The €25bn Rabobank Pensioenfonds said the active management of its equity portfolio didn’t add value last year following an investment loss that was 2.25 percentage points short of its benchmark.

In its annual report for 2018, the pension scheme for the Dutch bank said its 31.2% equity holdings had lost 7.5% during the year, relative to a 5.3% decline in its benchmark.

The negative equity performance was a main contributor to the scheme’s overall loss of 2.5% last year, it said.

The scheme’s annual figures showed that the negative result was predominantly due to a 2.2% loss on its currency hedge, which was not offset by gains of 0.5% and 0.3% from its equity and interest rate hedges, respectively.

Since 2010, the Rabobank scheme has applied a factor investing strategy – including momentum, value, size, quality and low-volatility factors – for its equity holdings through specialised managers.

Contrary to the conclusions of academic research, the scheme indicated that returns from value and size factor strategies had also fallen short of the market index for more than five years.

Responding to comments from its accountability body, the board said it would continue to evaluate its investment policy and adjust if necessary.

Asset class returns

Rabobank’s 46.5% allocation to fixed income – consisting of euro-denominated government bonds, Dutch residential mortgages and high-yield credit – generated 0.9%.

Alternatives holdings delivered a negative result of 1% on balance, with commodities and risk parity-based credit losing 13% and 0.9%, respectively.

In contrast, private equity and infrastructure gained 17.4% and 14.2%, respectively. The scheme’s property allocation gained 11.8%.

The pension fund said it had recalibrated its private equity programme by reducing the number of managers and increasing the amounts invested per manager, in order to cut costs.

It added that it had participated in new funds, including a fund aimed at repositioning and privatising parts of companies, and had further extended its holdings through co-investments and secondaries.

Rabobank also committed an additional €140m to infrastructure, and said it expected to reach its target allocation of 2.5% in 2022. At the end of 2018, its portfolio totalled €357m.

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