North Carolina Retirement Systems, Raleigh, returned a net -1.47% in 2018, state Treasurer Dale R. Folwell said Thursday.
"We've now added $2 billion to the pension plan's unfunded liability," said Mr. Folwell, the sole trustee of the pension fund, in a statement. He added that the $94.2 billion pension fund has not hit its assumed rate of return, now 7%, in the past 21 years.
The biggest losses were in public equity, 40% of the portfolio, which returned -9.3%. Fixed income lost 0.6%, and the multistrategy portfolio lost 4.8%.
Private equity gained 18.3%, non-core real estate returned 13.3%, opportunistic fixed income returned 5.7%, and the inflation-sensitive and diversifiers portfolio grew by 6.3%.
In 2018, Mr. Folwell and the staff moved $15.2 billion of passive investments in-house as part of an overall campaign to reduce fees, and they now manage $45.7 billion in passive public equity and fixed-income assets internally.