Florida Retirement System ekes out small return

Florida Retirement System, Tallahassee, returned 0.29% on its investments for the fiscal year ended June 30, outperforming the defined benefit pension plan's customized benchmark by 77 basis points, according to preliminary figures released Wednesday by the Florida State Board of Administration, which oversees the plan.

The plan ended the fiscal year with $122.7 billion in assets, an FSBA statement said.

In the 12 months ended June 30, 2011, the plan returned 22%, exceeding its benchmark by 30 basis points.

Global equity was the worst performer for the latest fiscal year in terms of absolute return at -5.11% but relative to its customized benchmark it was the best performer, adding 1.68 percentage points in value.

Among the plan's other asset classes, real estate returned 12.75%, outperforming by 13 basis points its customized benchmark; fixed income, 7.84%, 37 bps above its benchmark; private equity, 6.83%, underperforming its benchmark by 1 basis point; strategic investments, primarily hedge funds, distressed debt and timberland, 3.72%, outperforming by 45 bps; and cash, 0.25%, outperforming by 19 bps.

As of June 30, the retirement system returned 11.77% over three years, 1.56% for five years, 6.43% for 10 years, 6.11% for 15 years, 8.08% for 20 years and 8.38%; for 25 years. All multiyear returns are annualized. In each of the periods, the plan outperformed its benchmark.

The FRS 401(a) plan's investments returned 1.07% on its investments in the 12 months ended June 30, underperforming its customized benchmark by 10 basis points, the statement said. The 401(a) plan ended the fiscal year with $7.138 billion in assets.

In the previous 12 months, the 401(a) plan returned 18.1%, outperforming its benchmark by 87 basis points.

On an annualized basis, the 401(k) plan retuned 9.86% for three years, 1.4% for five years and 6.36% since the plan's inception in 2002. The plan outperformed its benchmark for each of the periods.

The FSBA bases the 401(a) plan's annualized returns on the aggregation, on a monthly basis, of plan participants' allocations, said Dennis D. MacKee, FSBA communications director.

As of July 31, the FSBA oversaw a total $153.7 billion, including the FRS' $123.2 billion defined benefit plan and $7.25 billion 401(a) plan.