For the three, five and 10 years ended June 30, the pension fund returned an annualized net 9.2%, 8.3% and 8.7%, above their respective benchmarks of 6.1%, 6.6% and 7.5%.
VRS had returned a net 27.5% for the fiscal year ended June 30, 2021.
For the most recent fiscal year, the return reflected a challenging market environment in public equities and fixed income. For the year ended June 30, the Russell 3000 index and Bloomberg U.S. Aggregate Bond index returned -13.9% and -10.3%, respectively, compared with returns of 44.2% and 4.6% for the year ended June 30, 2021.
However, VRS managed to post a positive net return for the most recent fiscal year, a feat accomplished by few public pension funds.
Ronald D. Schmitz, chief investment officer, said in remarks included with an investment report on the pension fund's website, that the pension fund benefited from "diversification to assets such as real estate, timber and private strategies in the equity and credit space."
By asset class, the top performer was private equity, which chalked up a net return of 27.4% for the fiscal year ended June 30 (well above its benchmark return of 6.7%); followed by real assets at a net 21.7% (above its 18% benchmark); private investment partnerships, a net 17% (6.9%); credit strategies, 1.5% (-6.5%); multiasset public strategies, -4.7% (-8.2%); fixed income, -10.6% (-11%); and public equity strategies, -14.8% (-16.2%).
As of June 30, the actual allocation was 30.5% public equity strategies, 18.8% private equity, 14.9% real assets, 14.3% credit strategies, 13.1% fixed income, 3.6% multiasset public strategies, 2.6% private investment partnerships, 1.3% exposure management portfolio and the rest in cash.