Maryland State Retirement System Loses 3% in Fiscal Year 2022

The Maryland State Retirement and Pension System’s investment portfolio lost 2.97%, net of fees, for the fiscal year ending June 30, but beat its policy benchmark’s loss of 3.48%. As they have been for many pension funds, the results were a sharp turnaround from last year, when the MSRPS earned record returns of 26.7%.

“As you would expect, given recent market conditions, investment returns are down from last year,” State Comptroller Peter Franchot, chair of the MSRPS board of trustees, said in a statement. “However, the system’s assets have held up better than most public plan peers.”

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A news release from the pension fund attributes the loss to the ongoing volatility of global financial markets, inflation, rising interest rates, the COVID-19 pandemic and the Russia-Ukraine war. It also notes that bonds did not provide their typical protection in down equity markets, as both stocks and bonds lost more than 10% during the fiscal year.

However, the release says the fund’s portfolio performed significantly better than a traditional 60/40 allocation to publicly traded stocks and bonds, which it attributes to a diversified and risk-balanced asset allocation that is designed to weather market volatility extremes.

“It was a difficult fiscal year for public markets with both bond and stock prices falling,” CIO Andrew Palmer said in a statement. “The board’s diversified asset allocation policy anticipates unusual markets such as these and includes stabilizing assets classes to protect value.”Although the fund missed its new assumed actuarial rate of 6.8% for the fiscal year, which became effective July 1, the portfolio’s three-, five- and 10-year returns were 8.4%, 7.9% and 7.8%, respectively.

The portfolio was weighed down by its public equity investments, which lost 19.38% during the fiscal year, and which missed their benchmark’s return by 133 basis points. Rate-sensitive investments also underperformed, losing 15.28% for the year, below their benchmark’s loss of 13.70%. And multi-asset investments lost 19.04%, well off their benchmark’s loss of 3.48%; however, the asset class accounts for only 0.4% of the portfolio’s total asset allocation.

Real assets and private equity were the top-performing asset classes for the pension fund, returning 25.70% and 24.53%, respectively. The real assets investments significantly outperformed their benchmark, beating it by 582 basis points, while the private equity investments beat their benchmark’s performance by 53 basis points.

Maryland State Pension Returns 3.6% in FY 2020

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Tags: Andrew Palmer, COVID-19, fiscal 2022, Inflation, Interest Rates, Maryland, Maryland State Retirement & Pension System (MSRPS), Pandemic, Pension Funds, Private Equity, Real Assets

The board of trustees of the $63.1 billion Teachers’ Retirement System of the State of Illinois approved more than $1.5 billion in investment commitments during June and July, over $1 billion of which will go to alternative investments, according to a news release from the fund.

The Illinois TRS committed over $800 million to 12 private equity investments, $200 million to an investment in its real assets portfolio and up to $650 million to an investment within its global income portfolio.

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Within the pension fund’s $10.4 billion private equity portfolio, TRS committed $150 million to Silver Lake Partners, which manages $685 million in TRS assets, and €130 million ($132 million) to U.K.-based TDR Capital, which currently administers €57 million in TRS assets.

Another $100 million was set aside for Baring Private Equity Asia Group’s Baring Asia Private Equity Fund VIII. Baring currently manages $340 million in TRS assets. The fund also set aside $100 million to Bregal Sagemount, which currently manages $75 million of TRS assets, and committed $60 million to Craft Ventures, which will be split evenly between the Craft Ventures IV fund and the Craft Ventures Growth II fund. Craft Ventures is a new investment relationship for the pension fund.

The pension fund committed a total of $75 million to be divided evenly among three Lightspeed Venture Partners funds: the Lightspeed Venture Partners XIV, Lightspeed Partners Select V and the Lightspeed Opportunity Fund II. Lightspeed currently administers $180 million in TRS assets. Another $75 million will go to Sunstone Partners Management, which manages $45 million in TRS assets, and $50 million has been committed to New MainStream Capital, which is a new investment relationship through TRS’ emerging manager program.

The TRS also allotted $15 million to FinTech Collective and $10 million to Insight Partners, which manage $40 million and $162 million worth of TRS assets, respectively, and $35 million to Leeds Illuminate Advisors, which is a new investment relationship for TRS. It also set aside $10 million to MaC Venture Capital, in another new investment relationship for the pension fund.

Within the TRS’ $12.4 billion real assets portfolio, the pension fund committed up to $500 million to SLR Capital, which currently manages $153 million in TRS assets, and up to $200 million to EQT Exeter, which handles $350 million in TRS assets. And within its $15.3 billion global income portfolio, the pension fund allotted $150 million to Sixth Street Advisors, which currently administers $20 million in TRS assets.