SPW, the €8bn pension fund for Dutch housing corporations, has lost 2.2% on investments over the second quarter, with emerging markets and commodities faring particularly badly.

The scheme reported negative returns for nearly all asset classes, due to a combination of falling markets and rising interest rates.

Investments in emerging markets and commodities generated losses of 9.3% and 7.7%, respectively, it said.

The pension fund attributed the “disappointing” emerging market return – which underperformed its benchmark by 9.1 percentage points – to the US central bank’s suggestion that it would scale back its tapering policy.

“As a consequence, investors started divesting from emerging market equity, bonds and currency,” SPW said, citing disappointing growth in China and turmoil in Egypt as contributing factors.

It attributed its commodities losses to negative returns in oil, metals and agricultural.

It also reported losses of 2.1% and 0.2% on credit and government bonds, respectively, as well developed market equities (-0.7%) and property (-0.3%).

With a return of 1.9%, private equity was the best returning asset class.

Hedge funds and infrastructure generated returns of 0.4% and 0.5%, respectively.

SPW said rising interest rates – and their impact on its interest hedge – contributed 1.4 percentage points to the scheme’s quarterly loss.

By contrast, its currency hedge generated a positive result of 0.6%.