SWEDEN – AP-1, the 117.1 billion Swedish krone (12.8 billion euro) first Swedish national pension fund, has posted a loss of 13.8% for 2002, and has announced changes to its asset allocation following an ALM study.

The strategic benchmark is now to be composed of 57% equities, 40% fixed income securities and 3% alternative investments including real estate equities. The currency exposure of the strategic benchmark is 15%.

AP-1 yesterday released its 2002 results, posting a negative return of –13.8% which amounts to a loss of 18.7 billion Swedish krone (2.05 billion euro), taking the total size to 117.1 billion Swedish krone. The decrease in value was attributed to the downturn in world stock markets. Commented managing director at the fund, William af Sandeberg: "It is always regrettable when the fund capital decreases in value. In spite of the trends experienced during the year, our belief that the Fund shall have a high proportion of equities in order to ensure long-term yield has been strengthened, as confirmed in our new ALM study."

The negative rate of return was slightly lower than that of the fund’s strategic benchmark, with the difference being primarily due to the fund’s decision to be slightly overweight in equities during the second quarter.

The fund’s management costs amounted to 166 million Swedish krone – a decrease of 16 million Swedish krone compared to 2001.

AP-1’s annual report also highlights its intentions to manage a greater portion of the fund’s equity assets in-house on an active basis. The fund recruited personnel to its equities department throughout 2002.

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