UK - The £1.9bn J. Sainsbury Pension & Death Benefits Scheme has come clean over the poor performance of its assets over the last year.
The biggest fall experienced by its assets were those invested through Goldman Sachs Asset Management in European small and medium-sized companies. These fell by 28.9%against a benchmark fall of 22.57%.
Analysts believe that the scheme now holds a £1.1bn FRS17 deficit.
Other big falls were in assets invested in the BGI Aquila Life fund which fell by 28.8%, against a benchmark fall of 29%, and those invested in European ex-UK equities by Merrill Lynch Investment Managers which also fell 28.7% against a benchmark fall of 26.8%.
The scheme’s best performing assets for the year were those invested through MLIM in global fixed income which returned 9.5% against a benchmark return of 10%.
Over the final quarter of 2002 the scheme’s best performing assets were those invested in European equities (ex-UK) by MLIM, which rose by 9.2%. But MLIM also managed the worst performing asset class – Japanese equities – which fell by 4.3%.
Sainsbury’s pensions manager Geof Pearson quashed rumours that the scheme had doubled its bond weighting over the past year.
He explained that the combination of strong fixed income markets and falling equity values resulted in the scheme’s allocation to bonds effectively doubled relative to equities.
He added: “We did intend to increase the bonds weighting, but while equities were strong, it kept the bonds down.
“But equities have been very weak, and it has artificially pushed the fixed income weightings up.”
Following the scheme’s last valuation in 2000, it allocated 20% to fixed income.
*The J. Sainsbury scheme is gearing up to conduct an asset liability study, which could lead to changes in its investment structure.
Pearson said the scheme will carry out the review once it has completed its triennial actuarial valuation in November.
Watson Wyatt will begin the valuation at the end of the month.
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