The investment and hedging performance for the first quarter of this year means the DKK 660 billion ($114 billion) Danish ATP is on target to reach its five-year performance objective which will end this year.
The performance target for the five-year period of 2006-2010 is DKK45.5 billion (or 6 per cent on the current asset size) and between the investment and hedging activities the fund recorded a profit of DKK39.9 billion for the period until and including the first quarter of this year.
Chief executive of ATP, Lars Rohde, said the “highly satisfactory” first quarter results were driven by the large allocation to listed domestic equities which outperformed equities in both Europe and the US.
ATP’s portfolio is divided into two sub-portfolios: a hedging portfolio, which is designed to hedge the pension liabilities and consists largely of interest-rate swaps and long-dated bonds; and an investment portfolio which is divided into alpha and beta portfolios.
The beta portfolio is divided into five categories, allocating 43.6 per cent to interest rates, 11.0 per cent to credit, 13.6 per cent to equities, 27 per cent to inflation and 4.8 per cent to commodities.
The alpha portfolio is actively invested through the purchase and sale of individual equities, managed mainly through internal teams.