Pennsylvania PSERS Returns 1.13% in 2020 | Chief Investment Officer

The $59 billion Pennsylvania Public School Employees’ Retirement System (PSERS) reported a net annual return for the fiscal year that ended June 30 of 1.13%, resulting in a net investment gain of about $1 billion for the fiscal year.

However, the fund’s net position fell by $105 million as benefit payments of $6.8 billion exceeded investment income and employee and employer contributions of $6.7 billion.

Over the longer term, PSERS’ preliminary net annualized return over the past 10 years was 7.7%, beating its long-term investment goal of 7.25%.

“While the one-year investment returns were negatively impacted by the effects COVID-19 had on the capital markets, the fund’s 10-year net returns exceeded the actuarial investment return assumption,” PSERS Executive Director Glen Grell said in a statement. “In addition, the ongoing commitment of the governor and the General Assembly to fund the full actuarially required contributions continues to make a positive difference in the overall long-term financial health of the system.”

As of March 31, Pennsylvania PSERS’ asset allocation was 15.8% in private markets, 15.4% in public equities, 14.9% in inflation-protected investments, 10.7% in absolute return, 10.5% in real estate, 10% in investment grade investments, 9.7% in credit-related investments, 7.5% in commodities, 7.4% in risk parity, 7% in cash and cash equivalents, 2.8% in infrastructure, and 1.7% in master limited partnerships. Financing represents a negative 13.5% allocation.

Meanwhile, PSERS’ board of trustees voted last week on resolutions approving the independent auditors’ report, the 2019-20 financial statements, and three private markets investments. The meeting in which the votes were made was held both in person and online to comply with COVID-19 safety protocols.

PSERS said it received “an unmodified or clean opinion” in the auditors’ report from accounting firm CliftonLarsonAllen. The audited financial statements will be published in PSERS’ comprehensive annual financial report later this year.

During the meeting, the board also approved investments of $100 million to Greenoaks Capital Opportunities Fund III, $100 million to Polaris Fund V, and $168.75 million to Insight Partners Opportunities Fund I.

In August, PSERS’ board voted unanimously to dump approximately $2 billion from “expensive and underperforming” investments. The board agreed to the move as part of a $5 billion reallocation out of hedge funds and other higher risk investments into stocks, bonds, commodities, and infrastructure investments.

PSERS has a membership of about 256,000 active and 234,000 retired school employees.