The CHF14.5bn City of Zürich Pension Fund has decided not to make any major changes to its portfolio in light of the credit crisis, even though its funding level has now dropped from 130% in 2007 to an estimated 116% today. Vera Kupper Staub, chief investment officer and vice-chair of the executive board at the fund, explained to IPE: «Because our reserves are below our target level, we suspended rebalancing in our portfolio so that we are currently underweight equities from our strategic level of exposure to this asset class.»

The fund currently has 35% in equities, compared with its strategic quota of 40%, and 43% in bonds while the rest is invested in alternatives and real estate. She added no major changes to the asset allocation have been made because of the credit crisis but said the fund was hoping to regain its target funding level of 124%. «We are long-term investors therefore we are not making any short-term prognosis or decisions. But if the funding ratio were to fall under 112%, we would start to reduce our equity exposure due to the reduced ability to absorb risk,» said Kupper Staub.