The South Carolina Retirement System Investment Commission, Columbia, posted a net return of -1.6% in the fiscal year ended June 30, below its 0.13% benchmark, according to board documents of its 9 September meeting.
For the three, five and ten years ended June 30, the $ 31 billion South Carolina Retirement Systems returned an annualized net value of 4%, 4.6% and 6.7%, respectively, compared to the respective returns of 4.6%, 5.2% and 6.6%.
The retirement system returned 5.8% net of fees in the fiscal year ended June 30, 2019.
By asset class, core fixed income posted a net return of 8.5% (below its benchmark return of 8.7%) followed by TIPS, 8% (8.3%); private properties, 3.4% (2.3%); cash and short term, 1.5% (1.6%); global public equity, 0.7% (0.8%); public infrastructure, -1% (-6%); excess return on the portable alpha hedge fund (net LIBOR), -1% (2.5%); mixed credit, -1.1% (-1%); stock options, -1.6% (-9.2%); emerging market debt, -4.3% (-1.1%); allocation of global tactical assets, -5.5% (0.9%); private debt, -5.6% (-7.7%); private equity, -6.8% (-7.2%); public properties, -7.9% (-13.4%); and other opportunists, -22.4% (0.9%).
As of June 30, the real allocation was 43.5% global public equity, 16.3% basic fixed income, 8.2% private property, 7.4% private debt, 7% private equity, 4 , 6% mixed credit, 3.9% emerging market debt, 2.3% stock options, 1.6% global tactical asset allocation, 1.6% public infrastructure, 1.6% real estate public services, 1.1% of private infrastructure, 0.7% of other opportunities and 0.2% of money and short duration,
RSIC manages the assets of South Carolina state pension funds on behalf of the South Carolina Public Employee Benefits Authority, Columbia.