Indiana Public Retirement System, Indianapolis, removed Pacific Investment Management Co. from its watchlist, effective July 31, said a report Friday to the board.
PIMCO, which managed $902 million in assets for the $30.8 billion pension fund as of July 31, had been put on watch for organizational reasons after William H. Gross, co-founder and chief investment officer, left the firm to join Janus Capital Group in September 2014.
Scott Davis, INPRS chief investment officer, told the board Friday that the PIMCO portfolios had outperformed their benchmarks for the past three years, leading the pension fund to remove the firm from watch.
PIMCO managed $508 million in long-duration fixed income and $394 million in unconstrained bonds as of July 31, according to the pension fund's investment report. The long-duration portfolio outperformed its custom benchmark by an annualized eight basis points over three years, while the unconstrained portfolio topped its benchmark, the Intercontinental Exchange London Interbank Offered Rate U.S. Dollar 3-Month index, by 90 basis point annually over three years.
Separately, the pension fund returned a net 1.2% for the fiscal year ended June 30, vs. the 1.43% return of its custom benchmark. It returned 0.03% in the previous fiscal year.
As of June 30, the pension fund returned an annualized 4.78% over three years and an annualized 4.18% over five years, compared to its benchmark returns of 4.63% and 4.29%, respectively.
Commodities had the lowest return for the latest fiscal year, at -19.61%, although Mr. Davis said the asset class had returned 17.9% in the second half of the fiscal year.
Among its other asset classes, ex-inflation-linked fixed income returned 8.94% in the 12 months ended June 30; real estate, 8.09%; private equity, 6.81%; cash and cash overlay, 5.86%; inflation-linked fixed income, 5.36%; risk parity, 1.69%; absolute return, -2.87%; and global public equity, -4.31%.
INPRS' asset allocation was 22.3% global public equity, 21.1% ex-inflation-linked fixed income, 13.3% private equity, 11% risk parity, 9.2% absolute return, 7.4% each inflation-linked fixed income and commodities, 6.6% real estate, and the remainder in cash and cash overlay.
Mr. Davis said the retirement system's investment staff and Verus, its investment consultant, are reviewing the pension fund's active and passive securities strategies in terms of performance during the current fiscal year and expect to report their findings to the board once the review is complete.
The retirement system's funded status as of June 30 was 86%, unchanged from 12 months earlier.