15
Annual performance of both asset classes
Liability Hedging Portfolio Performance Seeking Portfolio
-15%
-10%
-5%
0%
5%
10%
01 /0
1/ 20
16
01 /0
2/ 20
16
01 /0
3/ 20
16
01 /0
4/ 20
16
01 /0
5/ 20
16
01 /0
6/ 20
16
01 /0
7/ 20
16
01 /0
8/ 20
16
01 /0
9/ 20
16
01 /1
0/ 20
16
01 /1
1/ 20
16
01 /1
2/ 20
16
Source: Index providers (FTSE Russell, MSCI, Barclays Capital, JPMorgan) via Spirris.
The FRR s performance INCREASE IN ASSETS In 2016, the FRR s overall performance was 4.97% net of charges, and its assets amounted to EUR 36.004 billion at 31 December.
Despite low interest rates in 2016, hedging assets appreciated by 3.1% due to fresh rate cuts in the eurozone and lower risk premiums in the United States. Performance assets had gained 8.2% at the end of a very turbulent journey.
Consequently, both types of assets contributed positively to performance in 2016: 1.3% for hedging assets and 3.7% for performance assets.
Taking a closer look at hedging assets, invest- ment grade corporate bonds in euro performed best (+4.7%), ahead of those in dollars (+2.5%) and matching of FRR s liabilities, invested in OAT (+1.8%).
The equity portfolio s diversification was highly beneficial in 2016, through the FRR s sizeable positions in US and emerging market equities. The latter appreciated by 14.5%, beating the
In 2016, the FRR s overall
performance was 4.97% net
of charges.