The New York State Common Retirement Fund, Albany, returned an estimated 7.16% on investments for the fiscal year ended March 31, Thomas DiNapoli, the state comptroller and sole trustee of the pension fund, announced Friday.
The fund’s estimated asset value as of March 31 was a record $183.5 billion, up 4% from 12 months earlier, Mr. DiNapoli said in a news release.
Both figures are estimates pending an audit, which should be complete in the summer, Matthew Sweeney, a spokesman for Mr. DiNapoli, wrote in an e-mail.
For the fiscal year ended March 31, 2014, the audited return was 13.02%.
“The fund performed well over the past year despite the challenges in the market,” Mr. DiNapoli said in a news release.
The estimated return was below the long-term expected rate of return of 7.5%. Mr. Sweeney declined to comment on the one-year result, but he pointed out that the annualized three-year return was 10.16% and the annualized five-year return was 10.17%. The 10-year annualized return was 7.12% and the 20-year annualized return was 8.69%, he added.Mr. Sweeney also confirmed that Michael Dutcher, the pension fund’s actuary, is in the final stages of a five-year review of the pension fund’s investment return goals. The actuary “will submit a new set of actuarial assumption recommendations in a report expected this fall,” Mr. Sweeney wrote.
Among broad asset categories, the best performer for the year was domestic equities with an 11.6% return, followed by real estate at 10.4%, according to the news release. The weakest performers were non-U.S. equities, which returned -0.5%, and Treasury inflation-protected securities, 3.3%, the news release said.
Among the other asset categories, core fixed income returned 5.5%; private equity, 9.2%; global equities, 4.4%; absolute-return strategies, 5.9% return; and opportunistic alternatives, 7%.
The asset allocation as of March 31 was 37.1% domestic equity, 22.2% core fixed income, 11.2% non-U.S. equities, 7.5% private equity, 6.4% real estate, 5.2% TIPS, 4.9% global equities, 3.5% absolute-return strategies, 1.1% non-core fixed income, 0.7% opportunistic alternatives and 0.2% real assets.
Non-core fixed income and real assets were not provided because they were not funded for the full fiscal year, the news release said.