NETHERLANDS – The €7.2bn pension fund for Dutch medical consultants (SPMS) reported a quarterly return of 2.75% due in part to a 17.5% return on its Japanese equity holdings.
Director Jeroen Steenvoorden attributed the performance to the Bank of Japan’s large-scale stimulus programme, “which has caused investors to flock to more risky equity investments”.
He added that SPMS had fully protected itself against the drop in value of the yen, which has come on the back of Japan’s new economic policy.
The scheme’s overall equity portfolio returned 8.5% over the period, outperforming its benchmark by 0.6%.
US equities returned 14%, while European equities – “despite rising unemployment and disappointing economic development” – returned 6.6%.
The scheme’s equity holdings in Asia and the emerging markets returned 4.5% and 2.2%, respectively.
Listed property in the US and Europe returned 10.5% and -0.6%.
The pension fund’s fixed income portfolio also outperformed its benchmark by 0.4 percentage points, returning almost 1.6%.
SPMS’ alpha mandate – consisting of hedge funds and global tactical asset allocation – returned more than 3.5% during the first quarter, an outperformance of 2.7 percentage points.
Steenvoorden said the alpha mandate had performed well, but conceded that its benchmark had been based on low short-term interest rates, plus an annual 3.5% absolute return.
The director said the scheme strategically allocated 9% of its assets to its alpha mandate, 44% to its fixed income portfolio and 34% to its equity holdings.
However, he declined to provide details about the current asset mix.
SPMS said it lost 0.8% on its 77% interest hedge due to the slight rise in long-term rates in the first quarter.
During this period, its coverage ratio increased by 4 percentage points to 116%.
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