Tennessee Consolidated posts 4.9% fiscal-year return

Tennessee Consolidated Retirement System, Nashville, returned a net 4.9% for the fiscal year ended June 30, confirmed Shelli King, spokeswoman for state Treasurer David H. Lillard Jr., who oversees the pension fund.

The $53.4 billion pension fund's return fell short of its policy benchmark return of 5.4%, according to a performance report posted its website.

For the three, five and 10 years ended June 30, TCRS returned an annualized net 6.9%, 6.9% and 8.9%, compared to the respective benchmarks of 6.9%, 7.1% and 8.9%.

TCRS returned a net 7.5% for the fiscal year ended June 30, 2019.

By asset class, the top performer for the fiscal year ended June 30 was domestic fixed income, which returned a net 12.7% (below its 14% benchmark), followed by inflation-hedged assets at 8.9% (above its 8.7% benchmark); private equity at 6.2% (1.3%); domestic equities, 5.7% (6.1%); real estate, 3.4% (5.3%); strategic lending, -0.2% (-1.1%); international developed markets equities, -2.7% (-4.9%); Canadian equities, -5% (-5.4%); and emerging markets equities, -10.8% (-9.6%).

As of June 30, the actual allocation was: 29.9% domestic equities, 25.7% domestic fixed income, 13.3% international developed markets equities, 9% real estate, 7.4% each private equity and strategic lending, 3.7% emerging markets equities, 1.8% Canadian equities, 1.7% short-term investments and 0.1% inflation hedged assets.