Investments returns must meet the demand from the liabilities regarding the participants pensions. Hence the investment strategy has one major target – to exceed the long term return target based on a predefined riskbudget.
Based on the required rate of return for the investment portfolio and the solvency levels of the pension funds a risk budget is calculated. This is done through a comprehensive model (pension protection limits), where all assets are stressed according to their volatility and correlation with other assets.
The portfolio is allocated into the following five assets classes: nominal bonds, credit, equity (listed and unlisted), real assets (index linked bonds, real estate, infrastructure, etc.) and absolute return strategies.
However , pension funds members are very concerned that investments like other activitites add to the social responsibility of the funds. This must be reflected in the way investments are handled.