SWITZERLAND - Half of Swiss pension funds made tactical adjustments to their asset allocation in the first quarter but were disappointed by the results, Swiss consultant Lusenti has found.

At least 83% of the respondents to the consultancy's regular online survey said they tended to take the decision in-house on a case-by-case basis, rather than delegate it.

On average, pension funds noted the decision did have a "not very favourable impact" on their portfolio returns with the average on a scale from +5 (very favourable impact) to -5 (very unfavourable impact) being -2.

155 institutions with combined assets of CHF239bn (€147bn) - accounting for around 40% of all Swiss pension fund assets - took part in the semi-annual online survey.

Returns for all Swiss Pensionskassen fell to -5.6% and -8% respectively in the first quarter depending on whether real estate was included in the calculations. (See earlier IPE story: Swiss property exposure hits all time high)

The tactical decisions most often made in this environment of falling markets were the overweighting or underweighting of particular asset classes, according to Lusenti.

"Automatic rebalancing, applied by 28% of respondents, was another fairly widespread practice, while 22% increased their cash positions and 20% preferred to sit tight and take a passive approach," the consultant noted.

Only a minority (9%) changed their strategic asset allocation or their manager (10%) and, overall, Lusenti found the funds preferred specialised managers to balanced mandates.

"The reasons why respondents opted for specialist management were a better utilisation of the management skills of external managers, the large amounts of assets to invest, the funds' understanding of investments and their monitoring, and the optimum utilization of available resources," the firm commented.

Much of the domestic exposure in traditional asset classes was still managed in-house with alternatives and foreign mandates being given to outside managers.

Around 15% of Swiss pension fund respondents used derivatives to hedge parts of their portfolio, while 7% used guaranteed-capital structured products.

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