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.