The State Universities Retirement System (SURS) today announced its investment portfolio returned -1.4%, net of fees, for fiscal year 2022, significantly outpacing the policy benchmark return of – 4.9%.
When compared to a universe of other large public funds, the SURS return ranks in the top 10% for the one-year period ending June 30, 2022. For the three- and five-year periods, SURS ranks in the top 25% and ranks in the top third of other large public plans for the 10-year period.
“Over the past several years, SURS portfolio has systematically and purposefully been restructured to protect System assets and minimize the impact of near-term negative surprises, like those experienced in FY 2022,” said SURS Chairman John Atkinson.
The key portfolio change was the introduction of the Crisis Risk Offset (CRO) portfolio. First introduced in December 2019, the CRO portfolio was gradually increased to its 19% policy target weighting in February 2022. Over that period, the policy weight for the Traditional Growth portfolio (i.e., public equity), the primary funding source for CRO, was reduced from 54% to 37%.
“The shift from growth-oriented assets to diversifying strategies served the portfolio well in this tumultuous fiscal year,” said SURS Chief Investment Officer Doug Wesley. “The portfolio weathered the volatile markets of the past year because its defensive structure served as a cushion from the full impact of falling global financial markets. The CRO portfolio produced a positive 12.2% return for the fiscal year, while the Traditional Growth portfolio return was -14.9%.”
From a long-term perspective, the SURS portfolio has performed well, earning an 8.1% annualized rate of return over the past 30 years to exceed the 7.8% policy portfolio return. This return is also more than the 7.9% average assumed rate of return in effect over the last 30 years and the current 6.5% assumed rate of return.
“SURS’ top priority and mission is to secure and deliver the benefits promised to our members,” said SURS Executive Director Suzanne Mayer. “We have continually delivered those benefits for 81 years. SURS benefit payments totaled approximately $2,881.5 million for FY 2022.”
For fiscal year 2022, SURS received the full state appropriation of $2,101,279,000 plus an additional supplemental payment of $58,138,900 from the Pension Stabilization Fund (the fund used to reduce the unfunded liability of the five state-funded retirement systems).