ATP made an investment return of 5.1% in the first quarter of this year, significantly higher than the result achieved in the same period a year ago, and said listed Danish equities, international private equity and bonds had been the main drivers.
The Danish statutory labour-market pension fund reported that its total assets had grown to DKK618bn (€82.8bn) by the end of March, up from DKK592bn at the end of 2013.
Carsten Stendevad, ATP’s chief executive, said: “ATP is off to a good start in 2014.”
In the first quarter, investment activities made a profit of DKK4.05bn after tax on pension savings returns, up from DKK2.86bn in the first quarter of 2013.
“Equities and bonds were the main contributors to performance, but infrastructure and real estate investments also made positive contributions,” Stendevad said.
Hedging activities, while broadly covering the DKK23.3bn increase in ATP’s pension liabilities, made a net loss of DKK229m — roughly the same as the loss incurred in the first quarter of 2013.
Stendevad said falling interest rates in the first quarter 2014 showed how difficult it was to predict their movement.
“Therefore, ATP’s hedging strategy is designed to ensure members’ guaranteed pensions are protected, whether interest rates go up or down,” he said.
Four of ATP’s five risk classes produced a profit in the reporting period, but the inflation risk class ended with a DKK1.1bn loss.
Within inflation, the biggest positive returns came from infrastructure and property, but the portfolio of hedging strategies was the main detractor, the pension fund said.
This portfolio made a DKK1.9bn loss partly because of falling yields on long-dated European bonds and partly because of the decreasing volatility of those yields in the period, it said.
Equities produced a DKK4bn return, driven mainly by the portfolio of listed equities.
Domestic listed equities returned DKK1.8bn, while listed foreign equities returned DKK500m.
The main reason for this positive return was ATP’s strategy of setting its exposure to listed foreign equities according to market prices, it said, increasing exposure when prices are low and reducing it when high.
By contrast, over the first quarter as a whole, US and European equity benchmarks logged only small gains, it said.