increased its allocation to US equities after previously running an underweight position versus its benchmark.
The decision to align US equity exposure with the weight of US equities in commonly used indices such as the MSCI World Index was taken in 2024, according to the fund’s annual report.
“In view of the economic dynamics and developments in the US, it was decided at the time to gradually reduce the underweight,” commented fund director Willem Brugman. The move puts Vervoer at odds with a growing number of peers that have either begun reducing US exposure or are considering doing so.
Separately, this week we reported on analyses from regulators DNB and AFM that the pension funds that moved to a new defined contribution arrangement at the beginning of this year have scooped up large amounts of short-term swaps around their transition date.
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