Indiana Public Retirement System, Indianapolis, on Friday reported a -2.6% return on its investments in the first two months of its fiscal year and -0.67% year-to-date, both as of Aug. 31.
Those returns contrasted with the $29.5 billion pension fund's custom benchmark returns of -2.49% and -0.69%, respectively, according to a report to the pension fund's board from Scott Davis, interim chief investment officer.
Much of the decline for both time periods came from the pension fund's risk-parity strategy, returning -5.78% for the two months ended Aug. 31 and -4.96% over the first eight months of 2015. Both returns were below the portfolio's custom index returns of -3.42% and -1.7%, respectively.
Also hit hard was the pension fund's commodities portfolio, with returns of -13.11% in the two months ended Aug. 31 and -13.12% for the first eight months of 2015. However, both were above the respective -13.2% and -13.3% returns of the commodities' benchmark.
The top-performing asset class was its private equity portfolio, at 3.36% for the two months and 9.29% for the eight months. Among other classes, real estate returned 2.34% and 7.1%, respectively; cash, 0.19% and 1.12%; absolute return, 0.06% and 2.49%; ex-inflation-linked fixed income, -0.13% and -1.18%; inflation-linked fixed income, -0.87% and 0.1%; and global equity, -6.52% and -3.11%.
The pension fund's asset allocation as of Aug. 31 was 21.3% global equity, 20.9% ex-inflation-linked fixed income, 13.4% private equity, 10.1% risk parity, 10% inflation-linked fixed income, 9.5% absolute return, 7.2% commodities, 6.5% real estate and 1.1% cash.
Friday's board meeting was the first for Mr. Davis as interim CIO. He replaced David Cooper, who left INPRS on Oct. 2 to become director of investments at the $2.8 billion Purdue Research Foundation, West Lafayette, Ind.
The board on Friday did not discuss plans to find a permanent CIO during the open session of the meeting.