NETHERLANDS - The five largest Dutch pension funds generated positive returns on almost all asset classes during the fourth quarter, with the €111bn healthcare scheme PFZW returning 6.9%.

The scheme’s 27.7% interest and inflation mandate was the best performing portfolio, returning 9.1% during the last quarter and 34.5% during the whole year, thanks to low interest rates, it reported.

PFZW attributed the 6.7% quarterly return on its 36.4% equity holdings to “improved prospects and good sentiment”.

However, the equity portfolio generated a 4.3% loss over 2011, it said.

Its 2% commodities allocation returned 11.9% in the fourth quarter due to rising oil prices, according to the healthcare scheme, adding that the year result was 2.5%.

High-yield bonds, credits and property/infrastructure delivered 4%, 1.8% and 3.4%, respectively, during the last quarter, while the yearly result was 4.8%, 3.5% and 1.1%, respectively.

The €246bn civil service scheme ABP reported a quarterly return of 4.6% and a 3.3% profit for the whole year.

ABP said that almost all asset classes showed positive quarterly returns, except government bonds (-0.3%), inflation-linked bonds (-2.1%) and global tactical asset allocation (-3%).

Its 53.5% securities allocation returned 7.1% during the last quarter, but lost 3.5% during the year, with emerging market equities falling by 16.1%.

The €32bn pension fund for the building industry (BpfBOUW) reported an annual return of 10%, but indicated that 8.1 percentage points of that had been due to the combined effect of its hedge on currency, interest and inflation risks.

During the fourth quarter, BpfBOUW returned 4.7%, including the hedge, it said.

The €26bn metal scheme PME also benefited from its 65% strategic cover of the interest risks on its liabilities, which also contributed 8.1 percentage points to its annual result of 9.4%.

Although its 51% fixed income portfolio returned 4.6% during 2011, the scheme lost 6% and 2.7% on its equity and alternatives holdings of 23% and 8%, respectively.

PME’s 8% property allocation produced a 3.4% profit last year.

The scheme’s return during the last quarter was 4.9%, it added.

Finally, €41bn metal scheme PMT reported an annual result of 6.9% and a quarterly profit of 4.1%.
Its holdings in equity, fixed income and property returned 6.2%, 3.7% and 1%, respectively, during the past three months, returning -6.6%, 15.5% and 2.15, respectively, for the full year.