NETHERLANDS - The €2.6bn pension fund for care insurers SBZ closed the first half of 2008 with a funding ratio of 145% - down only three percentage points from the year-end.

Despite the market turmoil, the non-mandatory industry-wide scheme reported a 5.3% return during 2007, contributing to a 10-year performance average of 6.1%.

The pension fund has yet to reveal the respective performance figures for asset classes but SBZ introduced a new tactical investment policy earlier this month based on derivatives where "the strategies for long and short positions will mainly be aimed at equity and fixed income," explained Peter van Gemst, chief investment officer.

The policy will be managed by SBZ's fiduciary managers AbnAmro Asset Management and Russell Investment Group.

Until these parties were appointed last year, the scheme's portfolio was in part actively managed by external managers with global mandates for equity and fixed income, and in part semi-passively managed by SBZ itself.

As lead overlay manager, ABNAmro is responsible for strategic portfolio policy and risk management, while multi-management firm Russell is acting as manager of managers, SBZ said.

The pension scheme's strategic portfolio is based on an asset and liability management (ALM) study produced by Watson Wyatt.

SBZ's assets are fully hedged against currency risks while the interest rate risk hedge of its liabilities is 50%.

In the second half of last year, SBZ introduced new asset classes, of which commodities contributed positively to the scheme's return.

In contrast, however, the performance of hedge funds and Global Tactical Asset Allocation has been disappointing, the pension fund made clear.

The new investment categories comprised of 2.7%, 3.7% and 2.4% of the scheme's assets while its allocation to equity was 31.1%, with fixed income at 49% and property at 9.8%.

SBZ is also planning to introduce infrastructure as an asset class this year, Van Gemst said, and is now considering the options for improving its real estate portfolio.

A comprehensive ‘dynamic risk management framework' is expected to come into force later this year, SBZ's CIO further indicated.

The pension fund, which has 60 affiliated companies, granted its 34,800 active participants a 3.77% indexation at the start of 2008. Its 18,900 deferred members and 6,250 pensions received 1.5% compensation for inflation.

If you have any comments you would like to add to this or any other story, contact Julie Henderson on + 44 (0)20 7261 4602 or email