North Carolina Retirement Systems, Raleigh, returned 3.5% net of fees for the quarter ended Sept. 30, above its 3% benchmark, the pension fund reported Tuesday. That compares to second quarter returns of 1.8%, which were below the 2% benchmark.
The $89.8 billion pension fund reported a gain of 6.4% for the nine months ended Sept. 30, slightly below its 6.7% benchmark.
For the 12 months ended Sept. 30, the pension fund returned 8.4%, the same as its benchmark.
Multiyear annualized returns for periods ended Sept. 30 were three years, 5.6% (vs. 5.2% for the benchmark); five years, 8.1% (vs. 7.3%); 10 years, 5.5% (vs. 5%); and 15 years, 6.5% (vs. 6.1%).
The pension fund's long-term actuarial assumed rate of return is 7.25%.
The best performer for the third quarter was public equity, gaining 5.7%; followed by inflation-sensitive, 4.3%; multistrategy, 3.8%; opportunistic fixed income, 3.7%; non-core real estate, 3.2%; core real estate, 2.6%; and private equity, 2.5%. Bonds, and rates and liquidity both rose 0.6% in the third quarter.
North Carolina's current asset allocation is 58.3% growth, 28.8% rates and liquidity, 11.1% inflation sensitive and diversifiers, and the rest in multistrategy. The current allocations closely mirror the targets.