Vermont Pension Investment Commission, Montpelier, posted a preliminary fiscal-year net return of -7.72% for three pension funds collectively known as the Vermont State Retirement Systems.
The investment return surpassed the policy benchmark of -8.98%, according to the commission's latest investment report.
Eric Henry, the commission's chief investment officer, credited the outperformance to the way it closely monitors its active and passive strategies. "We're very disciplined in making sure our active strategies are adding value net of fees and our passive strategies have minimal tracking error," he said in an email.
The $5.4 billion Vermont State Retirement Systems also outperformed policy benchmarks on a three-, five- and 10-year basis, earning an annualized net of 6.14%, 6.44% and 6.51%, respectively. The benchmark returns for the respective periods were 5.01%, 5.59% and 6.12%.
Vermont State Retirement Systems returned a net 24.6% for the fiscal year ended June 30, 2021.
Private equity was the systems' top-performing asset class, delivering a whopping net return of 40.16%, followed by non-core real estate, private debt and inflation-hedging assets, which earned 23.86%, 13.81% and 7.13%, respectively. Global equity was the worst performer, hitting investors with a net return of -17.62%.
As of June 30, the systems' actual allocation was 34.75% global equity, 20.85% core fixed income, 9.51% private equity, 6.49% international equity, 5.86% private debt, 4.48% core real estate, 4.15% Treasury-inflation protected securities, 3.82% U.S. large-cap equity, 3.23% global fixed income, 2.81% U.S. smidcap equities, 2.67% non-core real estate, 1.06% private infrastructure/land, 0.18% cash equivalents and 0.14% high-yield fixed income.
The target allocation is 29% global equity, 19% core fixed income; 10% each private equity and private debt; 7% international equity; 4% each U.S. large-cap equity, global fixed income, non-core real estate and core real estate; and 3% each U.S. smidcap equities, TIPS and private infrastructure/land.
