The Virginia Retirement System (VRS) achieved a 1.4% return, net of fees, on its investment portfolio for the fiscal year ending June 30, raising the value of the VRS Trust Fund to approximately $81.6 billion. Despite the meager gains, the fund outperformed its benchmark, which returned 1% for the year.
“During these challenging times with extreme market volatility, the fund performed well overall, especially the fixed-income portfolio,” CIO Ronald Schmitz said in a statement. “Although we did not achieve the projected rate of return for the one-year period, the fund did exceed the custom benchmark for this period, along with the benchmarks for the three-, five,- and 10-year periods.”
The fund reported three-, five-, and 10-year annualized returns of 5.2%, 5.8%, and 8.1%, respectively, compared with its benchmark’s returns of 5.1%, 5.6%, and 7.6%, respectively, over the same time periods. Over the longer term, the fund had 15-, 20-, and 25-year annualized returns of 6.4%, 5.5%, and 7.8%, respectively. Long-term returns for the fund’s benchmark were not provided by the VRS.
Fixed income was the fund’s top-performing asset class, returning 9.5%, followed by real assets, which gained 1%, and private equity and credit strategies, which increased 0.8% and 0.3%, respectively. The worst performing asset class was private investment partnerships, which lost 6.4%, followed by multi-asset public strategies and public equity, which declined 3.2% and 0.7%, respectively.
The fund’s asset allocation is 37.2% in public equity, 16.8% in fixed income, 13.8% in credit strategies, 13.8% in real assets, 12.5% in private equity, 3% in multi-asset public strategies, 1.5% in private investment partnerships, and 1.5% in cash.
VRS Board of Trustees Chairman O’Kelly E. McWilliams III said the board decreased the portfolio’s public equity exposure earlier this year, which “saved transaction costs and supported the long-term strategy of increasing exposure to private markets, believing the future yield to be higher in these areas.”