NETHERLANDS - Only a fraction of Dutch pension fund assets are actively invested in agricultural commodities, IPE has learned.

Soft commodities, such as wheat, sugar, coffee as well as livestock, are part of  the total commodities portfolio of the €211bn civil service pension fund ABP, spokesman Thijs Steger said, although he declined to state how much of ABP's assets are placed in soft commodities.

"We have invested in commodities because of their relatively high correlation with inflation. This is beneficial for a pension fund with the intention of a full indexation," Steger pointed out.

"Moreover, the asset class is a diversifier. It improves the risk-return profile of our overall portfolio," he added

ABP began investing in commodities since 2001, benchmarked to the Goldman Sachs Commodity Index (GSCI) and now has 3% of the scheme's assets under management against its strategic commodities allocation.

PGGM, the €86bn healthcare scheme, does not actively invest in agricultural commodities, spokeswoman Wilma van der Meij said, but has some exposure through its indexing.

"We consider them as short term investments while a pension fund invests with a long term horizon," said van der Meij.

"However, our pure long-only position in the GSCI index also gives us exposure to the agricultural sector (corn, cocoa, coffee, cotton, soybeans, sugar, Kansas wheat, Chicago wheat) of roughly 7.5% of the total commodities allocation", she explained.

"PGGM's current allocation to commodities is roughly 5% of total assets. Our current benchmark constitutes of 60% GSCI and 40% GSEN, giving us a high energy weighting of roughly 83%.  The high energy weighting is because its negative to zero correlation with other assets is strongest in this sector."

The healthcare scheme has been investing in commodities since 2000 so adding commodities to the mix this zero to negative correlation with other asset classes makes its total portfolio more robust, according to the fund.

Pension provider Cordares takes a similar direction to PGGM as Freek Vergunst, deputy director of asset management, said: "Although we don't directly invest in agricultural commodities, for some clients we do invest in commodities with the GSCI as benchmark."

In contrast, however, Mn Services, the €58bn asset manager for the two large industry-wide pension funds for the metal sector PMT and PME, has no immediate thoughts of shifting any allocation into agricultural commodities, according to spokesman Geert-Jan Cath.

Interestingly, while €18.5bn pension fund of oil giant Shell declined to provide details of its investment policy spokesman Wim van der Wiel acknowledged "it is very unlikely that the scheme's investments will run counter to the company's policy of not investing in commodities such as biofuels, that compete with food production".

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