Portfolio composition

Portfolio composition

Asset class	Portfolio value¹ SEK m, Dec. 31, 2010	% of net assets	Exposure² %	Portfolio value¹ SEK m, Dec. 31, 2009	% of net assets	Exposure² %
Equities
Swedish	34,444	15.7	15.7	27.945	13.8	13.8
Europe, North America and Pacific region³	69,499	31.8	33.1	72,969	36.1	36.6
Emerging markets	22,527	10.3	11.4	16,612	8.2	8.2
Total equities	126,470	57.8	60.3	117,526	58.1	58.6
Fixed income4
Nominal Swedish	26,0596	11.6		19,725	9.7
Nominal non-Swedish	27,182	12.4		29,850	14.8
Index-linked	17,894	8.2		18,852	9.3
Total fixed income4	71,135	32.5	32.55	70,262	34.7	34.75
Allocation, cash and foreign exchange	4,080	1.9	-0.6	4,193	2.1	1.5
Total listed assets	201,685	92.2	92.2	191,982	94.9	94.9
Alternative investments	17,096	7.8	7.8	10,317	5.1	5.1
Total portfolio	218,781	100	100.0	202,299	100	100.0
Currency exposure	52,591		24.0	43,727		21.6

¹Market value of spot and derivative positions plus cash and cash equivalents.
²Also including the nominal amount of derivative positions with a market value of zero.
³According to the definition used by the Fund, the Pacific region consists of Australia, New Zealand, Singapore, Hong Kong and Japan. In certain mandates, Japan is reported separately.
⁴Managed as a single portfolio, for which reason no specification of exposure by type of security is possible.
⁵Fixed income can no longer be adjusted for duration since the new investment model does not follow a benchmark index to the same extent as previously.
⁶Internal cash Fixed income included.

Currency exposure	USD	GBP	EUR	JPY	Other currencies	Total
Shares and participations	45,076	7,151	12,484	1,877	29,948	96,536
Bonds and other fixed income securities	21,249	2,386	15,226	1,820	0	40,681
Other assets	750	187	44	106	801	1,88
Derivatives	-39,442	-2,463	-28,382	-4,416	-11,811	-86,514
Net currency exposure 31 December 2010	27,633	7,261	-628	-613	18,938	52,591
Net currency exposure 30 June 2010	20,365	5,471	4,731	-1,287	15,842	45,122
Net currency exposure 31 December 2009	19,618	5,175	3,583	-1,499	16,850	43,727

At 31 December 2010 the Fund had net assets under management of SEK 218.8 billion, an increase of SEK 16.5 billion compared to 2009.

The Fund’s equity exposure was raised during the year and was 60.3 percent (58.6) at 31 December 2010. Exposure to the fixed income markets was 32.5 percent (34.7) and exposure to alternative investments was 7.8 percent (5.1). Currency exposure amounted to 24.0 percent, with an open currency position mainly in USD and GBP.

Equities

The market value of the Fund’s equity portfolio at 31 December 2010 was SEK 126.5 billion, of which SEK 66.7 billion was managed externally.

In pace with brighter economic development in 2010, the share of equities in the portfolio has been raised. During the year the Fund’s exposure was increased from 58.6 to 60.3 percent, with an increase in Swedish and emerging market equities but a reduction in the USA and Europe. This should be seen from a tactical perspective and is a reflection of the Fund’s expectations for market development. The Fund has also sold its net exposure in Japan. In Sweden and Europe, the Fund has introduced a portfolio focused on absolute return in order to tone down index as a decision parameter.

Equity exposure by region is shown in the diagram.

Fixed income

The market value of the Fund’s fixed income portfolio at 31 December 2010 was SEK 71.1 billion, of which SEK 11.7 billion was managed externally.

Although the fixed income assets had a relatively high duration at the beginning of the year, duration has gradually decreased as a result of changed economic conditions. The Fund has avoided investments in problem-plagued European countries and at the same time reevaluated its entire exposure in the euro zone.

The bond portfolio consisted of government bonds, bonds issued by intermediary institutions and corporate bonds. All bonds were rated BBB (Investment Grade) or higher, aside from an amount of SEK 33.2 million which corresponds to 0.05 percent of the portfolio. The portfolio’s overall credit quality is deemed high.

The portion of secure bonds, including Swedish and foreign government bonds, exceeded the 30 percent minimum prescribed by the investment rules.

Foreign exchange

The Fund’s currency exposure at 31 December 2010 was 24.0 percent. The Fund has an open currency exposure in its investments in emerging markets. According to the Fund’s assessment, most currencies in these countries will strengthen against the major global currencies and therefore also against the Swedish krona. In addition, the Fund has a smaller open position in currencies of mature economies. However, all open exposure to the euro was eliminated during the year.

Alternative investments

At 31 December 2010 the Fund’s holdings of alternative investments had a total market value of SEK 17.0 billion. Activity in alternative investments has been focused on the long-term goal of diversifying the portfolio and raising the share of real assets. Through direct and indirect holdings, the Fund has increased its real estate assets. The Fund completed a procurement for a strategic hedge fund partners and continued its investment programs in private equity funds.

Management structure 31 December, 2010

Portfolio value, SEK billion	Internal	External
Equities, Sweden	34.4
Equities, Europe	21.4
Equities, North America		39.4
Equities, Pacific excl. Japan		6.9
Equities, Japan		1.9
Equities, emerging markets	3.9	18.6
Fixed income	59.4	11.7
Asset allocation, cash and foreign exchange¹	4.1
Alternative investmetns		17.1²
Total	123.3	95.5

¹Investments are made predominantly in derivative instruments.
²SEK 9.8 billion refers to the Fund’s investment in Vasakronan and Willhem.

Equity exposure by region, 31 December 2010

Breakdown fixed income , 31 December, 2010

Nominal bonds by time to maturity, 31 December, 2010