Virginia Retirement System, Richmond, returned 1.4% net of fees in its fiscal year ended June 30, the $81.6 billion fund reported Friday.
CIO Ronald D. Schmitz said in a statement that VRS did not achieve its 6.75% assumed rate of return but did exceed the 1% custom benchmark for the fiscal year, as well as benchmarks for three-, five- and 10-year periods. Over those three periods, VRS returned 5.2%, 5.8% and 8.1%, respectively. The custom benchmark is a blend of the asset-class benchmarks at their respective policy weights.
The one-year return for fiscal 2019 was 6.7%.
"During these challenging times with extreme market volatility, the fund performed well overall, especially the fixed income portfolio," Mr. Schmitz said.
VRS Board Chairman O'Kelly E. McWilliams III said in the same statement that trustees and investment staff "are focused on long-term outcomes." As part of that long-term strategy, Virginia earlier this year decreased public equity exposure and increased exposure to private markets, "believing the future yield to be higher in these areas," Mr. McWilliams said.
The current asset allocation is 37.2% public equity, 16.8% fixed income, 13.8% credit strategies, 13.8% real assets, 12.5% private equity, 1.5% private investment partnerships and 3% multiasset public strategies, as of June 30, 2020.
During fiscal year 2020, returns by asset class were: public equity, -0.7%; private equity, 0.8%; real assets, 1%; credit strategies, 0.3%; fixed income, 9.5%; private investment partnerships, -6.4%; and multiasset public strategies, -3.2%.