South Dakota Retirement System’s investments returned -20.36% for the year ended June 30, up from a steep decline in early 2009, when the fund’s return was about -40%, confirmed Matt Clark, CIO of the $5.6 billion Sioux Falls-based system.
Mr. Clark said the rebound in the stock market made up for much of the underperformance earlier in the year.
“We hope to continue the recovery this year,” he said in an interview.
He said actuarial reports for the year ended June 30 are not yet completed, but estimated that the system is around 80% funded, down from 105% funded a year earlier.
As of mid-August, the fund had 56% in global equities; 13% in investment-grade fixed income; 9% each in private equity and real estate; 9% combined in high-yield and distressed fixed income; 4% combined in merger arbitrage and convertible arbitrage.
Mr. Clark said the system’s benchmark allocation is 57% global equities; 18% investment-grade fixed income; 7% real estate; 6% combined in high-yield and distressed fixed-income; 5% private equity; 3% convertible arbitrage; 2% merger arbitrage; and 1% each in cash and commodities.
“As equity and distressed debt this past year became cheap, we added more to those categories,” he said. “As assets reach a more normal fair value, then we’ll take those extra holdings off and put them in more attractive areas.”
