North Carolina Retirement Systems, Raleigh, returned 0.8% for the 12 months ended June 30, and an annualized 6% over the last five years, the pension fund reported Thursday.
The benchmarks are 1.3% for the year and 5.5% for five years.
The system’s actuaries recently estimated the $87.6 billion system to be 95.6% funded, state Treasurer Janet Cowell, sole trustee of the pension fund, said in a statement. A recent analysis by CEM Benchmarking found North Carolina’s total investment cost of 49.9 basis points is below the peer median of 63.4 basis points, Ms. Cowell said.
“The low-interest-rate market environment will likely continue to keep investment returns relatively low over the next few years,” Ms. Cowell said in the statement, but the state pension fund outperforms most large public pension funds, with lower risk and cost.
In the latest fiscal year, the system’s highest returns came from non-core real estate, 12.39%; core real estate, 8.53%; bonds, 7.25%; and private equity, 4.32%.
The weakest returns were inflation sensitive,-5.75%; opportunistic fixed income, -4.4%; public equity, -3.89%; and multistrategy,-1.46%.
North Carolina’s current asset allocation is 58% growth, 29.1% rates and liquidity, 11% inflation sensitive and diversifiers, and the remainder in multistrategy.