MINISTERS’ DEPUTIES

CM Documents

CM(2020)95

27 July 2020[1]

1386th meeting, 21 October 2020 11 Programme, Budget and Administration   11.3 Pension Reserve Fund of the Council of Europe First Report for 2020 of the Management Board to the Committee of Ministers Item to be considered by the GR-PBA at its meeting on 2 and 6 October 2020

 

1.            In accordance with the Statute of the Pension Reserve Fund (PRF), the Management Board of the PRF reports to the Committee of Ministers at least twice annually. This note represents the First Report for 2020 and summarises the work carried out by the Management Board since the last report [CM(2020)49]. It presents the situation of the PRF at 31 March 2020.

MARKET BACKGROUND

2.            During the period under review (October 2019 – March 2020), financial markets experienced two completely opposite trends. The last quarter of 2019 confirmed the very positive mood of the year; this positive trend was completely reversed in the first weeks of 2020 as the Covid-19 pandemic began to spread over the world.

3.            In the fourth quarter of 2019, the pick-up in the service sector and the resilience of overall employment to the weakness in manufacturing helped restore market confidence that a recession was not imminent, despite a general backdrop of deteriorating economic data. The fourth quarter also saw two significant political risks avoided: US tariffs on China were scheduled to increase on 15 December but a phase-one trade deal avoided this outcome and provided significant relief to equity markets. The fact that the US did not impose tariffs on European Union (EU) auto exports also helped support equities. In addition, the uncertainty around "Brexit" was lifted with the elections, meaning that the UK could pass a EU withdrawal bill, activating a transition period until the end of 2020.Consequently, equity markets delivered very high returns in 2019, with performance figures in the +30% area, the last quarter itself already showing a 10% increase.

4.            Government bonds also delivered good returns over the year and were rather stable in the last quarter, as major central banks signalled their will to support economic expansion with even more monetary stimulus.

5.            This positive trend was abruptly halted in the first few weeks of 2020 by the Covid-19 pandemic. As the disease spread from Asia to Europe and later to the Americas, the massive impact of the pandemic became clearer as countries closed their frontiers and imposed a general lockdown to their citizens to contain the spread of the virus, halting all activity. The question no longer was whether there would be a recession but how deep and how long the recession would be.

6.            Policymakers took action to tackle the potential economic impact of this unprecedented and sudden shock. In the US, the initial jobless claims jumped to 6.8 million for the last week of March only, tenfold of the prior record in 1982, dwarfing previous highs in the reports published since 1967. Most governments committed to take care of a significant proportion of workers’ wages during the shutdown to avoid mass lay-offs and also provided government-backed loans to avoid bankruptcies. A very substantial fiscal stimulus package worth about 10% of GDP was put in place in the US, including grants to small businesses.

7.            The US Federal Reserve (Fed) and the European Central Bank (ECB) provided unprecedented monetary stimuli. The Fed dropped its policy rate to 0-0.25% and announced actions to support financial markets, including unlimited purchases of Treasuries and mortgage-backed securities (MBS). The ECB moved to support bank lending and boosted its bond buying programme by EUR 120 billion until the end of the year, leaving interest rates unchanged. The combined stimuli initiated by central banks globally reached an amount of over USD 8 trillion, which is almost 20% of the MSCI World equity index market cap.

8.            Financial markets reacted strongly to the new economic reality, falling by 20-25% over the quarter. In addition to failing demand, oil prices also suffered from the breaking down of an agreement between OPEC and the Russian Federation to constrain supply, leading the oil price to drop by more than 60%.

9.            In this context, the MSCI World index posted a very negative performance of -14.85% (in EUR) over the period October 2019 – March 2020. The MSCI EMU and the MSCI Emerging Markets (in EUR) indexes returned -21.30% and -15.10% respectively, European countries being the most severely affected by the Covid-19 pandemic.

10.          Finally, against a background of extraordinary monetary policy measures in an already low interest rate environment, world government bonds (hedged in EUR) played their role of safe haven and showed a positive performance of +1.47%. Conversely, the performance of the euro investment-grade credit market stood at -6.66% as the financial health of numerous firms was severely hit by the lockdown.

