Illinois State Universities returns 23.8%, behind benchmark

The $23.6 billion Illinois State Universities Retirement System, Champaign, returned a net 23.8% in the year ended June 30, below the 24.4% return of its policy benchmark, a performance report showed.

The system's net return for the year ended June 30, 2020, was 2.6% vs. 2% for the policy benchmark.

SURS' annualized net returns for the three, five and 10 years ended June 30 also were lower or met the returns of the policy benchmark with, respectively, a 10.4% return, (benchmark, 10.7%); 10.3%, (10.3%); and 8.5%, (8.6%).

The defined benefit plan's broad asset class allocation as of June 30 was traditional growth, 38.5%, (equities); stabilized growth, 21.8%, (options, core real assets, credit); non-traditional growth, 11.5%, (non-core real estate, infrastructure, real estate debt, non-core farmland, private equity); crisis risk offset, 10.6%, (systematic trend, long-duration bonds, alternative risk premia, Treasury bills); principal protection, 8.5% (fixed income); inflation-sensitive, 4.9%, (Treasury inflation-protected securities); transition funds, 3.7%; and cash, 0.5%.

Asset class net returns for the year ended June 30 were led by the non-traditional portfolio, which returned 42.3%, (benchmark, 43.5%); traditional growth, 40.5%, (40.9%); stabilized growth, 13.1%, (12%); inflation-sensitive, 6.5% for the portfolio and the benchmark; crisis risk offset, -0.1%, (6.6%); and principal protection, -0.2%, (-0.7%).