North Carolina Retirement Systems, Raleigh, returned 2% in the first quarter of 2015 and 5.9% over the 12 months ended March 31, the $90 billion pension fund reported Friday.
Gains among asset classes for the quarter were led by non-core real estate at 3%; followed by public equity at 2.8%; private equity, 2.6%; core real estate, 2.5%; multistrategy 2.1%; and investment-grade fixed income, 1.8%. Opportunistic fixed income gained 0.8% and inflation-sensitive investments declined 1.4%.
The one-year returns were non-core real estate, 17.9%; private equity, 13%; core real estate, 10.5%; investment-grade fixed income, 7.4%; public equity, 5.1%; multistrategy, 3.8%; opportunistic fixed income, 0.6%; and inflation-sensitive investments, -0.1%.
The asset allocation as of March 31 was 44.5% public equity, 28.9% fixed income, 5.7% opportunistic fixed income, 4.8% inflation-sensitive strategies, 4.6% private equity, 4.2% non-core real estate, 3.7% core real estate, 1.9% multistrategy and the rest in cash.
The current asset allocation is 59% growth, 30.7% rates and liquidity, 8.4% inflation and diversifiers, and 1.9% multistrategy. The target allocation is 58% growth, 29% rates and liquidity, 11% inflation and diversifiers, and 2% multistrategy.
State Treasurer Janet Cowell, sole trustee of the pension fund, said in a statement that while the pension fund is “in solid shape” over the long term, slow growth in the short term will require more diversified investments.