PRF INVESTMENT STRATEGY

11.          On 15 May 2018, following the Third Three-Year Review, the Committee of Ministers approved a new investment strategy or Strategic Asset Allocation (SAA). The new SAA aims at an average annual net real return of 3.4% in the long term (with an associated volatility of 7.8%). It is composed of 45% global equity, 10% emerging markets equity, 23% global government bonds (EUR hedged), 12% euro corporate bonds, 5% global direct real estate, and 5% global direct infrastructure. The existing Socially Responsible Investments (SRI) strategy for equity and corporate bonds is maintained. No specific SRI criteria will apply to global government bonds, since the issuers are mainly members or observer countries of the Council of Europe. Investments in real estate and infrastructure may be placed in traditional (non-SRI) investment vehicles as long as combined they represent less than 10% of the portfolio.

12.          The implementation process of the new SAA is monitored by the Board as investments are executed based on the Investment Procedures approved by the Board and the Board’s decisions on vehicles, asset managers and transition strategy. The revision of contracts with asset managers is done in conjunction with the Council of Europe. At 31 March 2020, most of the new SAA had been implemented, as only the investment vehicle for the infrastructure allocation (5% of the SAA) remains under discussion.

Investment Policy - Objective of the Council of Europe for the PRF

13.          The investment strategy of the PRF was established to attain the objective of the Council of Europe for the Fund, as stated in its Statute (Article 1): "The objective of the Pension Reserve Fund is to smooth, in the medium and long term, the financing of the member States’ obligations under the Organisation’s Pension Schemes"^[2]. This objective was defined in a context of increasing expected budgetary expenditures for pensions where, in the future, to be able to meet the pension obligations, member States could be required to largely and abruptly increase their annual contributions. To avoid this, the Council of Europe decided that:

·           by increasing the contributions to pensions right away and allocating the surplus to an investment fund, contributions would not be abruptly augmented in the future;

·           by creating an investment fund, the return on investments could generate extra income to fund pensions.

14.          In summary, by creating the PRF, the Council of Europe intended to smooth the contributions of member States over time and to create an extra source of income. This implies that, as long as the PRF exists, member States’ contributions to the PRF will increase steadily, and will be less than if the Fund did not exist. In parallel, in case the PRF depletes, contributions will need to be augmented abruptly in order to fully cover the future increase in pension benefits and to replace the income coming from the PRF investments.

15.          On this basis, when it examined the investment policy and presented its conclusions to the Committee of Ministers in 2018, and for the Intermediate Review of 2019, the Management Board defined the primary objective of the investments as “to expand the life of the Fund while keeping a reasonable level of risk”. In other words, it was understood that the target of the investments was to keep the Fund sustainable, so pensions could be paid perpetually with contributions and investment income. In addition, the Board estimated that the level of risk related to a target real return of 3.4% was reasonable.

16.          During the Third Three-Year Review in 2018 and the Intermediate Review in 2019, the Board noted that an increase of the member States’ global contribution rate (GCR) was necessary to attain the objective of sustainability with a reasonable return (EROA – Expected Return on Assets) of 3.4%.

17.          The graph below shows the evolution of the life cycle of the PRF under three different sets of assumptions for the EROA and Contributions:[3]

·                     the Fund is sustainable in the long term with the current GCR and a return on assets of 4.2%;

·                     the Fund is sustainable in the long term with a GCR adjusted to 42.01% (as from 2022) and a 3.4% return;

·                     the Fund keeps the current GCR of 37.85% and the 3.4% target investment return of the approved SAA and depletes in 2063.[4]

Graph 1: PRF Life Cycles as of end 2018

Source: Intermediate Review – Investment Policy and Strategy – Report to Committee of Ministers

[PRF/MB/WD(2019)22]

PRF ASSETS AT 31 March 2020

18.          At 31 March 2020, the value of the PRF's total assets in portfolio amounted to EUR 401.0 million (31 March 2019: EUR 392.6 million). The total assets consisted of EUR 392.2 million in portfolio investments (31 March 2019: EUR 387.0 million), and of EUR 8.8 million (31 March 2019: EUR 5.6 million) in treasury. The treasury complements the monthly transfer of staff and member State contributions that serve to pay monthly pension benefits and administration costs.

Return of the PRF

19.          The return of the PRF is presented below using two measures, each analysing the performance from a different perspective. The Actual Annual Return takes into account both the return earned by the asset managers and the timing effect when investing incoming contributions. The Return on Investment Vehicles measures the return earned by the asset managers without taking into account the impact of the timing of contributions on the results.^[5]

Actual Annual Return

20.          Table 1 presents the PRF's Actual Annual Return (measured by the Internal Rate of Return or IRR) since inception of the PRF portfolio (February 2008 – 31 March 2020), since the change of target return of the Fund in January 2017, and since the start of implementation of the current strategy (in May 2019). The IRR shows how well the Fund has performed over the period, taking into account both the return of asset managers and the impact of the timing of investing additional contributions.

