Patrick Uelfeti, CIO der Publica, gab IPE Auskunft über die Anlagestrategie der Pensionskasse des Bundes. IPE schreibt: “
Publica’s strong focus on managing risk is perhaps one of the reasons why the returns for last year were lower than other Swiss pension funds. The fund returned 5.87% in 2014, compared to an 8% average return of Swiss pension funds as estimated by Credit Suisse, UBS or Swisscanto.
This underperformance is explained by several factors, not least the fund’s strategic decision to hedge 100% of its G10 currency risk.
The hedging strategy, in turn, meant that the portfolio was not directly exposed to losses caused by the recent appreciation of the Swiss Franc, following the Swiss National Bank’s decision to abandon the peg with the euro.
An allocation to commodities in the open plans, which stood at 4% at June last year, also affected the performance. Uelfeti says the investment committee discussed whether there is still an economic rationale for investing in commodities given that the roll yields are not positive. On the other hand, commodities are a diversifier to the overall portfolio. Publica decided to keep an allocation in commodities, but reduced it from 6% to 4% at the beginning of 2014.
But Uelfeti adds that one of the reasons Publica lagged behind its peers last year was because it has developed a strategic asset allocation that is significantly less home-biased than its domestic peers. As of June last year, Publica allocated only 3% of the open plan assets to Swiss equities, while 6% was invested in Swiss government bonds and 7% in real estate. (…)
During 2014, the allocation to equities was decreased from 15% to 10% in the closed plans, and from 33% to 29% in the open plans. The decision to scale down equity holdings last year may seem untimely now, although Uelfeti explains it was based on a view that equity returns would be lower in the medium term.
“We have to go one step back,” says Uelfeti. “The decision based on the previous ALM study had been to increase equity risk substantially. That paid off very well from 2012 to 2014, which was a good time for equities. “But looking at the risk factor attribution of the portfolio at the end of 2013, 70% of the risk came from equities. At the time, the risk-return expectations from the equity markets were no longer attractive. Therefore, we wanted to decrease that dependency on equity risk.”
