North Carolina Retirement Systems, Raleigh, returned -3.7% for the quarter ended Sept. 30, the same as its benchmark, the pension fund reported Friday.
The $85.5 billion pension fund reported a loss of 0.5% for the last 12 months, and a gain of 7% annualized over the last five years. The benchmarks are 1.2% for the year and 6.3% for five years.
State Treasurer Janet Cowell, the sole trustee, said in a statement the pension fund has spent the past two years implementing a strategy “to smooth out the ups and downs of the markets by diversifying our portfolio” and while the quarter was down, “the fund is solid and well-positioned for the long term.”
Chief Investment Officer Kevin SigRist told the investment advisory committee Wednesdaythat despite the volatile year, “we are fairly satisfied with where we stand, which is close to our long-term target asset allocation.”
Public equity, representing 41% of the portfolio, returned -9.2% for the quarter and -5.4% in the past 12 months. Fixed income, which makes up 30%, rose 1.3% in the quarter and 3% in the past year.
The top-performing asset classes were non-core real estate, which returned 3% for the quarter and 17.7% for the year; private equity, 3.8% and 11.7%; and core real estate, 2.5% and 9.1%. Multistrategy returned -6% for the quarter and -2.8% for the year; opportunistic fixed income returned -2.7% and -2.6%; and inflation-sensitive strategies were down 3.5% in the quarter and down 10% for the 12-month period.