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Treasury Releases Investment Performance Data for June 2015 Quarter

General Treasurer Magaziner Continues Making Results Easily Accessible

PROVIDENCE, RI - General Treasurer Seth Magaziner today released investment performance data for the Employees' Retirement System of Rhode Island for the June quarter and fiscal year. Summarizing results on a quarterly basis is part of Treasurer Magaziner's effort to make Rhode Island pension investment information more accessible to members of ERSRI and the general public. Highlights of performance include:

For the June 2015 quarter, the pension system returned at total of 0.41%, proČtecting capital and outperforming a 60% stocks/40% bonds basis allocation, which dropped -0.45%. Both stock and bond markets had a tough quarter. Bonds fell -1.68% and stocks also lagged the portfolio, with +0.35% return for global equities and +0.28% for the S&P500. The ERSRI portfolio modestly lagged the policy benchmark's +0.54% return.

In the quarter the Retirement System's strongest performing asset classes for the quarter were private equity (+5.5%), real estate (+2.9%), and equity hedge funds (+0.9%). The worst performing asset classes for the quarter were infrastructure (-5.9%) and MLPs (-2.6%), which were both affected by the weakness in oil prices. The retirement system's MLP allocation still outperformed the Alerian MLP Index by 3.6%.

"I am pleased that Rhode Island's portfolio preserved value when debt and equity markets fell in the second quarter; performance was strong relative to our benchmarks," said Treasurer Magaziner. "The financial markets remain volatile, and by minimizing downside during market selloffs we position our state's investments to deliver strong appreciation over the long term."

For the 2015 fiscal year that ended June 30th, the portfolio produced a +2.22% return, beating the 60/40 basic allocation's +1.27% return and a bit less than the policy benchmark's +2.47% performance. After a strong run from mid-2009 through mid-2014, financial markets were more volatile in the 2015 fiscal year, as concerns about falling commodity prices, the end of the Federal Reserve's quantitative easing program, Greece's future in the Eurozone, and Chinese economic growth made investors more cautious.

While short-term performance will vary, the Employees' Retirement System aims to achieve long-term average annual performance of 7.5%. As of June 30, the Retirement System returned an average of 9.3% annually over the previous three years, 9.8% over the previous five years, and 6.1% over the previous 10 years. The broadly diversified portfolio outpaced the return of a 60/40 basic allocation in each of those time frames.

"The portfolio's ability to outperform when stocks and bonds are falling is a testament to the SIC's approach," said Chief Investment Officer Anne Marie Fink. "By minimizing and diversifying risk, the portfolio should produce stronger long-term returns. An important measure of risk, the trailing 3-year standard deviation of the portfolio, was 4.8%, which is below the 5.4% 3-year standard deviation of a typical 60% / 40% allocation."

The Employees' Retirement System serves more than 60,000 active and retired public employees and as of June 30, 2015 had a total market value of $8.0 billion. All performance numbers are net of fees and expenses. More detail on the portfolio is available in the State Investment Commission's monthly report on the Treasury web site.

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Related links

  • Department or agency: Office of General Treasurer Seth Magaziner
  • Online: http://treasury.ri.gov
  • Release date: 07-20-2015

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