ATP, PFA assets plummet as coronavirus hits

ATP, Hilleroed, Denmark, posted a -26% investment return for the three months ended March 31, as market fluctuations hit international equities and inflation-related securities.

An update Thursday said the pension fund's return was equal to a 24.7 billion Danish kroner ($3.6 billion) loss, compared with a gain of 16.8 billion kroner for the three months ended March 31, 2019. The fourth quarter 2019 return was not available.

Assets increased 0.4% to 889.5 billion kroner in the three months ended March 31, vs. a 6.2% increase from figures as of March 31, 2019. Individual asset class returns were not disclosed.

The fund's asset allocation is split into four risk factors — equity, interest rate, inflation and other risk factors. Returns by risk factor were not available.

"After an extended period of strong investment returns, Q1 2020 saw us having to give some of the previous returns back. In spite of the substantial financial market fluctuations caused by the corona crisis, the investment portfolio has been kept inside the frameworks of our risk models, and at the same time we are maintaining a margin for maneuver to allow us to take controlled market risks when and if we should wish (to)," Bo Foged, CEO of ATP, said in a news release accompanying the update.

"We maintain our disciplined approach to risk management in order to create satisfactory results in the long-term. In the short-term, the result will, unfortunately, reduce the possibility of increasing pensions," Mr. Foged added.

Separately, PFA Pension, Copenhagen, Denmark, posted a negative return on its investments for the three months ended March 31, driven by a -17.7% return for its equity allocation.

The Danish pension company's investment return loss was equal to 33 billion kroner for the first quarter, compared to a 27.3 billion kroner gain for the same period in 2019, said a news release Thursday. The fund did not publish an overall investment return figure in percentage terms. The return for the fourth quarter was not available.

The fund's asset size as of March 31 was not provided. As of Dec. 31, PFA had 560 billion kroner in assets.

The largest loss by asset class for the first quarter was in public equities at -17.7%. Alternative investments returned -10.8%, while real estate returned -1.6% for the three months ended March 31.

The bond allocation return was -2.5% for the quarter. The fund's asset allocation was not available.

"From mid-February, things began to turn, as the consequences of the COVID-19 pandemic began to make their mark on the financial markets," Kasper Lorenzen, group CIO, said in the release. "And when the virus appeared outside China, and Denmark, along with many other countries, it shut down our society, the big falls quickly followed. This means that we have come out of the first quarter with a negative return."