Despite returns of 10.2% on average in 2016, funding of Dutch pension funds has barely improved, according to a survey by financial daily newspaper Het Financieele Dagblad (FD).

The newspaper, which examined the results of the 100 largest schemes, concluded that the yields of the pension funds struggled to keep up with increasing liabilities in the wake of falling interest rates.

This even applied to pension funds with the best investment results, such as the €1.5bn scheme of Holland Casino, which returned 16.3% including the return from its derivatives.

Despite the result, the pension fund’s coverage ratio only improved by 3.7 percentage points to 103.3% during last year.

According to the FD, funding of the pension funds had remained almost stable at 102% on average, as liabilities had risen approximately 9%.

As a consequence, many pension funds are still in danger of having to apply benefit cuts in 2020 or 2021.

Earlier this year, supervisor De Nederlandsche Bank (DNB) warned that returns on investment had failed to boost schemes’ funding.

Almost all pension funds have based their recovery plans on expected returns – rather than on a rights discount or a contribution rise – to improve their coverage to the required financial buffers of approximately 125% within 10 years.

“Although this is fully legal, pension funds take a risk with this approach,” warned Frank Elderson, DNB’s director of pension fund supervision.

The FD highlighted the €19.3bn pension fund for the retail industry (Detailhandel), which returned 12% on average in the past five years, but saw its funding drop from 116.2% to 106.7% in the past two years.

Coverage of the €1.4bn scheme for private security (Particuliere Beveiliging) dropped from 100.9% to 99.8% in 2016, despite the pension fund returning 14.8%.

The newspaper also found that funding of the €187bn healthcare scheme PFZW had dropped 0.3 percentage points to 95.3%, even though its investment portfolio had generated a 12% profit. The large metal schemes PMT and PME showed a similar outcome.

The coverage ratio of the €389bn civil service scheme ABP dropped 0.5 percentage points to 96.7%, despite a positive investment result of 9.5%.

The FD said that the €108m sector scheme for the wholesale sector (Nederlandse Groothandel) and the €2.2bn corporate pension fund Atos Origin had delivered the poorest performance last year, returning 5.9% each.

It added that, contrary to 2015, not a single scheme had reported a negative result.

The newspaper’s annual survey also showed that returns of Dutch pension funds had been 8% on average during the past five years.

However, the annual results varied widely, it said. In 2015, the average return was 0.8%, whereas a year earlier the average return was 21.2%.