Maryland State Retirement & Pension System, Baltimore, returned 1.16% for the fiscal year ended June 30, 53 basis points below its benchmark.
Noting it was the second straight difficult year for investors, Andrew Palmer, chief investment officer of the $45.5 billion system, said in a statement that 2016 returns “displayed much larger variability among asset classes,” but the balanced asset allocation of the pension fund helped earn modest positive returns.
Nancy Kopp, state treasurer and board chairwoman, in the same statement said the fund has earned an average of 8% over the past 30 years. The fund's long-term actuarial target is 7.55%.
Private equity was the best-performing asset class for the fiscal year, returning 9.94%, followed by rate-sensitive strategies at 9.34% and credit/debt strategies at 2.23%. Negative returns came from public equity at -4.31%; absolute return, -3.01%; and real assets, -1.66%.
The asset allocation is 37.4% public equity, 22.7% rate sensitive strategies, 12.7% real assets, 9.4% credit/debt strategies, 9.2% private equity and 8.6% absolute return. The target allocations are 47% growth equity, broken out into 36% public equity and 11% private equity; 20% rate-sensitive strategies; 15% real assets; and 9% each absolute return and credit strategies.