Indiana Public Retirement System, Indianapolis, returned 4.03% for the first five months of 2016, slightly below its 4.05% custom benchmark return, said a report to the $29.7 billion system’s board on June 24.
As of May 31, the system’s one-year return was -1.33% vs. the benchmark’s -1.09% return, while the five-year return was an annualized 3.72% vs. 3.81% for the benchmark, and the 10-year return was an annualized 3.65% vs. 3.77%.
Scott Davis, interim chief investment officer, told the board on June 24 that the system’s returns had rebounded from earlier this year. For the quarter ended March 31, INPRS reported a 2.17% return for the quarter vs. its 2.36% custom benchmark and -1.71% for 12 months, compared to the -1.47% benchmark;
For the 12 months ended May 31, the top-performing asset class was real estate, at 8.06%, followed by private equity at 7.92%; ex-inflation-linked fixed income, 3.87%; and inflation-linked fixed income, 0.22%.
Cash returned 4.5% for the 12 months, helped by a new cash overlay program the system implemented in April.
The biggest loss for the 12 months was in INPRS’ commodities portfolio, which returned -22.14%, though Mr. Davis pointed out that the portfolio had returned 10.49% since the start of 2016. Other losses for the 12 months were seen in global equity, -5.33%; risk parity, -4.92%; and absolute return, -3.17%.