Table 1– PRF ACTUAL ANNUAL RETURN AT 31 MARCH 2020

Source: Société Générale Securities Services; European Central Bank for French inflation (HICP).

21.          Following the Third Three-Year Review, the real target return of the PRF was set to 3.4% (as from January 2017). The Management Board is working on fully implementing the new strategic asset allocation deemed to meet that target. The implementation of the new strategy started end-April 2019. The IRR of the Fund, therefore, will be compared with the target return of 3.4% as from end-April 2019 as soon as one year of performance data have been obtained.

22.          The Board notes that the performance of financial markets in recent years has contributed positively to the return of the Fund to date, despite the strong impact of the current Covid-19 crisis. After careful analysis in the Third Three-Year Review (2017) and in the Intermediate Review conducted in 2019, the future return expectations were lowered, given the low interest rate levels, GDP growth and productivity, and valuations in equity markets. This had implications for the reasonable or achievable target return, which decreased substantially (from 5% to 3.4%), for the PRF's investment policy and strategy and, ultimately, for the member States' contributions to the PRF.

Return on Investment Vehicles

23.          The Return on Investment Vehicles is used to compare the results of the Fund with its benchmark index representing the investment strategy approved by the Committee of Ministers. It allows following up on the Board’s mandate to invest the PRF's assets according to the investment strategy, and examining if the investment strategy is capable of producing the expected return. The nominal Return on Investment Vehicles is presented in Table 2 below on both an annual and annualised basis. Table 2 details the return evolution of investment vehicles and benchmarks since the Fund's inception date, while Table 3 focusses on the return evolution since inception of the current strategy.

Table 2– PRF NET NOMINAL RETURN ON INVESTMENT VEHICLES SINCE INCEPTION OF THE FUND

Source: Société Générale Securities Services.

Table 3 – PRF NET NOMINAL RETURN ON INVESTMENT VEHICLES
SINCE INCEPTION OF THE CURRENT STRATEGY

Source: Société Générale Securities Services.

24.          At the end of each year, the benchmark valuation of the BlackRock iShares developed index fund (World equity) is carried out on the last working day of December, while the last annual valuation of the fund is performed the preceding day. This causes a difference in performance, offset by the subsequent January performance. If the benchmark performance would be calculated on the same day as the fund, the fund would exactly replicate the performance of its benchmark in December and January. For State Street EMU government bond index (EMU government bonds), in 2017 the last valuation of the fund was performed at 28 December while the benchmark valuation was carried out at 29 December. This caused an unusual difference in performance. This difference is offset by the performance of the following January.

25.          Table 2 above shows that the PRF nominal annualised Return on Investment Vehicles was 45 basis points above the benchmark index since inception of the PRF investments in 2008. This positive difference can be attributed to the judicious decision of the Board not to invest in real estate from February 2008 until November 2009, a period during which the real estate market declined significantly. The good relative performances of the SRI equity managers Allianz and Amundi, as well as the former real estate equity manager Allianz, also contributed to the overall over-performance.

Engagement Overlay

26.          Upon the approval of the Second Three-Year Review, the Committee of Ministers asked to be informed on the actions undertaken by the SRI Engagement Overlay Service Provider. This information is presented hereafter.

Overview of the Engagement Process

27.          The purpose of the Engagement Overlay Service is to engage with companies held in portfolio with a view to promoting the adoption of better environmental, social and governance (ESG) practices and make companies’ activities positively impact the United Nations Sustainable Development Goals relevant for investors.

28.          The provider that was selected is F&C Investments, renamed BMO Global Asset Management (BMO GAM) after its acquisition by BMO Financial Group in 2014. The latter is an asset management company fully owned by the Bank of Montreal Group.^[6] BMO GAM has been active in engagement since the launch of the first ethical investment fund in the UK by F&C in 1984.

29.          BMO GAM engages with companies from the investment universe adopting one of the following three approaches:

·                     engagement on a proactive basis, i.e. it contacts companies with perceived ESG weaknesses, defined as priority companies;

·                     engagement on a reactive basis, i.e. it contacts companies after incidents have occurred;

·                     engagement on a thematic basis, i.e. it engages with companies on a sector or regional level focussing on specific ESG themes.

