The Danish National Pension Fund Had A Staggering 26% Return In 2011

denmark flag at the olympics

Photo: AP Images

Few on The Street have likely heard of a Danish hedge fund called Arbejdsmarkedets Tillægspension.They may want to learn about it though, since its 2011 returns probably beat most of theirs.

ATP, as it is known, is actually the Danish national pension fund (officially “general supplementary pension”).

But it basically operates like a hedge fund — a really successful one, at that.

Financial News’ Mark Cobley reports that ATP faced an additional €16 billion in liabilities as a result of falling interest rates in Europe.

But thanks to some nifty investing, ATP managed to pull in €16.8 billion, a 26% return.

Because of the spiking liabilities, net return was €500 million.

Still, not too shabby. And more than enough to pay off Danish workers.

The fund, run by a man named Lars Rohde, has a hedge strategy that’s a bit difficult to parse. According to aiCIO writer Liz Pfeuti, ATP is divided into five “buckets” that are invested according to a risk budget rather than targeting asset classes.

It’s heavily diversified: Losses in equities were more than offset by gains in bonds, property and commodities.

But even Pfeuti admits she is “less than 100% sure” how Rohde’s bucket strategy works.

Yet it does work — and has for a while. Rohde took over the fund in 1998. Since 2005, Pfeuti writes, the fund’s enjoyed above-4% returns every year but 2008.

And Rohde has no plans to deviate.

“We still think we are in for a rollercoaster ride in the markets, so we will be very cautious,” he said.

h/t Pension Plus

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