* Quarterly reports show commodities exposure unchanged
* PFZW has 9.3 bln euros in commodity markets investment
* ABP increased investment in land/mining - asset manager
By Ivana Sekularac
AMSTERDAM, Feb 4 The two biggest pension funds
in the Netherlands plan to maintain investment in commodities
even after their latest quarterly reports showed commodities as
their worst performing asset class and a big U.S. fund halved
Dutch funds ABP, for state employees, and Pensioenfonds Zorg
en Welzijn PFZW for health and medical care workers, along with
Californian state pension fund CalPERS, were among a handful of
big pension funds that invested in commodity derivatives as an
alternative to stocks and bonds in the middle of last decade.
CalPERS slashed its investment in commodity derivatives by
more than half late last year from $3.45 billion to $1.56
billion on Oct. 31.
ABP and PFZW have kept their exposure to commodity
derivatives unchanged, at 3.6 percent and 7 percent of their
total portfolios, respectively.
The two funds have total commodities investments of more
than 19 billion euros, although ABP's includes investment in
resource company stocks as well as commodities markets.
"The purpose of the commodities in our portfolio is
diversification and inflation-hedging," said Jan Willem van
Oostveen, PFZW's manager for investment and financial policy.
"An investment in commodities is lowering the total amount
of portfolio risk. If you take them out of the portfolio, the
total risk is going to increase."
Quarterly reports published by ABP, the world's
third-largest state pension fund, and PFZW, the second-largest
pension fund in the Netherlands, showed commodities were their
worst-performing asset in the last three months of 2012.
PFZW's commodities investments lost 0.8 percent overall in
2012, falling 1.6 percent in the last quarter, its latest
quarterly report showed.
PFZW allocated 9.315 billion euros of its total assets of
129.6 billion to commodities. Of that exposure, 80 percent is in
petroleum markets, 10 percent in industrial metals, 5 percent in
agriculture and 5 percent in livestock.
ABP said 3.6 percent of its total assets of 281 billion
euros are held in commodities, worth about 10 billion euros,
shared between commodity market investment and resource company
equities. It reported a loss of 4.2 percent for commodities in
the last quarter of 2012 but said that overall in 2012 its
commodity investments rose 4.4 percent, following a rise of 6.1
percent in 2011.
It declined to give a breakdown of its commodities
APG, the asset manager of ABP, said the fund had increased
investment in natural resources company assets, which are part
of the commodities portfolio, to counter effects of volatility
in the market.
"The combination of liquid commodities and natural resources
should lead to a better risk/return relationship. This, for
example, via diversification across sectors - adding timberland
as a sector - and within sectors - for example adding iron ore,"
Olav Houben, head of commodities at APG, said.
The fund invests in production companies in the mining, oil
and gas sectors that "hedge their commodity sensitivity as
little as possible", he said.
"We prefer investments via unlisted structures to secure the
exposure to commodity price development."
PFZW's asset manager, PGGM, said it changed the way it gets
exposure to commodity assets to secure flexibility.
"We have changed our investment approach over the years from
one of being 100 percent total return swap-based to an almost
100 percent futures-based portfolio," PGGM said in an email.
(editing by Jane Baird, Richard Mably)