Stichting Pensioenfonds PGGM, Zeist, Netherlands, today announced plans to increase its absolute-return allocation to 3% of total assets by the end of this year and 8% eventually, from the current 1.4%. This year, the 59.9 billion euro ($77.34 billion) pension plan intends to add fixed-income arbitrage, insurance-linked securities and volatility-linked instruments to its existing absolute-return strategies, which include hedge funds of funds and overlay management.
"PGGM's objective is to build up a portfolio consisting of 10 to 15 different strategies. Whether individual strategies are managed internally or externally will be a case-by-case decision," according to a statement from the scheme.
At the beginning of the year, the plan consolidated its absolute-return strategies, all run by external managers, into a single new portfolio with a target return of 370 basis points above the applicable money market rate. Jelle Beenen, manager of commodities and quantitative strategies, oversees the new portfolio, said PGGM spokeswoman Ellen Habermehl.
Further details were not available.