The Fund's entire investment portfolio continues to be managed on a day to day basis in-house supported by the Fund's external advisers. Investment strategy and asset allocation is agreed at quarterly meetings of the Investment Panel. There are eleven professional investment managers and five administration/settlement staff in the in-house investment team.

The in-house investment management costs continue to be amongst the lowest of all local authority pension funds. In 2005/06, the Fund's in-house investment management costs equated to £6.74 per scheme member compared with the national average for all local authority pension funds of £58.17.

The Panel adopted a fund-specific benchmark commencing from 1 April 2005, and details of the benchmark currently being used are shown in the Statement of Investment Principles. The benchmark represents the optimal investment portfolio distribution between asset classes to deliver the WYPF back to 100% funding in accordance with the principles outlined in the Funding Strategy Statement. The Panel does, however make tactical adjustments around the benchmark for each asset class within a set control range. Investment in fund of hedge funds commenced in April 2005 to implement a strategy of investing up to 5% of the total investment portfolio in fund of hedge funds by the end of 2007. A significant element of new money during 2006/07 continued therefore to be invested in fund of hedge funds. Other new money was invested predominantly in overseas equities and bonds. No new money was invested in UK equities in order to keep UK equities within the control range of the fund-specific benchmark for this asset class.

The cash element of the investment portfolio was reduced during the year from 5.9% to 4.5% as at 31 March 2007 in response to the strategy set out in the fund-specific benchmark.