SWEDEN – The SEK131.5bn (e13.7bn) third Swedish National Pension Fund (AP3) has recorded losses of around SEK5.6bn for the first six months of this year, according to its half yearly report.

The fund, which received an initial portfolio of SEK 134 billion at the beginning of the year, stood at SEK 131.5 billion at the end of June - a figure which includes a net inflow of pension contributions of SEK 2.1 billion.

The return on capital for the first six months of this year, adjusted
for net capital inflow, amounts to -3.4 per cent.

The return on the fund’s Swedish equity portfolio amounted to -10.8 per cent, which was 1.6 percentage points better than the benchmark index. The fund says other portfolios have generated returns at about the level of their respective benchmarks.

AP3 says the negative contribution to the fund's active return can be attributed to tactical asset allocation, where it has maintained an overweight position in equities during most of this year.

Tomas Nicolin, CEO of AP3, says he believes the necessary transition of the fund’s assets is now finished though:
"Our asset/liability modelling (ALM) study showed that a changed asset
mix would improve the probability of favourable outcomes for the pension
system, while diminishing the probability of unfavourable outcomes. I am
satisfied that the necessary transition of the assets under our
management is now completed."

AP3’s sister fund, the SEK132bn (e14bn) AP2 fund posted investment returns of –2.7% for the first six months of the year, losing SEK4bn of the SEK134bn for which it acquired responsibility at the start of 2001 - a figure offset slightly by a net inflow of liquid funds valued at SEK2bn.