RD57 - VRS Oversight Report No. 33 - VRS (Virginia Retirement System) Semi-Annual Investment Report - December 2009


Executive Summary:
The recent global recession and precipitous declines in equity markets between September 2008 and March 2009 created significant investment challenges for the Virginia Retirement System (VRS). The economy has begun to show signs of recovery, and the National Bureau of Economic Research concluded in October that the U.S. recession has come to an end. As of September 30, 2009, the one-year return for the VRS pension fund was -3.1 percent, a substantial improvement over the -21.1 percent return for FY 2009. As of September 30, 2009, the fund had begun to recover losses and its market value stood at $46.9 billion, an increase of $8 billion over the market value calculated as of March 31, 2009.

Whereas the fund’s performance fell short of established benchmarks for the fiscal year to date and one-year periods, it outperformed the benchmarks for the five- and ten-year periods ending September 30, 2009. The fund did not earn the assumed actuarial rate of return, 7.5 percent, for either the one-, three-, five-, or ten-year periods ending September 30, 2009. However, the fund did add value (170 basis points) over the long-term benchmark for the 10-year period.