The North Carolina Retirement System is the latest North American pension fund to record a loss on its investments in the year to June 30, after revealing the fund lost 2.07 percent.
The $72.3 billion (€49.2 billion) fund blamed the credit crunch and falling stock markets for the overall loss, with investments in equities returning negative 10.45 percent.
The fund’s alternatives investments however reported strong gains, with real estate the strongest performer reporting gains of 8.74 percent for the year to June 30. Private equity investments returned 7.6 percent while fixed income reported returns of 8.35 percent for the year.
North Carolina has a target allocation to real estate of five percent and 3.5 percent to private equity. However it invests more than a third of its portfolio in fixed income and more than half in domestic and international equities.
During the past month a host of US pension funds have reported losses in their portfolios, including the Florida Retirement System, which lost 4.4 percent during the same period; the California Public Employees’ Retirement System, which lost 2.4 percent; the California State Teachers’ Retirement System, which lost 3.7 percent; the West Virginia Investment Management Board, which lost 6.5 percent and the Maryland State Retirement and Pension System, which lost 5.4 percent.
According to the fund’s website, North Carolina – which represents more than 820,000 state and local workers – invested 29 percent of its real estate portfolio in office properties, 22 percent in lodging, 18 percent in residential and 10 percent in retail, as of June 2007. Another eight percent went to industrial properties. The portfolio was valued at $3.45 billion.
The fund’s target allocation to private equity was 3.5 percent for the same period, with 57 percent invested in buyouts, a quarter invested in venture and 17 percent invested in special situations such as secondary and distressed investments. The value of the portfolio, as of June 2007, was $2.18 billion.
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