Nevada Public Employees' Retirement System, Carson City, returned 21% in its fiscal year ended June 30, its highest return since 1986, confirmed Ken Lambert, chief investment officer of the $25.2 billion pension system.
“Everyone had that big year in fiscal year 1986,” Mr. Lambert said in an interview. “The big catalyst was fixed-income returns. Back then, funds back then had much larger allocations to fixed income than today.”
The system's return in fiscal year 1986 was 23.5%; it had a 50% bond allocation then. The system has a 35% allocation to bonds as of June 30, 2011.
"Big bond exposures made a lot more sense back then. You were coming off the crazy-high (Federal Reserve chairman Paul) Volcker rates in the early ‘80s,” said Mr. Lambert.
Its remaining allocations are 42% U.S. equity; 17% non-U.S. equity; and 6% in private markets. U.S. equity returned 31.75% in the latest fiscal year while non-U.S. equity returned 30.4%.