Penn SERS CIO Seth Kelly Resigns | Chief Investment Officer

Seth Kelly

Seth Kelly, CIO of the $35 billion Pennsylvania State Employees’ Retirement System (Penn SERS), has resigned from his post after less than a year on the job.

The announcement of his departure was buried at the bottom of a press release, beneath the fund’s first quarter returns and news of the board of trustee’s approval of a private equity investment.

The fund said the board appointed Deputy CIO James Nolan as acting CIO effective June 11, and that Kelly resigned “to pursue another career opportunity.” No further details were disclosed.

The pension fund’s board also directed the Board Governance and Personnel Committee to conduct a search for candidates to succeed Executive Director Terrill Sanchez when she retires at the end of the year.

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Kelly joined Penn SERS last July from the Missouri State Employees’ Retirement System (MOSERS), where he worked for nearly 16 years and was CIO for nearly four years. At the time of Kelly’s hiring, David Fillman, chairman of Pennsylvania SERS’ board, said that “this was one of the most intense and most thorough executive search efforts that I have seen during my tenure as chairman,” adding that the board and staff spent many months reviewing candidates and conducting interviews.

Although Kelly took the CIO position at an economically difficult time, the portfolio performed well during his brief stint, with healthy returns of 11% for full-year 2020 that continued into the first quarter of this year.

A Penn SERS spokesperson did not immediately return a request for more information on Kelly’s departure.

Meanwhile, the pension fund reported that its investment portfolio returned 3.52% net-of-fees during the first quarter.

Private equity was the top performing asset class for the portfolio, returning 12.34% for the quarter, followed by US equity and private credit, which returned 6.83% and 5.71%, respectively. International developed markets equity and emerging markets equity returned 4.10% and 2.96%, respectively, while real estate and cash returned 2.56% and 0.03%, respectively.

At the opposite end, fixed income was the worst performing asset class, losing 3.59% during the quarter, while Treasury inflation-protection securities (TIPS) lost 1.75%.

The portfolio’s asset allocation is 26.2% in fixed income, 25% in US equity, 14.4% in private equity, 12.9% in international developed markets equity, 7.3% in real estate, 4.9% in private credit, 4% in inflation protection, 3.8% in emerging markets equity, 1.5% in cash, and 0.1% in legacy hedge funds.

The Penn SERS board also approved a follow-on commitment of up to $50 million within the private equity asset class to Insight Partners XII L.P. The fund investments in software, software-enabled services, and internet businesses, with a focus on the US and select global opportunities concentrated in Western Europe and Israel.