ATP, Hilleroed, Denmark achieved a 5.8% return on its investment portfolio for the nine months ended Sept. 30.
An update Tuesday said the pension fund return equated to 6.9 billion Danish kroner ($1.1 billion). That compared with a 24.4% or 24.6 billion kroner return for the nine months ended Sept. 30, 2017.
Assets fell 0.6% to 779.2 billion kroner from June 30, but grew 2.8% year over year.
The fund's investment portfolio is invested according to four risk factors. As of Sept. 30, equity risk accounted for 42% of the portfolio; interest rate risk for 32%; inflation risk was 18%; and the remaining 8% was attributable to other risk factors.
For the nine months the biggest contributing asset class was private equities, returning 2.9 billion kroner. Real estate gained 2 billion kroner; infrastructure added 1.8 billion kroner; and listed Danish equities, 1.7 billion kroner.
Credit returned 799 million kroner and inflation-related instruments added 548 million kroner.
However, government and mortgage bonds detracted 1.9 billion kroner from assets, and international equities lost 476 million kroner for the investment portfolio. Other investments lost 402 million kroner.
"Our balanced investment portfolio has generated a stable return in a difficult period, and we are pleased with the contribution from the illiquid part of our portfolio," said Christian Hyldahl, CEO at ATP, in a statement accompanying the update. "We continue to take risks based on a disciplined approach to both portfolio construction and risk management as a way of ensuring that we create satisfactory long-term results despite the low and uncertain return environment."