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CERN Pension Fund Investment Report – 3rd quarter 2017

The aim of the CERN Pension Fund’s (the Fund) “investment return objective” is to meet or exceed  the actuarial best estimate discount rate adjusted for Geneva inflation over the long term. Best  estimate assumptions are used in the Fund’s actuarial reviews.

The achievability of the investment return objective is reviewed in the context of a long-term asset  study conducted on a tri-annual basis, or more frequently if deemed necessary.

The Fund’s performance against its investment return objective is measured over a multi-year time  horizon, typically five years


The risk management policy of the Fund is defined in the yearly Statement of Investment Principles  and Investment Policy (SIP) approved by the Pension Fund Governing Board. It is based on setting a  risk measure, an annual risk limit and managing the asset allocation exposure compatible with the  risk limit and with the return objective.

The risk measure of 1 Year 5% CVaR1 was approved by the Pension Fund Governing Board in 2012,  based on the recommendation of the Pension Fund Investment Committee. The risk measure is an  estimate of the potential average loss that has a 5% probability of occurring within a 1 year horizon.

The risk limit is approved on an annual basis or more frequently if deemed necessary, also by the  Pension Fund Governing Board. The 2016 risk limit set at a value of -8% for the 1 Year 5% CVaR has  been maintained for 2017.

The risk exposure of the Fund is calculated and reported by an independent risk consultant on a   monthly basis in order to allow compliance with the risk limit of the Fund to be monitored.   



1 Conditional Value at Risk: is a risk assessment technique often used to reduce the probability that a portfolio will 

incur large losses. This is performed by assessing the likelihood (at a specific confidence level) that a specific loss  will exceed the value at risk.  

The investment governance of the Fund was designed so as to ensure a most efficient use of available  expertise and the optimal level of transparency and control by the relevant supervisory bodies.

In the CERN Pension Fund investment governance framework, see Figure 1, the Governing Board  sets the strategic direction and constraints, including the definition of the annual risk limit. The  Investment Committee defines and controls the asset management process. The Chief Executive  Officer and the staff of the Management Unit are in charge of the implementation and in particular of  maximizing the efficiency of investment management in terms of expected return per unit of risk.  This investment governance is further strengthened by the implementation of comprehensive  independent reporting of the Fund’s performance, both in terms of asset return and risk.

The overall compliance framework is complemented by an Internal Control System (ICS), which  includes an annual audit of investment related processes by the Fund’s Internal Audit Service.

 Figure 1 – CERN Pension Fund Investment Governance Framework




As at 31 December 2017, the percentage return on assets of the Fund was 6.93%. Figure 2 shows the  quarterly evolution of cumulative return compared to the objective. The Fund maintains a prudent  risk level in compliance with the risk limit decided by the Governing Board, see Table 2.

Table 1: CERN Pension Fund Performance vs. Objectives as at 31 December 2017 



Figure 2 – Cumulative Return vs. Objective



Table 2 – Quarterly Risk Compliance – Rolling Four Quarters


At 31 December 2017, the Fund’s net assets amounted to CHF 4’248 billion, as reported by the  Custodian. The asset allocation is shown in Table 3.

Table 3: Asset Allocation as at 31 December 2017 


Quarterly evolution of the returns and of the Net Asset Value (NAV) is shown in Table 4 and Figure 3.

Table 4: Quarterly Returns 2012-2017


Figure 3 – Net Asset Value since 1 January 2012



Investments can be classified into two distinct categories: direct investments and externally  managed investments.

Externally managed investments include allocation to funds and external mandates.


Table 5: Net Asset Values per category as at 31 December 2017 

The real estate portfolio is composed of 15 properties located in 4 countries: Switzerland, France,  Germany and the United Kingdom. The composition of the portfolio as at 31 December 2017 is given  in Table 6.


Table 6: Composition of the real estate portfolio as at 31 December 2017