NETHERLANDS - The €3.2bn pension fund PNO Media has stopped investing in listed property after disappointing results last year, according to its latest quarterly report.

Stephan Vollenbroek, spokesman for the scheme, said: "A risk budget study has made clear that we could increase the effect of the asset mix by removing the 3% real estate allocation and re-investing two-thirds of the assets in alternatives such as infrastructure and commodities."

He added that the remaining one-third of assets has been re-allocated to the scheme's fixed income portfolio.

PNO Media saw its listed property allocation lose 7% over 2010, falling 14.4% short of its benchmark after returning 52.4% in 2009.

The scheme said it has also terminated the co-operation with the portfolio manager.

Although the pension fund declined to provide details, Kempen Capital Management was the portfolio's sole manager in 2009, according to its annual report.

The media scheme said its financial position improved considerably in the fourth quarter, thanks to strong equity performance and rising long-term interest rates.

It reported a quarterly return of 3.6%, but saw the net result reduced to -1.2% due to the combination of its 50% interest hedge on liabilities and rising interest rates.

However, the scheme noted that its interest hedge added 2.1 percentage points to the 13.6% result over the entire year.

Last August, the pension fund decided to lower its interest hedge from 75% to 50% to profit from expected interest rate increases.

During the fourth quarter, its 36% equity portfolio returned 10%, whereas it returned 20.6% during 2010, according to the pension fund, which attributed the result mainly to a strong market recovery in December.

In contrast, its 40% fixed income holdings generated a 1.3% loss over the last three months and returned 5.3% over the entire year.

Private equity, with a return of almost 23%, was the best performing part of the scheme's 24% alternatives allocation during 2010.

Officials said the return on commodities of more than 16% was almost entirely thanks to its performance in the last quarter.

As its risk position has improved during the last quarter, the pension fund has decided to raise its underweight equity position to its strategic allocation of 36%.

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