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  2. PENSION FUNDS
October 05, 2023 12:32 PM

Tennessee Consolidated reports fiscal-year net return of 6.7%, shy of benchmark

Rob Kozlowski
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    Tennessee_State_Capitol_i.jpg
    Getty Images
    Tennessee state capitol in Nashville.

    Tennessee Consolidated Retirement System, Nashville, posted a net return of 6.7% for the fiscal year ended June 30.

    The $65.2 billion pension fund's return fell short of its policy benchmark return of 8.6% for the period, according to a performance report on its website.

    For the three, five and 10 years ended June 30, the pension fund returned an annualized net 8.9%, 7.8% and 8.1%, respectively, above the respective benchmarks of 8.2%, 7.5% and 8%.

    TCRS had returned a net -3.6% for the fiscal year ended June 30, 2022.

    Compare returns of public pension plans with P&I's Pension Fund Returns Tracker

    The latest fiscal year's improved performance likely benefited from stronger market returns for the period in both equities and fixed income. For the year ended June 30, the Russell 3000 and Bloomberg U.S. Aggregate Bond index returned 19% and -0.2%, respectively, well above their respective returns of -13.9% and -10.3% for the year ended June 30, 2022.

    Of the 77 U.S. public pension funds whose fiscal-year returns have been tracked by Pensions & Investments as of Oct. 5, the median return for the period was 7.6%.

    For the most recent fiscal year, the pension fund's top-performing asset class was international developed markets equities, which returned a net 19.5% (above its benchmark return of 17.5%); followed by domestic equities, which returned a net 18.8% (below the benchmark return of 19.2%); emerging markets equities, 11.5% (12.6%); strategic lending portfolio, 8.1% (9.7%); Canadian equities, 6.6% (6.9%); short-term investments, 2.7% (3.7%); domestic fixed income, -2.8% (-2.5%); private equity, -3.4% (-4%); and real estate, -4.1% (-3.1%).

    As of June 30, the actual allocation was 28.6% domestic equities, 17.8% domestic fixed income, 13.4% private equity, 11.7% real estate, 11.6% international developed markets equities, 11.1% strategic lending portfolio, 3.4% emerging markets equities, 1.6% Canadian equities and 0.8% short-term investments.

    The target allocation is 31% domestic equities; 20% domestic fixed income; 12% international developed markets equities; 10% each private equity, real estate and strategic lending portfolio; 4% emerging markets equities; 2% Canadian equities; and 1% short-term investments.

    Related Articles
    Tennessee Consolidated posts net -3.6% fiscal-year return
    South Carolina Retirement System tops benchmark with 6.8% fiscal-year return
    Florida Retirement System notches net 7.5% for fiscal year
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    October 23, 2023 page one

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