UPDATE 2-ABP, Dutch funds post Q4 losses, cut equity risk

(Adds breakdown on ABP's investment returns)

By Gilbert Kreijger

AMSTERDAM Jan 29 (Reuters) - ABP and two other top Dutch pension funds lost an average of 11.6 percent of their value in the last three months of 2008 due to the credit crisis and for now are sticking to a lower weighting for stock investments.

ABP, the world's third-biggest state pension fund after Japan's and Norway's, said in a statement on Thursday the value of its assets fell to 173 billion euros ($226 billion) from 195 billion euros in the fourth quarter last year.

ABP and the number three and four Dutch funds PMT and PME said the relative weight of stock investments had fallen due to share price declines, and ABP and PME said they had not increased those weightings again in order to cut investment risks.

Dutch pension funds, which in total managed 736 billion euros in September, usually buy extra stocks when equity markets go down to keep up the weight of share investments relative to other asset classes, Dutch central bank data has shown.

But metal workers fund PME, which managed 18.7 billion euros at the end of December, will keep its weight for stocks at 20 percent of total assets for 2009 from a 38 percent target in 2008.

"This means that there will be more investments in fixed-interest rate assets in 2009. Due to the change from stocks to fixed-income assets the risks of our investments is lowered," metal workers fund PME said in a statement.

ABP, which is closely watched by investors worldwide for its investment policy, let the relative weight of non-fixed income assets, which include stocks, private equity, property and other assets, fall to 55.2 percent from 59.6 end-September.

An ABP spokesman declined to say whether the civil servants fund would buy stocks again this year because it was working on a plan to recover from a deficit as the value of assets had fallen below the fund's liabilities based on net present value.

In May, ABP said it had bought stocks for nearly 10 billion euros on the view the worst of the global financial crisis was over and said in July it planned to cut down on debt investments to switch to assets that offered a better inflation hedge.

NEGATIVE RETURNS

Over the fourth quarter, ABP reported a 23 percent negative return on investments in non-fixed income assets, due primarily to sharp declines in the value of its investments in stocks, real estate and private equity.

Due to the fall in oil prices, ABP also reported a 47.5 percent negative return on commodities, which it includes among its non-fixed income assets.

The Dutch pension fund said its investments in fixed-income assets showed a positive return of 1 percent.

Dutch PFZW, the second largest Dutch fund and Europe's third-largest pension fund with 71.5 billion euros in assets, continues to add stocks to its portfolio to have about 40 percent of assets invested in listed shares, a PFZW spokesman said.

"PFZW rebalances, meaning we keep a certain part invested in stocks. Share price declines result in buying additional stocks to maintain holdings at a certain weight," the spokesman said.

PFZW said in a statement it booked a negative return of 13.1 percent in the fourth quarter, making it the largest negative return among the four Dutch funds.

Many Dutch pension funds have fallen into deficits due to the credit crisis and are working to file recovery plans with the regulator, the Dutch central bank (DNB), which gives them three years time to reach a surplus again.

The Dutch organisation for sector pension funds, VB, asked for flexibility from the DNB so funds would not have to take far-reaching measures such as sell off assets, cut pension payments or raise pension premiums because such actions could exacerbate the economic downturn. ($1=.7645 Euro) (Additional reporting by Aaron Gray-Block; Editing by Hans Peters)