NETHERLANDS - The €1.2bn pension fund of Dutch shipping company Nedlloyd has attributed the 15% underperformance of its alternatives investments to fraudster Bernard Madoff.
The pension fund said its 7% allocation to hedge funds and private equity fell by 6.6% in 2009 largely due to losses on the Tremont Fund of Funds.
Over the same period, its corresponding benchmark returned 9.3%.
One of the Tremont funds, now in liquidation, had a large stake in Madoff's fund, it added.
The Nedlloyd pension fund also said it had reached the required funding ratio of 113% within nine months instead of the two years specified by the regulator, as the fund had already determined in its recovery plan.
Despite the surplus, the fund's accountability committee, representing the interests of pension beneficiaries and the employer, said the fund might still be unable to meet its pension indexation goals.
It took into account the pension fund's decision to raise the lowest limit for indexation from 105% to 115% in a bid to decrease its risks.
The cover ratio also dropped to 108% as at end of June, according to Ton Zimmerman, the fund's director.
The scheme raised the hedge of the interest risk on its liabilities from 50% to 75%, of which two-thirds is in government bonds and one-third in interest rate swaps, Zimmerman said, adding that the risks on the main currencies had also been covered.
The pension fund reported a return of 8.1% on investments last year, with its 23.7% equity allocation generating 34.9%.
Its fixed income holdings of 54.5% returned 7.1%, according to the scheme, which said 75% of the fixed income portfolio had been invested in the euro area, while the remaining assets were allocated to a mix of corporate bonds and government bonds of emerging markets.
The scheme's 14.3% property portfolio - invested in non-listed European property funds - fell by 18.8%.
The pension fund of Nedlloyd has 373 active participants, 3,250 deferred members and 8,405 pensioners.
Zimmerman attributed the low number of active participants to the reorganisation following Nedlloyd's takeover by shipping company Maersk, as well as the financial crisis.
However, as staff of Maersk have joined the pension plan in the meantime, the number of participants has risen to approximately 800, he said.