NETHERLANDS - The €3.2bn industry-wide scheme PNO Media has replaced its passively managed investments in European and US listed index futures with passively invested equally weighted portfolios.

In its first-quarter report, officials at the Dutch scheme said: "Based on the assumption that the MCI markets are inefficient, we are expecting better returns from an EWI index."

The new portfolios - each consisting of 3% of PNO Media's assets - will be re-balanced every year.

The pension fund saw its coverage ratio improve by 5.7 percentage points to 104.8% in the first quarter, thanks to an increase of 37 basis points for long-term interest rates.

The scheme's funding now meets the required minimum, as mapped out in its short-term recovery plan for 2009-13.

PNO Media reported an overall return on investments of 0.4%, but said it lost 0.3 percentage points, due to the combined effect of the 50% interest hedge on its liabilities, as well as its full currency hedge.

Private equity and commodities - with returns of 4.1% and 5.4%, respectively - were the best returning asset classes within the alternatives portfolio, holding 20.8% of the scheme's assets.

Non-listed property investments achieved a return of 0.5% during the first three months.

Although it still outperformed its benchmark by 0.5 percentage points, the scheme's 34.7% equity holdings generated -0.3%, according the pension fund, attributing the loss in part to the effect of the earthquake in Japan.

The zero return of its 44.4% fixed income investments also meant an outperformance, of 0.7%, the media scheme said.

It added that inflation-linked bonds delivered 1.4% following an increase of the inflation forecast.

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