Alfred Kool, spokesperson at NLG110bn (e50bn) Dutch pension fund, PGGM, says that while the fund was shocked by events, its investments have not been unduly affected by the tragedy.
“Our investments do not have the value that they did beforehand, but there was already a decrease happening prior to the US attacks.”
Subsequently, he adds that there has been no reason for the fund to alter its investment policy.
“We invest through an ALM model and that proves to be a very good system because it helps us through the bad times. “On the other hand we have to be very alert in the near future if things stay so bad and decide whether we have to change this.”
Kool adds that there has also been no suggestion that the fund will seek an increase in the contributions of its participants, noting that the fund can absorb such shocks – albeit it ‘shocks’ is what they are.
“We can have fluctuations like we see now, but it is impossible to make predictions for the future.”
The best risk measure the fund can take, he says, is to diversify the portfolio. “What we have seen is that policy towards commodities might have been very useful because we have seen the price of precious metals and gold rise quite considerably.
“But the spread in investments and hedging of volatility is very important and you can’t do anything more than that. This crisis is among all asset classes and if things are going down then that is the reality. “The worst thing you can do when markets are going down is to panic and for us there is no reason to do this.”
Despite client links with Morgan Stanley, which had offices in the World Trade Centre, Kool says the attacks in the US have not affected business directly through any third parties.

q William Van Impe, at the e3.5bn Belgacom pension fund in Brussels, says the fund hasn’t seen any consequence on its portfolios and no reports that managers couldn’t trade. “What we did see was that one or two managers didn’t trade in the first and second days after the attacks, because the US market was closed and there was poor liquidity in Europe with very high bid/ ask spreads and trading was expensive.
“Otherwise, while you couldn’t say business was usual, because these were not usual circumstances, none of our managers has been affected in their operations.” Van Impe says the same applies to the fund’s custodian, Citibank.
The fund held a strategy meeting just over a week after the event to consider its position on events as they unfolded.
“We are increasing our equity exposure, but because we don’t time the market we do this very carefully in a very flexible manner and we take our time. The only thing we have stopped doing is small rebalancing of the portfolio that we were doing to increase equity. “In that sense there is a little bit of wait and see, but we have not changed our strategic asset allocation.
He adds that the fund has no plans to start selling equities nor to delay tender processes for corporate bonds and property mandates that it initiated over the summer.
“We are not panicking although we can’t predict the future because that is politics. If institutional investors are beginning to panic then you wonder if they are professionals.”
Asked whether pension funds could in any way prepare for such terrible events from a risk perspective,Van Impe points to the fund’s use of asset liability management, which employs software that generates a number of possible investment scenarios.
“The software generates somewhere in the region of 500–1,000 scenarios, and some of these are catastrophic scenarios and you have to take these into account.
“But the questions is how do you take these into account. You can always say what is the average, and then conclude what is the best strategy looking at the dispersion of these scenarios.
“On the other side though there are a number of scenarios, which are very optimistic.
“You look at the average, asset allocation, the risk scenarios, value at risk, but you have to take a human decision on what is likely. We can take two, three or four years of bad performance, but you have to ask yourself whether that is likely.”