The New York State Common Retirement Fund, Albany, posted an estimated net return on investment of 1.16% for the three months ended Sept. 30, the second quarter of its current fiscal year.
"Continued market volatility supports our conservative approach to long-term investing, which recently included lowering our assumed rate of return to 6.8%," Thomas DiNapoli, the state comptroller and sole trustee of the pension fund, said Monday in a news release.
The pension fund announced in August that it had reduced the assumed rate of return to 6.8% from 7%, effective April 1, the start of the current fiscal year.
"The fund remains strong, diversified and well positioned to weather the ups and downs that have become standard in the past several months and are expected to continue," Mr. DiNapoli said in the news release.
The pension fund reported estimated assets of $215.4 billion for the three months ended Sept. 30.
For the three months ended June 30 — the first quarter of the current fiscal year — the pension fund had an estimated net return of 3.38% and estimated assets of $216.2 billion.
The pension fund issues estimated return and asset figures during a fiscal year. Audited returns are posted after the completion of a fiscal year. Its audited asset value was $210.5 billion as of March 31, 2019, the end of the previous fiscal year.
As of Sept. 30, 2019, the pension fund's top asset allocations were 38.1% in publicly traded domestic equities; 24.6% in cash, bonds and mortgages; and 15.2% in international publicly traded equities. Other allocations were to private equity (9.6%); real estate and real assets (8.9%); and absolute return strategies and opportunistic alternatives (3.6%).