NETHERLANDS - The €11.4bn Rabobank pension fund has decided to divide its equity portfolio across several managers, following disappointing performance from Robeco.

Instead of deploying Robeco as its sole asset manager, the pension fund's board will not only divide up the management of its equity investments, but also introduce different management styles, according to a report issued by the scheme's participants' council.

Implementation of the changes is scheduled for the start of 2010.

The asset management of the Rabobank scheme had been largely contracted-out to Robeco through Syntrus Achmea Asset Management.

The scheme's equity portfolio underperformed its own benchmark by 1.3% last year when it returned -42.9%, and fixed income investments underperformed by 0.6% albeit they did at least generate a positive return of 7%.

It attributed the disappointing result from its equities portfolio to the performance of the ‘valuation' element of its manager's selection model, focusing on cheap equity whose value decreased more than average.

The ‘profit review' focus also contributed negatively, according to the annual report, drawing the conclusion that a style-based investment strategy does not for the time being fit within the current equity portfolio.

The pension fund said the disappointing performance of its fixed income investments last year was mainly caused by the underperformance of the credit portfolio.

The Rabobank scheme's alternatives portfolio last year returned -22.2%, while direct property and indirect properly generated returns of 3% and -11.1% respectively.

Despite these losses in some asset classes, the Stichting Pensioenfonds Rabobank saw an overall return of 10.4% in 2008, thanks to an extensive strategic hedge, which contributed 26.6% to the result.

The participants' council also said the scheme's board will continue to prioritise a slow recovery through less risky investments, in favour of a gradual increase of its cover ratio, which was 126% by the end of September 2009.

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