North Carolina Retirement Systems, Raleigh, returned 13.5% in calendar year 2017, state Treasurer Dale R. Folwell said Tuesday.
The benchmark for the $98.3 billion pension fund was 12.8%. The highest return was 24.4% from public equity, which makes up nearly 40% of assets. The multistrategy portfolio returned 13.6%, followed by non-core real estate at 12.4%, private equity at 12%, inflation-sensitive and core real estate at 8.6%, opportunistic fixed income at 7.1% and investment-grade fixed income at 4.4%.
The year also brought $60 million in savings from reduced fees paid to asset managers as part of a four-year campaign Mr. Folwell promised when he took office in January 2017, and the move of $100 million in passive assets to internal management.
"We are very pleased about this performance, given the risk profile," Mr. Folwell said on a news call announcing the returns. While the pension fund is reaching target levels for many asset classes, "I don't anticipate a lot of changes" in asset allocation, he said.
One of Mr. Folwell's main goals for 2018 is lowering the current 7.2% assumed rate of return by 5 basis points a year over five years. Lowering the rate would require state Legislature approval for the state to contribute an additional $75 million to the systems to keep it well funded, and Mr. Folwell is planning to ask them to lower the rate in April.
"We are optimistic about the response," he said. "We've been doing a lot of legwork behind the scenes."
At 92%, North Carolina has one of the best funded plans.
The treasurer has not yet posted a job description for the chief investment officer position, which has been open since Kevin SigRist left in July. Noting that the fund has had seven CIOs in the past 14 years, "before we post anything we're going to make sure that we have the job description correct. I'm not going to be in a hurry to make a bad decision here," Mr. Folwell said.