Tennessee Consolidated returns 25.6%

Tennessee Consolidated Retirement System, Nashville, returned a net 25.6% for the fiscal year ended June 30.

The $66.1 billion pension fund's return exceeded its policy benchmark index return of 23.7% for the period, an investment report included with Friday board meeting materials shows.

For the three, five and 10 years ended June 30, TCRS reported annualized net returns of 12.3%, 11.3% and 9.4%, respectively, above the respective benchmarks of 11.9%, 11% and 9.3%.

The pension fund returned a net 4.9% for the fiscal year ended June 30, 2020.

For the most recent fiscal year, the best-performing asset class was private equity, which returned a net 64.5% (above its custom benchmark of 53.8%). Following were emerging markets equities with a net return of 50.7% (below its 52.4% benchmark); Canadian equities, a net 47% (above its 46.9% benchmark); domestic equities, 40.7% (42.1%); international developed markets equities, 38.5% (33.6%); strategic lending portfolio, 18.2% (13.5%); real estate, 8.1% (2.6%); short-term investments, 0.1% (0.1%); and domestic fixed income, -0.9% (-2.25%).

As of June 30, the pension fund's actual allocation was 30.5% domestic equities, 23.2% domestic fixed income, 12.4% international developed markets equities, 10.3% private equity, 8.9% real estate, 7.4% strategic lending portfolio, 3.9% emerging markets equities, 2.1% Canadian equities, and 1.3% short-term investments.