Stichting Pensioenfonds ABP, Heerlen, Netherlands, is conducting an asset-liability study of the €187 billion ($220 billion) scheme to be completed next summer. It will be conducted in-house. "I doubt (the review) will have a large impact on the asset side of the balance sheet," Roderick Munsters, CIO, said in an interview. ABP manages "close to 80%" of its portfolio internally; external mandates usually involve specialists in areas such as Latin American equities, Asian equities and global emerging equities.
The current asset allocation is 44% fixed-income, 36% equities, 10% real estate, 4% hedge funds and 3% each in commodities and private equity.
Fund investments returned 4.6% for the quarter and 10.8% for the year ended Sept. 30, according to ABP's quarterly review.