SWITZERLAND - Close to 90% of Swiss pension funds reviewed their asset allocation following the financial crisis, but only 67% made any subsequent changes, according to a trustee survey conducted at the Fachmesse zweite Säule conference in Zurich this week.

Speaking at the event, Gertrud Stoller-Laternser, head of the CHF2bn (€1.42b) media pension fund SRG SSR Idée Suisse, said: "We were hit unprepared. Nobody had ever seen anything like it before and it was the first time we needed recovery measures. But the trustees stayed calm and we did not run into expensive surveys and ALM studies straight away."

Guido Sutter, chairman of the board at the CHF7bn ASGA pension fund, added: "Results of the ALM study we had commissioned before the crisis showed that we were on the right track.

More than 60% of the survey respondents continued with a rebalancing approach over the past two years, and the same proportion believed that maintaining strategic allocation weightings, or bandwidths, for each asset class was preferable to abolishing them altogether and introducing a capped risk budget instead.

Currently, 97% of the funds are working with bandwidths, and of those who made changes to their asset allocation, 85% changed those bands.

Almost half of those that made changes went partly or completely out of alternative assets over the last years, and also 50% increased their real estate exposure.

In their bond portfolios, 65% of all funds said they still believed in buy and hold strategies; among those funds with more than 5,000 members, the proportion went up to 74%.

Similarly, Roger Bauman, actuary at the ALM company C-ALM, said it was most appropriate for "stable" pension funds with a good mixture of active and retired members to maintain their asset allocations after a crisis as they would balance their losses out with recoveries of the capital markets.

For very mature funds with many retired members, however, Bauman advised against trying to recover the funding level via a change in the asset allocation. In this scenario, he said, less risky asset allocations would only lead to cyclical investment decisions and further losses should another market crash arise. Instead, he argued, liabilities should be changed and contributions raised.

The survey was conducted by the VPS media group.