New York State Common Retirement Fund, Albany, had an estimated $109.9 billion in assets as of March 31, down 9.8% from the start of the year and 26% less than a year earlier, said Thomas P. DiNapoli, state comptroller and the funds sole trustee.
The fund returned an estimated -26.3% for the funds fiscal year ended March 31, Mr. DiNapoli said, putting the plans performance in the top 50% of 125 peer funds tracked by Wilshires Trust Universe Comparison Service.
Mr. DiNapoli blamed steep declines in the stock market for the funds performance, since about 42% of fund assets were invested in public equities as of March 31.
He said the fiscal year performance was the worst year in anybodys memory, but he couldnt say if it was the worst.
The funds 2.2% allocation to hedge funds returned -18.8% for the year ended March 31, while the 6.4% real estate allocation returned -32.6% and the 9.9% private equity allocation, -22.9%.
CIO Raudline Etienne said the private equity and real estate performance figures are estimates, but she noted that most managers whose data she has reviewed have already marked down their portfolios to market value and she does not expect significant further declines in actual returns in these two asset classes for the last fiscal year.
Mr. DiNapoli would not discuss the performance of individual alternative investment managers used by the fund on the advice of counsel because of ongoing investigations by state and federal authorities of alleged pay-to-play scandals involving fund investments.
Mr. DiNapoli and Ms. Etienne said that a previously planned asset allocation review is under way. Mr. DiNapoli said that staff are evaluating all relationships with existing managers now to build a more robust stable of money managers.
Mr. DiNapoli said some larger mandates run by a single manager may be divided among more managers.
Separately, Mr. DiNapoli said he proposed legislation that will allow employers to amortize a portion of the costs in managing expected increases in contributions to the fund by state and local government employers over time.
Mr. DiNapoli said he hopes the bill will be passed by the New York Legislature before the end of the current session in June and that Gov. David A. Paterson will sign it immediately.