NETHERLANDS - The EUR16bn Bedrijfstakpensioenfonds Metalektro (PME), which made a 5% allocation to commodities last year, says it is "disappointed" with the returns from the asset class.
A fund spokesman said: “In 2004, commodities returned 7.4%, but we are quite disappointed with this performance after we compared this with the returns of other pension funds who have commodities.
“The reason for lower returns was that we entered the asset class in the second quarter and missed out on very high returns in the first quarter. While the third quarter was good returning 16.3%, the fourth quarter was really bad, with returns dropping to -10.7%.
“We knew it was a volatile asset class when we started investing in it, but in the long term there are good returns to be had. The best thing about commodities is its lack of correlation with other asset classes. This lack of correlation brings down the risk of the overall portfolio.”
PIMCO and Bridgewater are two of the three managers running the EUR800m commodities mandate for the fund
The fund has no plans to increase or decrease its allocation to commodities and does not plan “any major changes” to its asset allocation in 2005.
“Our asset mix is determined by our funding ratio and a low funding ratio means lower risk. There has not been much change in our average cover ratio and so we don’t plan to have big changes in our asset allocation,” he added.
The fund returned 11.8% in 2004, mostly on the back of strong returns from fixed income (11.9%). PME has 53% in fixed income, 32% in equities, 10% in real estate and 5% in commodities.
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