SWEDEN - AP6, one of the Swedish buffer funds, and AP7 - the government default fund in the defined contribution system - both fell short of target returns in 2011, with AP6 down 6.9% and AP7's equity fund falling by 11.8%.
AP6 fell short of its 7.7% return target, as set out by its board.
The fund was also hit by write-downs of more than SEK2bn (€225m), stemming mainly from early-stage companies.
Following the announcement of a government review, as well as extensive management changes - including new chief executive Marianne Dicander Alexandersson - the fund said it was now planning to focus on later-stage investments in Sweden.
Early-stage investments will be made through venture capital funds across the Nordic region.
AP6 differs from the other buffer funds in that it is a closed fund - it does not receive additional money or pay out funds into the pension system. It also only invests in private equity in Sweden and the neighbouring Nordic countries.
The fund has grown to SEK18.5bn since launch in 1996, generating an annual inflation-adjusted return of 2.5%.
Since 2003, the fund's sole focus has been on private equity investments.
For the nine years to the end of 2011, its annual inflation-adjusted return has been 3.8%, below the target of 6.7% set by board.
Following the recent review, new financial targets have been adopted and are to be implemented 2012.
The fund has chosen the Handelsbanken Nordic All-Share Portfolio Index Total Return with an additional 2.5% risk premium as benchmark going forward.
Meanwhile, AP7's equity fund - with SEK99bn in assets - underperformed its benchmark by 1.2% in 2011.
The SEK6.6bn bond fund managed a return of 3.5%, but underperformed against its benchmark, which returned 5.2% over the same period.
AP7 also manages the non-selectable government fund within the country's DC pension system.
That fund, Såfa, fell by 10.5% in 2011. The target for Såfa is to achieve returns that are at least as good as the funds managed by commercial providers within the system, which during 2011 fell by 10.4%.
In other news, Folksam, one of the largest life and pension insurers in Sweden, has put in a SEK1bn-3bn (€113m-340m) bid offer for rival Skandia Liv.
However, Skandia Liv has declined the offer.
The bid depends on whether Skandia Liv buys Skandia AB, sold by Old Mutual.
Bengt-Åke Fagerman, chief executive at Skandia Liv, said interest from competitors showed that the company's new strategy as the "way to go".
He said other market players were "scared" of the power of a unified Skandia and wanted to position themselves for the future.
But he said it was "not self-evident" that any deal would be good for Skandia Liv customers.
Fagerman did not exclude the possibility of future cooperation, but he said Skandia Liv's focus was now to finalise a deal with Old Mutual.