The aggregate return of the assets managed by the Church of England Pensions Board fell to 2% over the year ended Dec. 31 from 9.7% in 2014.
Total assets managed by the board increased 2.7% to £1.87 billion ($2.77 billion).
The London-based board provides retirement services for those who have served or worked for the church, and is the trustee and administrator of four pension funds: Church of England Funded Pensions Scheme, Clergy (Widows & Dependents) Pension Fund, Church Workers Pension Fund and Church Administrators Pension Fund.
The majority of assets are managed across a common investment fund, the Church of England Investment Fund for Pensions, and split into two investment pools: a return-seeking pool, and a liability-matching pool.
The return-seeking pool, which invests in equities, real estate unit trusts, infrastructure, emerging markets sovereign debt, global tactical asset allocation strategies and cash, returned 2.5% on its investments in 2015. Its pool benchmark, a consolidation of manager benchmarks, returned 2.9%. The report said the return-seeking pool had £1.1 billion in assets.
The liability-matching pool, which consists of U.K. government bonds and corporate bonds, had £206 million in assets. It returned -0.3% in 2015, vs. a pool benchmark of -0.8%.
The attention to managing risk continued in 2015, with a liability-driven investment framework developed for each of the pension funds, the report said. BlackRock was appointed as the board's LDI manager in 2016, and the frameworks will be implemented this year, the report said.
The board has also continued work on debt investment for the return-seeking pool, and earlier this year made an £80 million allocation — equating to 5% of return-seeking assets — to private loans to smaller companies in the U.S. Audax Group manages the allocation, the report said.