In addition, BMO GAM also engages with policy makers and regulators on ESG topics.

30.          In practice, BMO GAM prepares an annual priority list of companies to engage with, based upon the risk scoring of each company as defined by their internal ESG-risk tool, and the most material financial holdings within their clients’ portfolios. During the year, other companies can be added to this list, in case reactive engagement is urgently needed. For each company on the list, BMO GAM sets targeted outcomes it wants to achieve with the company in terms of improved ESG-practices.

31.          The engagement actions undertaken by BMO GAM cover most of the topics described in the SRI Policy of the Council of Europe, most of them being connected to conventions and international standards originating from the United Nations and the International Labour Organisation.

32.          BMO GAM engages with companies using different methods, including in-person and telephone meetings, written correspondence and emails. Such contacts can be established at different levels within the company - including Board level and C-level - and with operational specialists. While BMO GAM typically engages on a one-to-one basis, it may decide to participate in group meetings or engage including other stakeholders, if this could lead to a better outcome.

33.          Engagement procedures with companies can have different time horizons. In BMO GAM’s experience, an average period of two to three years is needed to either reach a positive outcome or to come to the conclusion that the engagement has failed.

34.          To follow up on the process and determine its success, BMO GAM sets milestones for every engagement started. A milestone is reached when a pre-defined change in behaviour (the behaviour BMO GAM is asking for) is adopted by the company. At the same time, each topic consists of multiple intermediate milestones allowing to measure progress towards the final outcome.

Engagement Report 1^st quarter of 2020

35.          BMO GAM reported having engaged with 166 companies from 22 countries, achieving 50 milestones during the first quarter of 2020. Tables 4 through 6 below summarise this activity:

Table 4
BMO GAM ACTIVITY - COMPANIES ENGAGED BY COUNTRY

Source: BMO GAM

Table 5
BMO GAM ACTIVITY - COMPANIES ENGAGED BY ISSUE

Source: BMO GAM

*Companies may be engaged in more than one issue

Table 6
BMO GAM ACTIVITY – MILESTONES ACHIEVED BY ISSUE

Source: BMO GAM

36.          BMO GAM produces a quarterly report with the Priority Companies, Engagement Case Studies, Engagement Projects and Milestones. The Board has decided to present the Priority List in this Report. More detailed information on other areas of the Engagement activity can be obtained upon demand.

Engagement Priority List

Table 7– BMO GAM ENGAGEMENT PRIORITY LIST

Themes engaged

Name

Sector

ESG Rating

Response to Engagement

Climate change

Environmental Standards

Business Conduct

Human Rights

Labour Standards

Public Health

Corporate Governance

Alleghany Corp

Financials

RED

•

•

•

•

Barclays PLC

Financials

YELLOW

Good

•

•

Bausch Health Cos Inc

Health Care

RED

•

•

Cemex SAB de CV

Materials

ORANGE

Poor

•

•

China Construction Bank Corp

Financials

YELLOW

•

•

•

•

General Motors Co

Consumer Discretionary

RED

Adequate

•

•

•

•

Mondelez International Inc

Consumer Staples

ORANGE

•

•

POSCO

Materials

YELLOW

Poor

•

Royal Dutch Shell PLC

Energy

GREEN

Good

•

Suzuki Motor Corp

Consumer Discretionary

RED

•

•

•

ESG Risk Rating

Rating of a company's ESG risk exposure and risk management compared to industry peers. Source: MSCI ESG Research Inc

Top quartile

GREEN

2nd quartile

YELLOW

3rd quartile

ORANGE

Bottom quartile

RED

Source: BMO GAM

Evolution of the Fund

37.          Table 8 presents the evolution of the PRF from February 2008 until 31 March 2020 (for more detail, see the Financial Statements[7]):

