Texas Municipal returns top benchmarks

Texas Municipal Retirement System's preliminary net returns were above the pension fund's benchmarks for reported time periods ended June 30, an investment report showed.

For the year ended June 30, the preliminary net return for the $30 billion Austin-based retirement system was 0.7% compared with -0.1% for the actual asset allocation benchmark.

TMRS returned 5.4% for the year ended June 30, 2019. The pension fund's fiscal year ends Dec. 31.

Preliminary net annualized returns for longer periods were 4.5% for three years (benchmark, 4.1%); five years, 5.1% (4.7%); seven years, 5.9% (5.6%); 10 years, 6.3% (6%); and for 15 years, both the fund and the benchmark returned 5.2%.

Since inception on Jan. 1, 1989, the preliminary net annualized return of the pension fund was 8.2% vs. 7.6% for the benchmark.

The pension fund's asset allocation as of June 30 was 29.8% equities; 18.8% non-core fixed income; 13.3% core fixed income; 10.7% real return; 9.8% absolute return; 9.2% real estate; 3.4% private equity; and 5% cash.

By asset class, preliminary net returns for the year ended June 30 were led by core fixed income with 9.3% vs. 8.7% for the benchmark, followed by:

• The pension fund's real estate portfolio returned 3.1% (benchmark, 4.8%).
• Absolute return strategies were up 1.7% vs. 0.6% for the benchmark.
• TMRS' unallocated cash and its benchmark both returned 1.4%.
• The system's equity portfolio was flat compared to the benchmark which returned 1.2%.
• Non-core fixed income returned -0.7% and its benchmark return was -2.1%.
• The fund's real return portfolio and its benchmark both returned -7.4%, while the private equity portfolio and its benchmark both were -13.2%.

The one-year net return of the pension fund's real estate portfolio lags by a quarter.