Vermont returns 4% for fiscal year, beating benchmark

Vermont Pension Investment Committee reported a preliminary fiscal year net return of 4% for the $4.6 billion Vermont State Retirement Systems.

The return exceeds the policy benchmark of 3.3%, according to the latest investment report of the Vermont Pension Investment Committee, Montpelier, which oversees three pension funds collectively known as the Vermont State Retirement Systems.

CIO Eric Henry attributed the outperformance to "an intentional overweight to the fund's downturn hedging assets equal to 40% of uncalled capital" as well as "his awesome staff and investment committee."

Vermont State Retirement Systems also outperformed on a three, five- and 10-year basis. For the three, five and 10 years ended June 30, the fund returned an annualized net 5.9%, 5.9% and 7.2%, respectively, beating the three-, five- and 10-year respective benchmarks of 5.5%, 5.6% and 6.8%.

The fund returned a net 6% for the fiscal year ended June 30, 2019.

Absolute return was the fund's top-performing asset class, posting a net return of 10.8%, followed by fixed income and global equities, which returned 7.8% and 4.3%, respectively. Private equity, cash and real assets also had positive returns, earning a respective 2.6%, 1.3% and 0.9% for the fiscal year. The remaining asset classes had negative returns: domestic equities at -0.2%, private debt at -3.5%; and non-U.S. equities at -8.3%.

As of June 30, the actual allocation was 37.6% fixed income; 36.2% global equities; 6.8% each domestic equities and real assets; 6.5% non-U.S. equities; 4.1% private equity; 1.8% private debt; and 0.1% each absolute return and cash.

The target allocation is 29% global equities; 27% fixed income; 10% each private debt; private equity and real assets; 7% each domestic equities and non-U.S. equities; and zero in absolute return and cash.