SWITZERLAND - Swiss pension funds returned 0% on average in 2011, according to the country's pension fund association (Asip).
Using statistics compiled together with Towers Watson from more than 650 portfolios, Asip found that the median performance last year was -0.2%, an even lower return than the one calculated by Credit Suisse last month.
The association noted that the highest returns came from Swiss real estate, where direct investments returned 5.5% and indirect investments 5.8%.
Another major contributor to performance came from Swiss bonds (4.8%) and foreign bonds (2.7%), which, combined, accounted for more than 43% of the CHF187bn (€155bn) in assets sampled for the study.
Asip said there were no major changes in asset allocation for the participating funds, with shifts in weighting stemming mainly from market movements.
The equity allocation was around 26.5%, down from 28.2% at year-end 2010, while the bond allocation remained virtually unchanged.
The pension fund association warned that, due to "regulatory issues", such as the significance of certain dates for underfunding reporting, trustees had been "increasingly driven" towards short-term risk assessment instead of taking a longer-term view.
In other news, the CHF16.9bn pension fund of Swiss retail giant Migros reported an "unsatisfactory" return of 0.1% for last year.
The fund attributed the performance to the European sovereign debt crisis, which "accentuated" in 2011 and had a "negative influence" on the equity markets.
The fund managed to avoid a drop in funding only by cutting the discount rate applied to assets of active members.
The discount rate, or technischer Zins, was lowered from 3.5% to 3.25%, leading to a one-off positive effect amounting to CHF615.5m.
A "more cautious" discount rate was also applied to liabilities of retired members, down from 3.5% to 2.75%, the fund said.
Despite this, funding increased from 105.1% to 107.2% when it would have fallen to 103.1% without one off effects from revaluing buffers.
Another positive contribution to the performance came from the scheme's 30% real estate exposure.
Approximately 40% of the portfolio is invested in bonds and another 30% in equities.
In 2010, a major portfolio restructuring had helped the Migros scheme outperform the market.
Meanwhile, the pension fund of the Swiss Federal Railways, the SBB PK, reported a return of 1.85% for 2011.
Because of its "rather conservative" investment strategy, the CHF13.9bn fund outperformed its benchmark, which returned 1.02%.
As per year-end 2011, the fund had invested 10% in cash, 53% in fixed income (44% in Swiss bonds), 23% in equities, 8% in real estate and 5% in alternatives, including commodities, hedge funds, private equity and infrastructure.
A CHF1.1bn state subsidy boosted the funding level from 91.7% to 96.4%, but the fund noted that recovery measures would have to be maintained.
Cutting the conversion rate from 6.52% to 5.85% helped the fund save CHF400m.