ATP, Hilleroed, Denmark, returned 24.4% on its investment portfolio for the nine months ended Sept. 30, but saw assets fall 0.1% over the period to 758.1 billion Danish kroner ($120 billion).
The investment portfolio's return was equivalent to a 24.6 billion kroner gain, the pension fund said in a financial update.
The return was driven by equity investments. Listed Danish equities were major performance contributors, generating a return of 5.3 billion kroner, ATP said in the update.
"The very strong return achieved in the three quarters is good news indeed for our members. In fact, the third-quarter return is the highest quarterly return in the past five years. As a result, our long-term return — over the one-, three- and five-year horizons — remains stable at a high level," Christian Hyldahl, CEO of ATP, said in a news release.
The investment portfolio takes a risk-parity approach, based on four risk factors. As of Sept. 30, the investment portfolio had a 44% exposure to equity factors, 33% to interest rate factors, 14% to inflation factors and 9% to other factors.
"Despite the strong performance, the outlook is for lower returns in the future as central banks tighten liquidity and raise interest rates. While global economic growth seems to be firmly on track, geopolitical uncertainty has increased. Our task remains to invest, to generate a return," Mr. Hyldahl said.