NETHERLANDS - The €1.1bn Dutch pension fund of consumers goods company Sara Lee is still gradually rebalancing its asset allocation, after its 40% strategic return portfolio decreased to 26% at the end of 2008.

Although its board agreed to a temporary shortfall of the set bandwidth of 30-50% for its return portfolio, it has decided to aim its rebalancing at 40% as of the end of 2009.

Its strategic return portfolio consists of 25% equity in two worldwide passive mandates in developed countries, 5% equity in worldwide emerging markets through active management and 5% in European listed property.

In addition - and as an explicit protection against inflation - the scheme has allocated 2.5% to passive commodities funds and will set aside a similar percentage for infrastructure.

The pension fund's 60% matching portfolio has been equally divided up into an active mandate of euro bonds, including corporate bonds, and a passive mandate.

The passive mandate consists of long euro government bonds, as well as swaps and swaptions, for a 75% hedge of the interest risk on its liabilities.

A full hedge of the US dollar and the Japanese yen and a 33% hedge of the UK pound have been applied against currency risks, according to the scheme.

Officials said the fund invested €100m in corporate bonds at the expense of governments bonds in 2009.

The Stichting Pensioenfonds Sara Lee - the successor of the scheme of the coffee and tea producer Douwe Egberts - reported overall returns on investments of 15.3%, with fixed income and equities returning 6.9% and 28.3%, respectively.

The pension fund said its coverage ratio had risen to 108% at year-end, adding that it included a 4.4% provision for increased longevity.

Meanwhile, the Sara Lee scheme has swapped Syntrus Achmea for TKP as pension administrator.

New contracts have been concluded with asset managers Aberdeen AM and BlackRock, while an asset management contract with Delta Lloyd AM was terminated in 2009, according to its annual report.