Italian pension fund, Fondo Pegaso, has announced plans for a new investment strategy incorporating semi-liquid alternative assets, which is intended to help improve profitability and restore credibility in its guaranteed compartments.

The new strategy comes after years of low returns in guaranteed pension products, which has left pension funds struggling to compete with the statutory revaluation of the Trattamento di Fine Rapporto (TFR or severance pay).

The fund noted that, for years, guaranteed compartments—traditionally dominated by government bonds—have delivered modest yields, held back by low interest rates and the high cost of offering capital guarantees. 

During the period of negative rates, some pension funds were unable to renew guarantee agreements with asset managers, or could only secure contracts guaranteeing less than 100 per cent of capital.

However, Pegaso pointed out that insurance companies were often able to offer stronger guarantees thanks to favorable accounting treatment,warning that this disparity poses a "real competitive disadvantage to the detriment of occupational pension funds".

Pegaso acknowledged that, with the progressive normalization of the interest rate market, the interest of managers has returned, the guarantees offered have improved and the returns have outperformed the revaluation of the TFR.

However, it warned that the investment line of the guaranteed funds is still heavily focused on the bond component, suggesting that further exploration is needed on new ways to improve the risk/return profile of the guaranteed funds by leveraging diversification in investment allocation and decorrelation of portfolio assets.

Given this, and building on the experience gained with the Private Debt mandate (Progetto Zefiro) of the Balanced segment, where a semi-liquid fund was added to the portfolio, Pegaso Fund launched a review, with the support of Prometeia Advisor Sim, on the possibility of including this type of alternative asset in the asset allocation of the guaranteed segment.

Whilst Pegaso acknowledged that this "might have seemed like a gamble for a guaranteed sector", it pointed out that these asset classes have already been present for some time in the separate management of insurance companies.

It also suggested that the adoption of certain measures could mitigate risks, increase opportunities and interests for both parties and, above all, benefit the sector's members.

The fund said that the chosen manager, Unipol Assicurazioni, immediately expressed their willingness to discuss the matter, with private equity quickly found to be the most attractive asset class.

According to Pegaso, this class was chosen thanks to its ability to provide a significant return pickup while maintaining low volatility, and infrastructure strategies, which provide greater portfolio stability and a return partially generated by the yield of the underlying assets.

Given this, the fund will now introduce a small allocation of between 5 and 10 per cent of semi-liquid alternative assets, equally split between private equity and infrastructure. 

According to preliminary estimates, a 5 per cent allocation could improve the fund's expected profitability by 40–45 basis points, with "virtually unchanged" volatility and only a modest increase in management costs. 

To facilitate the change, Fondo Pegaso’s Board approved an amendment to its management agreement on 18 September 2025, effective 1 October 2025.

"We believe this proposal, combined with the positive trend in the interest rate market, could help restore credibility to guaranteed lines of credit that face the revaluation of TFR and, for this reason, constitute an element of interest for the entire pension fund system," it stated. 

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