Virginia Retirement System returns 9.9% for fiscal year

Virginia Retirement System, Richmond, reported a net return of 9.9% for the fiscal year ended June 30, according to materials for its Investment Advisory Committee meeting Aug. 14.

The pension fund's return fell below its benchmark of 11.6% for the period, but above its 6.75% assumed rate of return, according to an Aug. 14 news release.

As of Aug. 8, VRS reported $113.3 billion in assets, though it ended the fiscal year with $113.9 billion in assets, which is “a record high,” according to the news release.

For the three, five and 10 years ended June 30, the pension fund returned an annualized net 5.5%, 8.7% and 7.6%, respectively, all above their respective benchmarks of 3.9%, 7.2% and 6.8%.

VRS had returned a net 6.1% for the fiscal year ended June 30, 2023.

“A highly diversified portfolio is central to our strategy,” CIO Andrew Junkin said in the news release. “Through active management, our investment team has added approximately $7.2 billion to the portfolio over the past decade. That’s especially important because investment earnings fund about two-thirds of benefit payments to VRS retirees and beneficiaries.”

By asset class, the top performer was public equity, with a net return of 20.1% (above its benchmark return of 18%); followed by credit strategies at 11.7% (10.8% benchmark); diversifying strategies, 9.7% (9.1%); private investment partnerships, 8.2% (8.7%); private equity, 5.8% (24.3%); fixed income, 3.8% (3.3%); and real assets, -3.2% (-5.8%).

As of Aug. 8, the actual allocation was 32.1% public equity, 16.8% private equity, 15.2% credit strategies, 15.2% fixed income, 12.6% real assets, 3.4% diversifying strategies, 2.3% cash, 2.2% private investment partnerships, 0.9% exposure management portfolio and the rest in negative leverage.

The target allocation is 33% public equity, 16% private equity, 16% fixed income, 14% real assets, 14% credit strategies, 4% diversifying strategies, 2% private investment partnerships, 2% cash, zero for the exposure management portfolio and -1% leverage.