Table 8–EVOLUTION OF THE FUND: FEBRUARY 2008 – 31 MARCH 2020

In million EUR	2008	2009	2010	2011	2012	2013	2014	2015	2016	2017	2018	2019	March 2020
ASSETS
Investments at the beginning of the year (1)	57.82	56.43	91.48	113.35	119.59	175.29	208.25	236.32	270.83	308.89	345.40	343.48	430.21
Treasury assets at the beginning of the year (2)	8.63	8.70	7.58	9.12	10.40	3.46	8.41	12.35	10.49	11.81	13.83	10.02	6.98
INCOME
Member States’ contributions (during the year)	32.00	39.82	41.10	41.95	46.83	45.70	45.21	46.47	49.55	50.93	50.74	56.05	26.51
Staff contributions (during the year)	11.20	11.75	14.31	14.35	14.27	13.80	13.64	14.21	14.55	15.56	14.89	15.38	1.38
EXPENSES
Benefits’ payments (during the year)	30.62	33.31	35.31	37.87	40.47	41.78	42.76	47.15	48.12	49.22	52.00	55.13	13.98
Administrative costs (during the year)	0.61	0.69	0.39	0.40	0.36	0.34	0.30	0.32	0.37	0.39	0.38	0.42	0.00
INVESTMENTS
Investments during the year	11.90	19.16	17.86	17.03	33.76	9.44	22.53	16.36	54.37	12.15	16.55	23.73	12.88
Realised and unrealised gains / losses (on investments and treasury) for the period (3)	-12.52	16.20	4.27	-9.73	23.86	24.27	16.05	19.11	23.48	24.92	-17.56	63.71	-50.83

Note (1): Total net long-term financial assets (including real estate deposits in 2008 and 2009) plus cash held in the current accounts belonging to the investment portfolio. Investments at 31 March 2020 equal EUR 401.0 million.

Note (2): Treasury at end of year includes the bank account dedicated to pensions held at the Société Générale Strasbourg. Treasury assets at 31 March 2020 equal EUR 8.79 million.

Note (3): Net realised and unrealised gains/losses = net realised gains/losses on sales of investments + adjustment of the portfolio to market value at end of period + interest on deposits and late payments + net dividends + other investment income - net management fees. The net losses in 2008 come from the unrealised loss at 31 December 2008 generated by the adjustment to market value of the equity allocation. In 2011, net realised losses of EUR 6.56 million were recorded coming from the shift from mandates to mutual funds in the equity part which absorbed the investment income of 2011 (EUR 3.41 million), and an unrealised loss of EUR 6.58 million booked as the adjustment to market value of the investment portfolio at 31 December 2011. In 2018, an unrealised loss of EUR 18.5 million resulted from the adjustment to fair value of the portfolio at quoted market price at 31 December 2018. At 31 March 2020, EUR 50.83 million is the unrealised loss recorded in relation with the Covid-19 crisis.

Activities of the Management Board

38.             Since the last report, the Management Board held two meetings, during which its members:

·                     approved the Investment Policy and Strategy in the Intermediate Review;

·                     approved the Investment Procedures;

·                     monitored the Fund performance;

·                     approved the Financial Statements at 31 December 2019;

·                     discussed the legal structure of the selected investment vehicle for the infrastructure allocation; the Management Board decided to consult the Committee of Ministers to determine whether the selected fund would represent a reputational risk for the Council of Europe and/or whether the Cayman Island domicile of the master fund would go against the Council of Europe’s SRI policy;

·                     noted the treasury management plan for 2019 and outlook for 2020;

·                     noted the asset managers’ annual report for 2019.

RECOMMENDATION

39.             In light of the preceding and in accordance with the provisions of the Resolution on the Statute of the Pension Reserve Fund, [Res(2006)1], the Management Board of the PRF invites the Committee of Ministers:

·                    to take note of the information presented in this document.

ANNEX

PRF COMPOSITION AND RETURN

1.            Situation at 31 March 2020

At 31 March 2020, the total assets of the PRF amounted to EUR 401.05 million. The composition was as follows:

Source: Secretariat based on Société Générale Securities Services (SGSS) data.

Note (1): Positions in short-term investments are held to complement the monthly transfer of staff and member State contributions serving to pay pension benefits and administration costs during the month.

Note (2): Figures are rounded.

2.            Return of the PRF from February 2008 to 31 March 2020

The figures provided hereafter for the nominal performance of the investment portfolio and its components serve to compare the nominal returns obtained by the asset managers to the benchmark. They do not give an indication of the effective nominal returns achieved by the PRF.

2.1          PRF long-term assets – Nominal return on investment vehicles

Source: SGSS

Note (1): As defined in the PRF Investment Guidelines (currently still in transition): 45% MSCI World, 10% MSCI Emerging Markets, 23% ICE BofA Merrill Lynch Global Government Bond (hedged in EUR), 12% Markit iBoxx Euro Corporates (bonds), 5% of the 5% annual performance target for real estate and 5% of the performance target for infrastructure (to be determined) as soon as funds for the infrastructure investments are called up (0% during the commitment period, i.e. when not yet invested).

