NETHERLANDS - SPW, the €4.1bn pension fund for housing corporations, returned -3.9% in investments during the first quarter - just 0.5% short of its benchmark.

To make matters worse, the rise in long-term interest rates also damaged the fund's extensive interest swap hedge and lowered the portfolio's overall return by a further 40 basis points, officials said.

In the last quarter of 2008, the interest rate hedge on 80-100% of the fund's assets allowed SPW to limits its loss on investments to 2.7% by the end of the year rather than end at 12.1%.

That said, the fund has bounced back somewhat since 1Q as the cover ratio had dropped by 6% to 88% during the first quarter, but it has since increased again to 97% by the end of May.

Fixed income was the best returning portfolio in the first three months of this year, according to SPW, delivering a 1%, return, which was attributed solely to the interest yields on government bonds.

But "as uncertainty on capital markets still prevails, corporate bonds generated negative returns," said the scheme.

Equities generated a negative returns of 5.3% but, in contrast to considerable negative results from developing countries, emerging countries performed positively, officials indicated.

Commodities was the worst performing asset class within the alternatives portfolio, returning  -5.1%, whereas private equity and hedge funds yielded a positive 0.4% and 2.3% respectively, SPW said.

The industry-wide Stichting Pensioenfonds voor de Woningcorporaties serves 515 affiliated organisations and has 62,800 participants.

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