Alabama Trust Fund, Montgomery, returned -4.6% on its investments in the quarter ended Sept. 30, slightly above its custom benchmark's -4.65% return, according to a report by Callan Associates, the trust fund's investment consultant.
The fund, which invests oil and gas capital payments generated by drilling activity off of Alabama's Gulf Coast, had $2.43 billion in assets as of Sept. 30, down 5.3% from three months earlier.
The fund returned -0.09% for the year ended Sept. 30. It returned an annualized 5.74% for the three years and 6.76% for five years ended Sept. 30, the Callan report said.
Young Boozer, state treasurer, said the quarterly numbers were hit particularly hard by equity returns. “The month of September particularly was a bad month for everyone in the equity business,” Mr. Boozer said. “However, October was an offset,” with overall returns of 4.33% vs. 4.35% for the custom benchmark, and for the 12 months ended Oct. 31, the fund returned 3.11% vs. 2.52% for the benchmark.
Real estate, accounting for 8.8% of the trust's assets, had the highest return for the latest quarter, at 4.91%, while investment-grade fixed income, holding 36.6% of the assets, gained 0.11%. The fund's equity allocations lost money in the quarter: domestic large-cap equities, -7%; domestic small-cap equities, -9.18%; and international equity, -10.49%.
The fund's equity asset allocation is 23.7% domestic large cap, 23.2% international and 7.7% domestic small cap.
The report was presented to the trust fund's board at its Nov. 20 meeting and is on the fund's website.