ATP, Hilleroed, Denmark, posted a -9% investment return for the three months ended March 31, as the fund's investments were impacted by rising interest rates.
An update Thursday said the pension fund's return was equal to a loss of 1.2 billion Danish kroner ($189 million), compared with a gain of 29.2 billion kroner for the three months ended March 31, 2020 and a 24.7 billion kroner gain in the fourth quarter of 2020.
Assets fell 5.5% to 906.6 billion kroner in the three months ended March 31, vs. a 1.9% increase from figures as of March 31, 2020.
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 and allocations for the quarter were not available.
As of Dec. 31, 43.7% of ATP's investments were allocated to equity risk, 35.3% to interest rates risk, 14% to inflation risk and 6.9% to other types of risk.
"ATP's current investment strategy is relatively heavily exposed to interest rates, and this makes it sensitive to the rising interest rates that we saw in the first quarter. Seen from a longer-term perspective, however, the strategy has served ATP's members well — this can be seen from the annual returns, which over the past five years have been close to 20%," Bo Foged, CEO of ATP, said in the update.