ATP, Hilleroed, Denmark, returned -1%, equivalent to a loss of 1.1 billion Danish kroner ($182 million), on its investment portfolio in the three months ended March 31, driven by overseas equity exposure.
The pension fund said in a financial update Wednesday that assets were flat at 768.5 billion kroner compared with the end of the previous quarter, but grew 2% over the year.
The fund has had an average investment portfolio return of 3.9% per quarter the previous five years. Seventeen of the previous 20 quarters produced positive returns.
In the three months ended March 31, unlisted equities gained 1.2 billion kroner. Infrastructure returned 932 million kroner, while real estate also contributed 787 million kroner. Listed Danish equities produced a positive return equivalent to 202 million kroner.
However, the fund's allocation to listed international equities lost 2 billion kroner, while state and mortgage bonds detracted 1.4 billion kroner from the investment portfolio. Inflation-related allocations lost 466 million kroner, other exposures lost 307 million kroner and credit allocations lost 30 million kroner.
Assets are split into two portfolios — an investment portfolio and a hedging portfolio. Overall, investment and hedging activity lost 2.2 billion kroner, vs. a 6 billion kroner gain for the first quarter 2017.
"In a difficult market, a negative return of 1% for the first quarter of the year was satisfactory in light of the very high returns realized in 2017," said CEO Christian Hyldahl in a statement accompanying the update. "The result indicates that returns are about to be normalized as central banks place a tighter hold on liquidity and ramp up interest rates."
The fund allocates according to risk factors within its investment portfolio. For the first quarter, its allocations were 45% equities risk, 31% interest rate risk, 17% inflation risk and 7% other risk. That compares to risk allocations of 43% equity, 31% interest rate, 18% inflation and 8% other as of Dec. 31.
