FRANCE - The Fonds de reserve pour les retraites (FRR) has reported a 24.8% decline in its performance during 2008.
It added the annualized performance of the FRR since inception (June 2004) remained slightly positive at 0.3% per annum. At the end of 2007 it was 8.8% per annum.
FRR said the deterioration was the direct consequence of the global crisis in the capital markets, in particular that of the world's equity markets which declined by 42% over the last year.
It attributed the losses to its strategic asset allocation, which led to a predominance of equity investments in the portfolio (60%), made in 2003 and in 2006.
FRR explained that in light of the turn for the worse that the crisis took in late September and following the guidelines decided on as of October, the exposure of the FRR's portfolio to equities was cut back (to 49% from 64.5% at year end 2007).
The percentage of assets held in treasury and invested in bonds was increased.
Meanwhile, FRR has awarded two different mandates for Japan and Asia Pacific equities.
FRR signed a contract with Daiwa SB Investments, DIAM International and Fidelity Gestion for the management of a €900m Asia Pacific portfolio involving Japanese equities.
It also signed a second contract for the management of a €600m portfolio of Asia Pacific equities, excluding Japan with Barclays Global Investors.
A third mandate was awarded to Allianz Global Investors France (management delegated to RCM Capital Management) and ING Investment Management.
The global amount invested is €800m and it will be allocated US equities.
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