2.2          PRF long-term assets – Nominal return on investment vehicles since inception of the current strategy

Source: SGSS

Note (1): As defined in the PRF Investment Guidelines (currently still in transition): 45% MSCI World, 10% MSCI Emerging Markets, 23% ICE BofA Merrill Lynch Global Government Bond (hedged in EUR), 12% Markit iBoxx Euro Corporates (bonds), 5% of the 5% annual performance target for real estate and 5% of the performance target for infrastructure (to be determined) as soon as funds for the infrastructure investments are called up (0% during the commitment period, i.e. when not yet invested).

2.3          Nominal return of PRF short-term investments

Source: Secretariat and Morningstar for data on the short-term money market funds’ average annual performance.

Note: The €STR (Euro Short-Term Rate) is the new benchmark for interbank interest rates. It is calculated on the basis of interest rates obtained directly by the European Central Bank and since 2 October 2019 gradually replaces the EONIA, which will be abandoned on 3 January 2022. Since October 2019, only the €STR is published, the EONIA being calculated from this new reference rate plus a fixed spread of +8.5 bps.

2.4          Nominal return by asset class – equity

Source: SGSS

Note (1): As defined in the Investment Procedures (currently still in transition): 45% MSCI World and 10% MSCI Emerging Markets.

Note (2): Since 31 January 2008. The Amundi strategy was invested through a mandate until 30 September 2011 and from then onwards through a mutual fund.

Note (3): Since 15 June 2011. Annualised performance of the benchmark (MSCI EMU) over the period to 31 March 2020: 3.17%.

Note (4): At the end of each year, the benchmark valuation is carried out on the last working day of December, while the last annual valuation of the fund is performed the preceding day. This causes a difference in performance, offset by the following January performance. If the benchmark performance would be calculated on the same day as the fund, the fund would exactly replicate the performance of its benchmark in December and January.

Note (5): For the Amundi fund, a rebates regularisation of EUR +152 000 was received in January 2017 and allocated to the overall euro area equity portfolio, contributing approximatively +0.5% to the performance.

Note (6): The implementation of a full swing pricing mechanism for the Vanguard fund since October 2017 may result in a daily performance deviation between the fund and its benchmark, up to a maximum of approx. +/‑60 bps. The swing pricing mechanism aims at protecting long-term investors when calculating the daily NAV by making an investor who is entering or exiting the fund pay for the costs his transaction generates. Vanguard’s policy evolved towards a partial swing pricing mechanism as from 20 May 2019.

Note (7): Since 29 January 2016.

2.5          Nominal return by asset class – fixed-income

Source: SGSS

Note (1): As defined in the Investment Procedures (currently still in transition): 65.71% ICE BofA Merrill Lynch Global Government Bond (hedged in EUR) and 34.29% Markit iBoxx Euro Corporates All Maturities (Markit iBoxx Euro Corporates 3-5 years until 1 February 2016 and Markit iBoxx Euro Corporates All Maturities onwards).

Note (2): Since 31 January 2008.

Note (3): Since 31 May 2012. Annualised performance of the benchmark over the period to 31 March 2020: 2.63%.

Note (4): Until 15 March 2012: 100% Pioneer Obbligazionario Etico; from 15 March until 25 June 2012: Amundi Credit Euro ISR and Pioneer Obbligazionario Etico as per the respective weightings; from 25 June 2012 until 27 November 2014: Amundi Credit Euro ISR and BNP Parvest Sustainable Euro Corporate Bond as per the respective weightings; since 27 November 2014: 100% BNP Parvest Sustainable Euro Corporate Bond.

Note (5): In 2017, the last valuation of the fund was performed on 28 December and on 29 December for the benchmark. This caused an unusual difference in performance between the two. This difference is offset by the performance of January 2018. With both performance figures calculated at 29 December, the fund would exactly replicate the December and January benchmark performance. In this case, the performance would be 0.02% versus 0.15% for the benchmark in 2017 and 0.77% versus 0.88% in 2018.

Note (6): Cumulated since 7 May 2019.

Note (7): Since 31 January 2008 and until 21 May 2019.

Note (8): Until 21 May 2019.

2.6          Nominal return by asset class – alternative investments

Source: SGSS

Note (1): Since 30 April 2019.