The $109 billion Florida Retirement System has returned its best fiscal year return for 25 years, as the fund prepares to combine its foreign and domestic equities investments.The fund returned 14.03 per cent for the 2009-2010 fiscal year, exceeding its benchmark return by 251 basis points.
Almost all of the fund’s asset allocations sat directly in the middle of its strategic ranges, except for cash which was almost non-existent (see table below).
The results mean the long-term returns over 20, 25 and 30 years are 8.18 per cent, 8.98 per cent and 9.56 per cent respectively.
Earlier this year the fund restructured its investments to combine its US and international equities portfolios into one global strategy, following a recommendation by EnnisKnupp.
The fund will also search for managers to manage new hedge fund and infrastructure exposures for the first time.
As a result of the new alternatives planned, the fund will need legislative change to lift the current limit of 10 per cent of its total assets which can be invested in unlisted securities and hedge funds.
Partly to counter the rising costs of the increased alternatives exposure and partly to reduce overall portfolio risk, the fund will increase its passive equities and fixed-interest allocations.
| Asset class | Policy range | Actual range | ||
| low% | high% | low% | high% | |
| domestic equities | 30 | 47 | 36.5 | 38.4 |
| foreign equities | 11 | 25 | 17.8 | 19.4 |
| fixed income | 20 | 36 | 25.9 | 28.2 |
| high yield | 0 | 7 | 2 | 2.1 |
| real estate | 2 | 12 | 6 | 6.4 |
| private equity | 0 | 7 | 3.6 | 4.0 |
| strategic investments | 0 | 10 | 3.5 | 3.9 |
| cash | 0 | 9 | 0.6 | 1.1 |
