Maryland State Retirement & Pension System, Baltimore, earned 2.68% for its fiscal year ended June 30, the board of trustees announced Tuesday at its monthly meeting.
The $45.8 billion system did not meet its 7.65% actuarial return target for the year, but did exceed its policy benchmark return of 0.86%.
Acting Chief Investment Officer Robert Burd said in a statement that returns were affected particularly by foreign equities. “While absolute performance did not meet the actuarial target for the fiscal year, we are very pleased with the performance of our active management program, which continues to add significant value over the overall plan benchmark,” roughly $800 million above benchmark, he said.
Nancy K. Kopp, board chairwoman and state treasurer, said in the statement that the system's five-year average return “has been close to 9.4%, a much more relevant measure of the overall health of our investment portfolio … The wisdom of the board's decision some time ago to diversify its portfolio has been borne out by its long-term positive returns,” she said.
Maryland's asset allocation is 37.6% public equities, 13.2% real return, 12.9% fixed income, 10.7% absolute return, 9.7% credit, 8% private equity, 7.4% real estate and 0.5% cash.
The highest returns came from private equity at 13.2%, followed by real estate at 12.1%; public equities, 3.7%; fixed income, 1.96%; and absolute return, 0.74%. Real return was down 5.18% and credit returned -0.81%.
New chief investment officer Andrew Palmer starts Wednesday.