Illinois Municipal Retirement Fund, Oak Brook, lost 5.8% on its investments in the third quarter, below the -4.1% return of the pension fund’s custom benchmark, said a report presented to the pension fund’s board Friday.
The pension fund returned -0.32% for the year ended Sept. 30, vs. the custom benchmark’s 0.42% gain. IMRF returned 8.23% over three years, 8.55% for five years and 6.63% for 10 years, all as of Sept. 30. All multiyear returns are annualized.
The multiyear returns were above the custom benchmark’s returns of 7.45%, 8.04% and 6.31%, respectively.
For the three months ended Sept. 30, the -8.25% return of the U.S. equity portfolio, which makes up 41.4% of the pension fund’s assets, spurred the overall decline, said Janet Becker-Wold, senior vice president at IMRF’s investment consultant, Callan Associates, and co-author of the report. Its 19.4% international equity portfolio lost 10.91% in the quarter.
On the positive side, the pension fund’s 28.7% fixed-income allocation gained 0.78% for the three months ended Sept. 30; its 5% real estate allocation returned 4.47%; and its 4.6% alternatives portfolio had a 1.43% return. Its remaining 0.9% allocation to cash returned 0.06%.
The pension fund had a total of $34.8 billion in assets as of Oct. 31, up 4.2% from a month earlier but down 2% from June 30. According to preliminary returns, IMRF’s investments gained 4.53% in October vs. the custom benchmark’s 4.43% return.