In stark contrast to how other large Nordic institutions have assessed the Greek bond market, the fund increased its exposure to Greek government bonds in December last year from e183m to e519m. At the end of 2009, Keva had about 2 per cent of its total assets invested in Greek government bonds. It was also its largest bond allocation to a single country, even larger than its share of Finnish government bonds.

Fredrik Forssell, head of fixed income at Keva, confirmed that the fund had kept its allocation throughout the spring, but played down the importance of the size of the investment.

“It is a significant allocation in absolute numbers, but only a small part of Keva’s total assets. The papers have a short duration and we plan to keep them until maturity. In hindsight, there has of course been a lot of volatility. We haven’t been particularly worried, but we were of course slightly concerned before the rescue package was agreed,” said Mr Forssell.

He said that the decision to increase the allocation was based on attractive returns.

“We made the decision because of good returns from the Greek bonds compared with other government and corporate bonds. We assessed that it was unlikely anyone would tolerate a new kind of Lehman situation, which in the light of the rescue package, turned out to be a correct assessment,” said Mr Forssell.

However, several fund managers and other Nordic pension funds that nrpn has spoken to said that holdings in Greek bonds, which were bought last year, have not been a profitable investment. Other large Nordic institutions have also been far more risk averse towards investments in Greece than Keva.

Ole Petter Langeland, head of fixed income at AP2, the SKr204.3bn (e21.2bn) Second Swedish National Pension Fund, said that the fund had sold most of its limited exposure to Greek government bonds earlier this spring.

“We’ve been very cautious about Greek bonds and hardly got any exposure left. Things have been looking very shaky and there have also been a lot more attractive fixed income opportunities elsewhere. Compared with other bonds, returns have been poor,” said Mr Langeland.

Norges Bank Investment Management, the manager of the NKr2,763bn (e347.4bn) Norwegian Government Pension Fund Global, has also heavily underweighted its exposure to Greek government bonds. At the end of the first quarter of 2010, the fund had about half of the fixed income exposure to Greece, Spain, Portugal and Italy compared with its benchmark.

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