ATP, Hilleroed, Denmark, recorded a -9.9% return for the six months ended June 30, although the portfolio has since recovered from the negative impact of the coronavirus pandemic.
The return was equivalent to a loss of 11.6 billion Danish kroner ($1.8 billion) and compared with a 32.1%, or 24.3 billion kroner, return for the six months ended June 30, 2019.
A financial update Tuesday said assets grew 3.6% over the six-month period and 4.2% over the year, to 917.9 billion kroner.
Losses were incurred in much of the investment portfolio, with only government and mortgage bonds and listed Danish equities making positive contributions to assets at 16 billion kroner and 2.3 billion kroner, respectively. For the first six months of 2019, government and mortgage bonds added 14.5 billion kroner, while listed Danish equities added 4.4 billion kroner.
Listed international equities lost 12.3 billion kroner, inflation-related instruments lost 7 billion kroner, credit lost 4.2 billion kroner, private equity lost 2.8 billion kroner, infrastructure lost 1.6 billion kroner and real estate exposures lost 1.2 billion kroner for the six months ended June 30. Other allocations lost 777 million kroner.
The fund's allocations are split by risk exposure. As of June 30, 45% of the investment portfolio was exposed to equity risk, vs. 43% as of June 30, 2019. Interest-rate risk made up 32% of exposures, vs. 34% last year. Inflation risk and other risks remained steady over the year at 14% and 9%, respectively.
ATP also runs a hedging portfolio, which lost 3.5 billion kroner for the first half of this year. For the first half of 2019, the hedging portfolio lost 4.1 billion kroner.
"H1 has been characterized by intense financial unrest," Bo Foged, managing director, said in a news release. "Even if the half year ends in red figures, I cannot help having an eye to the development over the summer when the investment portfolio is in the black for 2020."
The update said investment losses were partially recovered in the second quarter and fully recovered as of the start of August.
