FRANCE - The Fonds de Réserve pour les Retraites (FRR) has attributed its its positive results over the past months to tactical allocation.
Its results through 30 September 2007 showed the fund’s performance had been positive and appears to have weathered the subprime crisis.
Since the €31.8bn fund began operations in early summer 2004 its annualised performance has been 9.9%, net of all operating, interest and administrative expenses.
Its year to date performance in 2007 was 5.7%, the FRR described it as “respectable return in the current climate”.
The fund said tactical allocation “conservatively reduced exposure to equities” in the FRR’s portfolio, which started last May and reinforced exposure to bonds.
“This move gave the FRR a neutral position during the worst moments of the crisis, limiting the portfolio’s exposure from this perspective,” said the statement from the fund.
The FRR’s said its portfolio showed resilience in the face of recent market turbulence as the financial market climate deteriorated on two fronts.
However, the fund said the adverse impact on returns and volatility has made its task more difficult and it had a number of measures in place to limit the impact.
The FRR claimed it did not and does not now hold instruments that were directly affected by the crisis, such as subprime loans or other debt securitization vehicles. Moreover, it said it was not invested in money market funds, which have suffered in recent weeks.
The FRR said its managers of various bond or equity mandates had also taken more defensive positions in recent months.
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