SCHIPHOL, Netherlands — Roderick Munsters is a natural contrarian.
"By nature, I don't like to simply copy things others are doing," said the chief investment officer of the €194 billion ($248.5 billion) Stichting Pensioenfonds ABP, the giant Dutch fund based in Heerlen.
Not only is he considering upping the plan's exposure to illiquid assets such as unlisted real estate, infrastructure and private equity, but also he's refusing to follow the current trend among Dutch pension plans to invest in long-dated fixed income. That trend is spurred by new Dutch legislation requiring pension plans to use mark-to-market accounting.
"How low can you go intellectually?" Mr. Munsters asked from his offices at one of the plan's investment operations in Schiphol. "If you have the ambition to offer your pension plan participants an attractive real return, it seems rather stupid in the long run to massively invest in long-dated fixed income at such low rates. The FTK (new pension funding rules to be introduced early next year) may require this, but maybe there is a design fault here," said Mr. Munsters, choosing his words carefully.
Some consultants and money managers close to the Dutch market see Mr. Munsters as the lone sane voice in the Dutch wilderness, while others view him as the naughty boy in the schoolyard.
But there's no doubt the size of ABP's €84 billion fixed-income portfolio, which is about 43% of the fund's total assets, makes it impossible for the fund to effectively immunize its portfolio without swamping the market.
One source who asked not to be identified speculated that Mr. Munsters' protests might be an attempt to create a virtue out of his plan's predicament.