Tennessee Consolidated Retirement System, Nashville, returned a gross 2.79% for the fiscal year, Chief Investment Officer Michael Brakebill said Wednesday.
The $43.2 billion pension fund’s returns for the fiscal year ended June 30 were below the policy benchmark of 3.51%. Mr. Brakebill said in a telephone interview that the pension fund’s outperformance compared to similar public pension funds was primarily due to significant exposure to longer-duration strategies with the pension fund’s 26.6% allocation to domestic fixed income.
Domestic fixed income was the second-best performing asset class, at 10.58% in the fiscal year ended June 30, behind real estate, which returned 12.62%.
Following those asset classes was traditional private equity, which returned 10.27%; inflation-hedged strategies, 4.8%; and the strategic lending portfolio, 1.59%.
Those returns offset weak returns in the equity asset classes. Domestic equities did manage to eke out a positive return, at 0.08%, followed by Canadian equities, which returned -4.21%; emerging markets equities, -6.39%; and international developed markets equities, -7.5%. Short-term investments returned -0.1%.
The pension fund’s annualized three-, five-, and 10-year returns are 7.41%, 7.54% and 6.03%, respectively.
As of June 30, the actual allocation was 33.2% domestic equities, 26.6% domestic fixed income, 12.3% international developed markets equities, 7.5% real estate, 4.9% inflation-hedged strategies, 4.5% emerging markets equities, 3.6% strategic lending portfolio, 3.5% Canadian equities, 3.4% private equity, and the rest in short-term investments.
Target allocations are 33% domestic equities, 25% domestic fixed income, 13% international developed markets equities, 7% real estate, 5% each emerging markets equities and strategic lending portfolio, 4% each Canadian equities and inflation-hedged strategies, 3% private equity and 1% short-term investments.