NETHERLANDS – The €1.5bn pension fund for the Dutch meat-processing, cold meat, snacks and poultry sector (VLEP) has stuck with its strategic 60% fixed income and 40% equity allocation following a recent asset liability management (ALM) study.
The ALM confirmed that the allocation, including a 40% interest hedge on liabilities, still matches the scheme’s goals and risk outlook, according to VLEP’s 2012 annual report.
It said the most important adjustment of its investment policy was the reduction of its portfolio risk by hedging 50% of the risk on the US dollar, the yen and the pound.
“To mitigate counterparty risk, we only concluded one-month forward contracts through Rabobank,” it added.
The scheme reported an overall return of 15.4%, with equity and fixed income returning 16.3% and 16.5%, respectively.
With a return of 24.7%, its participation in Robeco’s Institutional LDI Euro Full Discretion 40 Fund was its best performing investment.
Its listed property holdings also performed well, generating 24.5%, exceeding its benchmark by 15.4 percentage points.
By contrast, non-listed real estate lost 3.5%.
VLEP’s equity investments in Europe – managed by BlackRock – returned 20.2%, whereas its holdings in global and emerging market equities returned 14% and 13.9%, respectively.
Its mortgages portfolio produced 4%.
At June-end, the pension fund’s coverage ratio was 95.3% after a 7% rights cut last April – and despite a “temporary” contribution increase to 21%, as well as a decrease of the yearly pensions accrual to 1.7% at the start of 2012.
The scheme indicated that, as its required minimum funding is 104.3%, an additional rights discount of at least 2.9% is likely.
At year-end, VLEP had 18,740 active participants, 6,660 pensioners and 49,810 deferred members, affiliated with 1,136 employers.