ATP, Hilleroed, Denmark, posted a -3.2% return on its investment portfolio for the 12 months ended Dec.31.
An update Thursday said the pension fund's loss equaled 3.7 billion Danish kroner ($567 million), compared with a return of 15%, or 29.7 billion kroner, for the 12 months ended Dec. 31, 2017.
Assets increased 0.8% to 785 billion kroner from Sept. 30, and grew 2.1% year-over-year.
The fund's investment portfolio is invested according to four risk factors. As of Dec. 31, equity risk accounted for 40% of the portfolio; interest rate risk for 34%; inflation risk was 19%; and the remaining 7% was attributable to other risk factors.
For the 12 months ended Dec. 31, the biggest contributing asset class was government and mortgage bonds at 3.6 billion kroner. Private equity returned 3 billion kroner. Real estate gained 2.7 billion kroner; infrastructure added 2.1 billion kroner.
International and listed Danish equities lost 6.6 billion kroner and 2.6 billion kroner, respectively.
Credit subtracted 163 million kroner, and inflation-related instruments deducted 5.4 billion kroner from the investment portfolio. Other investments lost 318 million kroner.
"After several years of stable, positive returns, the financial markets, especially towards the end of 2018, were marked by negative returns in the global equity markets and rising interest rates in the U.S.," acting CEO Bo Foged said in a news release.
"Our long-term investment horizon and balanced risk approach provide a solid foundation for preserving the real value of our members' pensions," Mr. Foged said, "although we expect returns to be moderate in the coming years."
