RICHMOND, September 4, 2020 — The Virginia Retirement System achieved a 1.4% return, net of fees, on its investment portfolio for fiscal year 2020, ending the year with approximately $81.6 billion in the VRS Trust Fund.
"During these challenging times with extreme market volatility, the fund performed well overall, especially the fixed income portfolio," Chief Investment Officer Ronald D. Schmitz said. "Although we did not achieve the projected rate of return for the one-year period, the fund did exceed the custom benchmark for this period, along with the benchmarks for the three-, five- and 10-year periods."
"The VRS Board of Trustees and investment staff are focused on long-term outcomes," said Board Chairman O'Kelly E. McWilliams III. "Our investment horizon stretches out 20, 30 or more years. The board made a change to the portfolio earlier this year to decrease public equity exposure, which saved transaction costs and supported the long-term strategy of increasing exposure to private markets, believing the future yield to be higher in these areas," he noted.
During fiscal year 2020, the major asset classes performed as follows:
- Public equity: -0.7%
- Private equity: 0.8%
- Real assets: 1.0%
- Credit strategies: 0.3%
- Fixed income: 9.5%
- Private investment partnerships -6.4%
- Multi-asset public strategies -3.2%
The portfolio included approximately $31.0 billion in public equity, $11.3 billion in credit strategies, $12.5 billion in fixed income, $11.2 billion in real assets, $10.2 billion in private equity, $1.2 billion in private investment partnerships and $2.4 billion in public strategies portfolio, as of June 30, 2020.