Pensions Caixa 30, the €5.8bn employees’ pension scheme of Spain’s Caixabank banking group, posted a 4.2% return for 2016.
This compared with 3.1% for the previous year, beating the Spanish average return of 2.7%. It also took the scheme’s average annual return for the three years to 31 December 2016 to 5.4%, and 7.3% for the five-year period.
However, the fund – whose portfolio is managed by Vidacaixa – said the return was below benchmark.
In its commentary on the results, Pensions Caixa 30 said its alternatives allocation had suffered from the poor performance of hedge funds, which lost 3.2%, the only asset class to lose money. At end-2016, hedge funds formed 3.8% of the portfolio. Overall, the alternatives section of the portfolio still managed to post a 6.5% return.
The best performers were commodities, which returned 18.5%, high yield fixed income (15.3%) and North American equities (14.9%). Private equity and emerging market fixed income also enjoyed strong performances, Pensions Caixa 30 said.
Pension Caixa 30’s control commission has decided to raise the scheme’s benchmark equity exposure for 2017 from 30% to 32%, while renewing the use of options to hedge against volatility and market falls.
To balance this move the benchmark weighting for fixed income is to be lowered from 50% to 48%, reducing exposure to rising interest rates. The benchmark weighting for alternatives will remain at 20%.
However, the scheme said it retained wide margins for its benchmark weightings, allowing the investment managers to tackle predictable (and more frequent) market swings.
It added: “We will complement this with new currency hedges using options, given that interest rate differentials between the euro, dollar, and sterling have increased the cost of traditional hedging tools.”
Pensions Caixa 30 received the award for best Spanish corporate scheme at IPE’s annual awards ceremony in Berlin in December.