New York City Employees Retirement System returned 10.33% on a dollar-weighted basis for 2005 through June 3. The $30.1 billion fund — the largest pension plan in the $84 billion New York City Retirement Systems — edged out the Callan Public Fund Median, which showed a mean return of 8.66% for all of Callan's U.S. public pension plans as of the same period, according to the fund's consolidated performance report.
The fund's $21 billion domestic equity portfolio returned 12.73%, compared with 12.7% for the Russell 3000 index over the same time period. Its fixed-income portfolio returned 6.29%, compared with 4.13% for the Callan fixed-income median index, a composite index of the returns of its public fund clients' fixed income portfolios. The fund's active domestic small-cap growth managers, which run a combined $151 million, produced the best return among its active managers — 18.86% — although that figure underperformed the Russell 2000 Growth index, which returned 19.32% for the same period.