North Carolina Retirement Systems returns 8.2% for fiscal year

North Carolina Retirement Systems, Raleigh, returned a net 8.2% for the fiscal year ended June 30, according to a quarterly investment report dated Aug. 9.

The $123 billion pension fund’s return fell below its policy benchmark of 10.5% for the period, according to the report from Dale R. Folwell, state treasurer and sole trustee of NCRS.

For the three, five and 10 years ended June 30, the pension fund returned an annualized net 1.9%, 5.6% and 5.6%, respectively, compared with their respective benchmarks of 1.2%, 6.1% and 5.3%.

NCRS had returned a net 5.3% for the year ended June 30, 2023.

By asset class, the top performer for the pension fund's most recent fiscal year was public equity, with a net return of 17.7% (below its benchmark of 18.4%); followed by opportunistic fixed income, 11.7% (benchmark 8%); multistrategy portfolio, 9.2% (6.3%); inflation-sensitive assets, 5.3% (5.5%); pension cash, 5.1% (5.4%); private equity, 4.1% (5.2%); investment-grade fixed income and cash, 2.5% (1.9%); core real estate, -9.9% (-8.5%) and non-core real estate, -14.1% (-6.1).

Asset allocation information as of June 30 was not available yet.

As of March 31, the actual asset allocation was 39.6% public equity; 27.6% investment-grade fixed income and cash; 8.2% pension cash; 6.1% opportunistic fixed income; 5.1% core real estate; 5% private equity; 4.6% inflation-sensitive assets; 2.1% multistrategy portfolio and 1.7% non-core real estate.

The target allocation as of March 31 was 38% public equity; 28% investment-grade fixed income and cash; 7% opportunistic fixed income; 7% private equity; 6% inflation-sensitive assets; 5% pension cash; 5% core real estate; 3% non-core real estate and 1% multistrategy portfolio.