Indiana Public Retirement System, Indianapolis, returned 9.98% on its investments in the 12 months ended March 31, above its 9.35% custom benchmark return and the pension fund's 6.75% expected annualized rate of return.
For periods ended March 31, the pension fund returned 5.37% over five years vs. 5.16% for the benchmark, and 4.38% for 10 years compared to the 4.04% benchmark. All multiyear returns are annualized.
Scott Davis, chief investment officer at the $33.9 billion retirement system, said at an INPRS board meeting Friday that the pension fund was able to weather volatile equity markets in the first quarter, with an overall 0.66% return vs. the benchmark's 0.38% return for the first three months of 2018. Quarterly declines in public markets investments, led by a -2.1% return in its risk-parity allocation, were more than offset by its other investments, led by a 7.1% return in its private markets allocation.
Other returns for the first quarter 2018 were 3.17% for real estate, 1.35% for absolute return, 0.93% for commodities, -0.12% for global public equity, -0.68 for ex-inflation-linked fixed income, -0.83% for cash and cash overlay, and -1.54% for inflation-linked fixed income.
"One warning — it's not always going to be this good," Mr. Davis said, though he added that INPRS' overall asset allocation protects the retirement system from major impacts of volatile public markets.
Despite a first-quarter decline of 0.1%, global public equity was the top performer for the year ended March 31, at 16.55%. Also for the 12-month period, private markets returned 16.24%; commodities, 10.54%; real estate, 10.4%; and risk parity, 6.95%.
Inflation-linked fixed income had the lowest return for the 12 months, at 3.59%; while ex-inflation-linked fixed income returned 5.13% and absolute return, 5.52%.
The pension fund's asset allocation as of March 31 was 23.1% global public equity, 19.2% ex-inflation-linked fixed income, 12% each risk parity and private markets, 10.2% absolute return, 8.6% commodities 7.4% inflation-linked fixed income, 6.2% real estate, and 1.3% cash and overlays. All allocations are within the retirement system's target ranges, although Mr. Davis said the pension fund is looking to increase its actual private markets allocation, which is just above its minimum 10% target.
The pension fund did not hire or commit assets to new managers since its last meeting on Feb. 23.