DENMARK - The DKK355bn (US$61.3bn) ATP pension fund lost DKK17.8bn over 2008, due mainly to declining equity values, the fund has said.
Allocations to government and mortgage securities, inflation related assets and oil performed well, softened the blow of negative returns elsewhere.
The fund's hedging strategies returned DKK93.5bn and made a DKK76.2bn contribution to cover future pension liabilities. In addition, the fund sold DKK80bn of foreign currency.
ATP chief executive Lars Rohde said: "In terms of investment, 2008 was unparalleled in modern history. We have been hit - like everyone else. If I were to point out something positive about the crisis, it would be that ATP's risk management safeguards our reserves. Had we not taken the necessary steps back in 2007, we could have fared much worse."
The fund also invested in long duration (30 year) Danish domestic government bonds and deposited DKK40bn in response to the currency volatility of the Danish Krone.
Rohde added: "Our risk management and targeted use of financial instruments have protected our freedom of investment. The use of oil and equity options contributed DKK14bn to results. Accordingly, we are well positioned to pursue the opportunities offered by the crisis."
The scheme said it was able to offer an index-linked increase of 2% this year, but it did not expect any increases in 2010 due to the worsening global economic conditions.
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