NETHERLANDS - The €6.4bn pension fund for private road transport has allocated to a tactical asset allocation strategy, as well as investing in commodities and infrastructure in its bid to adjust to changed market conditions, but has made a conscious decision to divest from 'activist' hedge funds.
The allocation to TAA will cover 6% of its assets, while 1.5% has been allocated to commodities.
An additional 1% has been invested in infrastructure, such as networks for telecommunication and energy, the Pensioenfonds Vervoer said in its annual report.
And as part of its SRI policy, the scheme has not only withdrawn its investments in 16 manufacturers of landmines and cluster bombs, but has also stopped investing in what it describes as activist hedge funds.
"We thinks these hedge funds only pursue short-term interests, which do not serve corporate Holland. The way these activist schemes acted on ABN Amro and Stork also contained ethical aspects," Groenendijk pointed out.
"Instead, we will focus on environmental-friendly and socially-desirable investments, such as microfinance, in which we already expect to invest this year," he added.
The scheme reported overall returns of 1.3% but its cover ratio of almost 138% at year-end had dropped to 125% by the end of July, albeit this is still within the required financial buffers, indicated Patrick Groenendijk, head of investments at Vervoer.
Property and hedge funds were the scheme's best returning asset classes with yields of 7.1% each, while TAA yielded 3.8%.
However, the pension fund could not provide the returns of fixed income and equity, thanks to "complex rebalancing by its fiduciary manager", according to Groenendijk.
He said the scheme has decided to gradually hedge up to 60% of its interest rate risks through swaps, but declined to provide exact details about the present situation, referring to the present market turmoil.
The scheme's currency risk is hedged mainly through currency futures, with a full hedge of the British pound, the yen and the US dollar.
The allocation to the new asset classes follows the scheme's latest ALM study and came mainly at the expense of its equity portfolio, which has decreased to 33% in the meantime,said Groenendijk.
The Pensioenfonds Vervoer's fixed income portfolio has also decreased by 3% to 47% now, he added, while the scheme's property and hedge funds portfolio amounted to 7.5% and 4% of its assets respectively.
The Pensioenfonds Vervoer has fully outsourced its administration to Syntrus Achmea while the assets are managed by over 30 managers through fiduciary manager Goldman Sachs.
The scheme has 165,350 active participants, 381,600 deferred members and 42,800 pensioners, as well as 8,532 affiliated companies.
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