Pensioenfonds PGGM, Zeist, Netherlands, is considering ways to invest up to 5% of its total assets in commodities. The 111.3 billion guilder ($45.6 billion) system also plans to increase its holdings of private equity to roughly 7.5% of fund assets, from the current 5%.
Both positions would be funded by cutting the plans exposure to fixed income to 13% from 15% and reducing its exchange-traded equity holdings by five percentage points to 45%, said Niels Kortleve, head of investment policy.
The commodity portfolio benchmark is expected to be the Goldman Sachs Commodity index. The plan has not decided whether to manage the portfolio in-house, invest directly in index futures or use a total return swap with an outside investment manager, Mr. Kortleve said. He said a decision was likely within the next two months.
Investing in commodities would help diversify the schemes investments, as movements in commodities are uncorrelated to movements in fixed income and equities, Mr. Kortleve said.