ATP, Hilleroed, Denmark reported a -40.9% investment return for 2022, knocked by the energy crisis, rising inflation and interest rates and the war in Ukraine, the fund said in its report published Thursday.
Assets fell 28% at the end of December 2022 to 678 billion kroner ($97.3 billion) vs. a year earlier.
The pension fund said in its annual update that the investment return was equivalent to a 64.4 billion Danish kroner loss, compared with a 49.6 billion kroner gain in 2021.
The pension fund suffered in particular from a 60.6 billion kroner loss on investments in government and mortgage bonds. That compares with a 20.1 billion kroner loss on government and mortgage bonds in 2021.
The fund's listed equities exposure lost 20.7 billion kroner in 2022. In 2021, listed Danish equity gained 7.6 billion kroner, while listed international equity recorded a 14.6 billion kroner gain.
However, inflation-related instruments generated gains of 11.8 billion kroner, compared to a 24.6 billion kroner gain in 2021.
"ATP has had a very difficult year where we lost a lot of money in our investment portfolio," said Martin Praestegaard, ATP's CEO said in a news release accompanying the financial update. "We would have been better off without it but 2022 was a challenging year for all investors. ATP was hit by losses in both equities and particularly bonds, which constitutes a large share of the investment portfolio.''