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Indiana Public Retirement System posts net return of -6.4% for fiscal year

Indiana Public Retirement System, Indianapolis, produced a preliminary negative net return of -6.4% in the fiscal year ended June 30 for the system’s $36.1 billion defined benefit plan.

The system outpaced the -6.8% net return of the passive defined benefit benchmark, which includes exposure via derivatives that provides more market exposure, according to INPRS’ investment report for its Sept. 9 meeting.

INPRS’ defined benefit plan totaled a notional $41 billion including derivative overlays, the report showed.

Over the three, five and 10 year periods ended June 30, the defined benefit plan returned annualized preliminary net returns of 6.4%, 7.2% and 6.4%, respectively, above the respective benchmark returns of 5.9%, 6.7% and 5.9%.

The plan returned 23.1% in the fiscal year ended June 30, 2021.

By asset class, INPRS’ top performer in the fiscal year ended June 30 was its $2.9 billion real assets portfolio, which produced a net preliminary return of 17.9%. In contrast, the benchmark return was 14.9% over the same period.

Other preliminary net one-year returns were private markets, 11.4%; commodities, 9.6%; absolute return, 8.2%; inflation-linked fixed income, -7.4%; cash and overlay, -12.5%; risk parity,-16.6%; ex-inflation-linked fixed income, -17.1%; and public equity, -17.2%.

Including the derivatives overlays, the asset allocation of the defined benefit plan as of June 30 totaled 113.5%, led by risk-parity, 18.9%; public equity, 18%; private markets, 17.6%; fixed income ex-inflation-linked, 15.1%; fixed income inflation-linked, 14.5%; absolute return, 10%; commodities, 9.6%; real assets, 8.2%; and cash and overlay, 1.6%.