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  2. PENSION FUNDS
October 02, 2019 02:47 PM

Tennessee Consolidated returns 7.5% for fiscal year

Rob Kozlowski
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    Tennessee Consolidated Retirement System, Nashville, returned a gross 7.5% for the fiscal year ended June 30, said Shelli King, spokeswoman for state Treasurer David H. Lillard Jr., who oversees the $52.3 billion pension fund.

    The pension fund's return fell 6 basis points short of the policy benchmark return of 7.6%.

    For the three, five and 10 years ended June 30, the pension fund returned an annualized gross 9%, 6.6% and 9.4%, respectively, compared with their respective benchmarks of 8.9%, 6.6% and 9.5%.

    TCRS returned a gross 8.2% for the fiscal year ended June 30, 2018.

    By asset class, traditional private equity led the way with a gross return of 17.5% (above its 2.8% benchmark return), followed by domestic fixed income at a gross return of 11% (above its benchmark return of 10.7%).

    Real estate was next, with a gross return of 7.8% (above its benchmark return of 6.8%); U.S. equities, 7.3% (9.3%); strategic lending, 6% (5.8%); Canadian equities, 5.1% (5.6%); inflation-hedged strategies, 5% (4.9%); emerging markets equities, 3.3% (3.2%); short-term investments, 1.4% (2.3%); and international developed markets equities, 0.4% (-0.04%).

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

    As of June 30, the actual allocation was 31% U.S. equities, 26% domestic fixed income, 13.5% international developed markets equities, 8.8% real estate, 6.3% private equity, 5.6% strategic lending portfolio, 3.9% emerging markets equities, 2% Canadian equities, 1.9% short-term investments and the rest in inflation-hedged strategies.

    The target allocation is 31% U.S. equities, 25% domestic fixed income, 13% international developed markets equities, 10% real estate, 7% each private equity and strategic lending portfolio, 4% emerging markets equities, 2% Canadian equities and 1% short-term investments.

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