Maryland State Retirement exceeds benchmark with 26.7% return

Maryland State Retirement & Pension System, Baltimore, returned a record net 26.7% for the fiscal year ended June 30, exceeding its benchmark return of 24.4%, its board of trustees announced Tuesday.

The $67.9 billion pension fund returned a net 3.6% for the fiscal year ended June 30, 2020.

For the three, five and 10 years ended June 30, the pension fund returned an annualized 11.8%, 10.7% and 8.2%, respectively, compared with the respective benchmarks of 11.2%, 10.2% and 7.5%.

"The attractive investment opportunities provided by the pandemic and subsequent monetary and fiscal policy responses are apparent in the rearview mirror but were not always clear in real time," said Andrew C. Palmer, the system's chief investment officer, in a news release. "Fortunately, working with the board and the investment staff, the system was able to fully participate in the very strong returns available in most markets. Importantly, the system maintained its moderate risk posture and portfolio implementation, resulting in impressive risk-adjusted returns as well."

By asset class, public equity returned a net 44.5% (above its 40.5% benchmark), followed by credit at 14.4% (above its benchmark of 12.8%). Rate sensitive returned a net -2.5%, (but topped its benchmark of -3.9%) and cash returned a net 0.13% (0.08% benchmark).

The remaining asset classes came in below benchmark: real assets at 14.8% (16.3%); private equity at 51.9% (53.1%); multiasset strategies at 24.1% (24.4%); and absolute return at 15.5% (15.7%).

As of June 30, the actual allocation was 35.6% public equities; 17.1% private equity; 15.9% rate-sensitive assets; 11.2% real assets; 9.2% credit; 8.7% absolute return; 1% multiasset strategies; and the rest in cash.