North Carolina Retirement Systems, Raleigh, returned a net -7.3% for the fiscal year ended June 30, according to an update provided by a spokesman for state Treasurer Dale R. Folwell.
The $110.9 billion pension fund’s fiscal-year return exceeded its policy benchmark return of -8.2%.
For the three, five and 10 years ended June 30, the pension fund returned an annualized net 4.9%, 5.7% and 6.7%, respectively, compared to the respective benchmarks of 4.9%, 5.4% and 6.1%.
For the fiscal year ended June 30, the top performer was non-core real estate, which returned a net 24.8% (above the benchmark return of 20.1%); followed by private equity at 15.2% (versus a benchmark return of 16.3%); inflation-sensitive assets, 13.6% (8.3% benchmark); core real estate at 13.9% (18.9%) and opportunistic fixed income at 4.9% (4.3%).
Investment-grade fixed income returned -10% (-12.1%); public equities returned a net-20.2% (below the -16.5% benchmark return); and multistrategy portfolio, -3.9% (-7.1%).
As of June 30, the actual allocation was 47.1% growth, including public equity, private equity, non-core real estate and opportunistic fixed income; 40% rates and liquidity, including investment-grade fixed income and cash; 10.9% inflation sensitive and diversifiers, including core real estate; and 2% multistrategy portfolio.