FRANCE - The €33.8bn French reserve fund FRR said reduced exposure to equities and no holdings in instruments directly affected by the credit crunch helped to bring its  performance for the last nine months to 5.7%.

The Fonds de Reserve pour les Retraites (FRR) has been revising its tactical asset allocation and has continuously cut its exposure to equities since last May from 65% to 59.2% at present.

Bonds currently make up 35.8% of the fund's portfolio while the remainder is held in cash (3.8%) and alternative assets (1.2%).

The FRR also noted managers of various bond or equity mandates "have taken more defensive positions in recent months". One of the measures taken was to go underweight in financial services stocks.

Negative returns of assets in outsourced mandates almost halved the fund's year-to-date performance since January, bringing returns down from 6.2% at end-June to 3.6% at end-September.

That said, its relatively large cash holdings meant returns for total assets only dropped from 6% to 5.7%.
The fund's performance for the last nine months of 5.7% compares to a 6.8% return for the same period last year. Annualised performance since investing the first mandates in 2004 stands at 9.9%, up from 9.8% in September 2006.

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