The COVID-19 pandemic has wreaked havoc on nearly all facets of life in recent weeks. It's certainly dealt some challenges to the Maryland State Retirement & Pension System, Baltimore, as well, but Chief Investment Officer Andrew C. Palmer said the $56.1 billion pension fund is still in good shape.
Despite a rough end to the first quarter — Mr. Palmer estimates that a portfolio with the system's allocation would roughly experience a -9% return for the quarter, though numbers from March are still coming in — he said the system's balanced portfolio headed off deeper losses.
"We've got a good mix of assets and diversified risks," Mr. Palmer said. "We think we're doing better than plans with more concentrated exposures to equity markets now."
As of Dec. 31, the pension fund's asset allocation was 50.7% growth equity, 19.4% rate sensitive and cash, 12.2% real assets, 8.9% credit/debt, 7.6% absolute return and 1.2% multiasset.
Following the 2008 financial crisis, said Mr. Palmer, who joined the Maryland system in 2015, staff worked to better diversify the system's portfolio. "We decided we didn't want to have that much of our portfolio coming from one market's risk," he said. "We had a tremendous amount of U.S. equity risk at the time" of the financial crisis.
Since the market volatility began in February, Mr. Palmer and his team — who have been working from home for the last four weeks — have rebalanced the system's portfolio "a bit at the margins ... but we haven't really made any large changes."