North Carolina Retirement Systems, Raleigh, returned 4.1% on its investments in the first quarter and 9.6% for the year ended March 31, state Treasurer Dale Folwell reported Monday.
Mr. Folwell, the sole trustee of the $92.2 billion pension system, said the public equity portfolio “did especially well,” but fixed income continues to lag due to historically low interest rates.
Public equity, which represents $37.9 billion of fund assets, returned 7% for the quarter and 14.9% for the year. Private equity, at $4.7 billion of assets, rose 2.3% for the quarter and 6.6% for the year.
Non-core real estate, at $3.6 billion, returned 3.6% for the quarter and 12.1% for the year.
Opportunistic fixed income, at $5.5 billion of the portfolio, returned 2.7% for the quarter and 6.6% for the year, while investment-grade fixed income, at $25 billion, returned 1% for the quarter and 0.9% for the year.
The inflation-sensitive and diversifiers category, which includes $6.4 billion in inflation strategies and $4.5 billion in core real estate, returned 3.3% for the quarter and 10.9% for the year.
Multistrategy assets, at $1.7 billion, returned 4.6% in the quarter and 11.8% for the year. Cash assets total $2.9 billion.
Since taking office in January, Mr. Folwell has focused on simplifying investments and reducing fees. He has contacted more than 150 money managers representing 99% of plan assets, and cut $25 million to date, with a goal of $100 million. “The fees cut so far are the floor, not the ceiling,” Mr. Folwell said in a statement.
He also wants to gradually lower the expected rate of return to reflect historical gains. On April 24, Mr. Folwell announced that the boards of the Teachers’ and State Employees’ Retirement System and Local Governmental Employees’ Retirement System agreed to lower their investment return assumption to 7.2% from 7.25%, beginning with the Dec. 31, 2016, valuations.
