Major European pension funds have struggled to perform in 2022. According to IPE research, data for the first three quarters show that this year was the worst performing since 2008.

Denmark’s statutory pensions giant ATP reported eye-watering investment losses for Q3 of 2022, that – coupled with the devaluation of its bond-based hedging portfolio due to rising interest rates – could be reducing its size lead over the country’s second biggest pension fund.

After two quarters of heavy losses, the pension fund’s investment portfolio, suffered a 13% loss in the third quarter alone, according to IPE’s calculation, and the pension fund stated the total investment loss from January to September as 45.2% (see chart).

This news comes after three consecutive years of double-digit positive returns for the scheme.

Norway’s sovereign wealth fund, Government Pension Fund Global (GPFG), made a 4.4% investment loss in the third quarter of this year, equivalent to NOK449bn (€43.7bn). The latest quarterly loss brings the GPFG’s total loss for the first nine months of this year to 18.2%, measured in the fund’s currency basket, a spokeswoman at Norges Bank Investment Management, the fund’s asset manager, told IPE.

Despite this loss, the GPFG increased its assets by half a trillion kroner in the latest quarter because of a weaker domestic currency and inflows from oil revenue. The gain, despite the negative investment return, was due to NOK306bn of net inflows from the government – effectively revenue from Norway’s petroleum activities – and NOK702bn from currency movements.

In the Netherlands, the country’s five largest pension funds, with combined assets under management of some €864bn, lost €50bn on their investments in the third quarter alone. However, thanks to rising interest rates, funding ratios continued to rise.

IPE annual returns Q2 2022

The largest five Dutch pension schemes – ABP, PFZW, PMT, Bpf Bouw and PME – have made losses ranging from 16.6% (ABP) to 27.7% (PMT) this year. Combined year-to-date investment losses of the country’s ‘big five’ now stand at some €211bn.

Metal industry scheme PMT attributes its record losses to the “low risk profile” of its investments. The scheme has hedged 60% of its interest rate risk, resulting in large losses on its matching portfolio (-10.2%) due to the rising interest rates.

Alecta, Sweden’s largest pension fund, has seen its defined contribution (DC) product Alecta Optimal Pension – which has a 60% equities weighting – end September with a 13.1% loss for January to September, following the 12.7% loss previously reported for the year to date at the end of June.

Meanwhile, the defined benefit (DB) product, which makes up the bulk of Alecta’s assets under management, registered a 9.4% investment loss in the first nine months of the year – after losing only 0.7% in the third quarter, a much slimmer decline than the 4.4% and 4.5% losses suffered by the product in the first and second quarters of 2022, respectively.

Assets under management on the Stockholm-based pension fund’s DB business fell to SEK907bn at the end of September from SEK916bn three months before, according to the report.

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