ATP’s split portfolio

The performance of the hedging portfolio and a 43 per cent allocation to interest-rate sensitive bonds in the investment beta portfolio of the DKK352 billion ($65 billion) ATP were the main contributors to the group increasing pension reserves by one third last year.

The group divides its portfolio into two sub-portfolios: the hedging portfolio to hedge the pension liabilities is made up of interest-rate swaps and long-dated bonds and is not expected to produce a return over time.

The other sub-portfolio, the investment portfolio, is made up of a beta (98 per cent) and an alpha portfolio. For 2009 the beta portfolio returned 8.6 per cent.

In the past couple of years the group has made an effort to diversify the beta portfolio away from listed equities and that exposure only represents 14 per cent.

The other investment allocations are interest (43 per cent), credit (10 per cent), inflation (28 per cent) and commodities (5 per cent).

These asset classes individually returned 5.2 per cent, 18 per cent, 5.3 per cent, and 19.8 per cent with equities returning 22.5 per cent.

In 2009 the ATP alpha portfolio, with an allocation of $1 billion, generated an overall return of $28 million.

The two portfolios interact, for example in 2009, about $1 billion was transferred to the hedging portfolio as market-rate based payment for making liquidity available to the investment portfolio.