Total return of -12.6 percent for 2002.
National Pension Fund (AP3) recorded a negative return of -12.6 per cent for 2002.
At end-2002, the market value of AP3’s fund capital amounted to SEK 120.2 billion (including a net capital inflow of SEK 5 billion), compared with SEK 132.7 billion at the start of the year. Asset management income amounted to SEK -17.5 billion, of which the greater part refers to unrealised capital losses.
The Fund outperformed its benchmark by 0.6 percentage points (before costs). This means that the Fund’s active asset management reduced the potential loss by approximately SEK 700 million. Management costs amounted to SEK 177 million, equivalent to 0.14 per cent of managed assets.
The asset class with the lowest return was Swedish equities, where the fund reports a negative return of 33.9 per cent. However, the Fund’s active management resulted in a relative outperformance of 2 percentage points. The Fund’s equity management also outperformed the market in 2001, by 3.4 percentage points.
“Although the year-end figures can be explained by the general fall in equity markets, it is always painful to report a shrinking fund capital. Meanwhile, I am glad to report that AP3’s asset management outperformed the market in both 2001 and 2002,” says Tomas Nicolin, CEO of AP3.
The Fund’s Board of Directors approved a couple of minor adjustments to the Fund’s long-term asset allocation, or the reference portfolio, for 2003. The share of real estate is to be increased by 0.5 percentage point and Japanese bonds will be removed from the portfolio.
The foreign currency exposure at end-2002 amounted to 8,3 per cent, corresponding to SEK 10 billion. A higher degree of currency hedging than the fund’s reference portfolio has yielded a positive contribution to the Fund’s return, as the Swedish krona firmed though 2002.