Indeed, the performances of US equities (10.7%), emerging market equities (14.5%), high yield corporate bonds (13.9%) and emerging market bonds (11.6%) were better than those of euro- zone equities (4.8%) in 2016.

The remaining performance (0.22%) came from unlisted assets (private equity, infrastructure, real estate, private debt), which all made posi- tive contributions.

The FRR s hedging assets all raised perfor- mance too in 2016. Euro-denominated bonds above all benefited from the drop in yields, from 1% to 0.7% in the case of French 10-year yields. Dollar-denominated bonds were helped more by the drop in risk premiums, from 1.7% to 1.2% at the end of 2016. Indeed, the US 10-year yield actually rose in 2016, from 2.2% to 2.5%.

The performance of the FRR s matched assets amounted to 1.8% in 2016, compared with 4.7% for corporate bonds in euro and 2.5% for those in dollars. Although the latter two allocations weighting was lower (17% and 9.2% respec- tively at the end of 2016, versus 21.4% for matched assets), contributions to the perfor- mance of hedging assets were quite balanced: 0.68% for high quality corporate bonds in euro;

0.27% for high quality corporate bonds in dollars;

0.46% for liabilities matching.


The FRR was nominated for IPE* awards (one of the biggest events in the European pension fund calendar) in the following categories in 2016: French pension fund, European reserve fund, portfolio construction, external asset manager specialist, smart beta, and passive management.

The FRR took first place in the following categories:

smart beta, recognising the development of passive investment in optimised equity indices, as well as the FRR s original approach; and

external asset manager specialist, acknowledging the work selecting and monitoring external managers within the framework of mandates or UCI selection.

As a reminder, the FRR received the prizes for best portfolio construction and best European reserve fund in 2015**. In 2014 the FRR was named best French pension fund.

* Investment & Pensions Europe. ** With the NLB Penziski fund.

Private sector excluding

financial sector 35%

Sovereign bonds Local currency 38%

Banks, insurances, financial institutions 27%

Breakdown of fixed income products by category of issuer at 31 December 2016