NETHERLANDS - The €14bn pension fund of Rabobank increased its equity allocation to the US and emerging markets at the expense of its relatively large investment in Europe last year.

The purpose of the fundamental re-structuring was to improve the portfolio’s performance, as well as to increase transparency and control, according to its annual report.

In the new set-up, the management of the scheme’s 38% equity holdings has changed from a purely quantitative approach to a combination of 50% Robeco Global Equity, 20% Robeco Conservative Intrinsic Value Investing, 15% PanAgora and 15% AQR.

Officials added that the scheme had moved a considerable part of its securities to other asset managers following questions from its internal supervisor about the scheme’s independence toward its asset manager Robeco, which is also part of Rabobank.

Throughout the year, the new equity portfolio returned 9.1%, outperforming its benchmark by almost 0.5 percentage points, according to pension fund, which reported an overall result of 9.6%.

Alternatives were the best returning asset class, with private equity generating 30.9% and commodities and infrastructure yielding 18% and 10.4%, respectively.

The Rabobank scheme said it continued winding down its hedge funds portfolio by divesting €30m of the remaining €50m last year.

Fixed income investments - comprising 47% of the scheme’s assets - returned 4.8%, but officials noted that the 5.6% return on government bonds fell 0.3 percentage points short of its benchmark.

They attributed the disappointing performance to susceptibility to interest, as well as to the country allocation, which included the US, Japan and Spain.

Property and liquid assets returned 3% and -1.2%, respectively.

The pension fund said its result included 2.9 percentage points as the combined result of a hedge of the risk on currency (-0.3%), equity (-0.6%), interest (3.65%) and inflation (0.15%).

The Rabobank scheme granted its pensioners and deferred participants an indexation of 0.95%, while awarding its 44,000 employees an inflation compensation of 1.25% last year.

At year-end, its nominal and real coverage ratios were 119.9% and 73.5%, respectively.