NETHERLANDS - The Dutch Shell Pension Fund booked a total return of 16.8% in 2006, increasing its entire assets to €18.3bn. The scheme outperformed its benchmark by 3.3%.

Although Shell announced today that 2006 has been an "excellent year" for the scheme, its total return was significantly lower than 2005's 20.9%. "This fluctuates from year to year. We don't have any more comment than that," a spokesman for the fund told IPE.

The best performing asset class was private equity, now grown to 5% of assets, which returned almost 39%. The spokesman said Shell is aware of recent scrutiny of private equity investments, but added that Shell has a policy to look very carefully in which private equity and hedge funds it invests.

Equities, with an asset allocation of 65%, returned 21%, the highest returns being from emerging markets and Europe, with respective returns of 28% and 26%.

Returns from hedge funds were "relatively subdued", booking only 5%. "The pension fund invests exclusively in hedge funds that pursue ‘market-neutral' strategies, which typically have a lower risk profile," said the pension fund.

The fixed income portfolio - 26.6% of assets - performed worst. This was due to the increase in long-term interest rate, resulting in modest returns on bonds, with returns in emerging market debt of 11% and in the corporate bond portfolio of 7%.

Shell's funding ratio, at market interest rate, has increased to from 145% to 163%.