RD142 - VRS Oversight Report No. 36 - VRS (Virginia Retirement System) Semi-Annual Investment Report - July 2011


Executive Summary:
The VRS trust fund had $54.3 billion in assets as of March 31, 2011, recovering most of the losses experienced in 2008 and 2009. As a result of the national recession, by March 2009 the fund’s assets had decreased in value to $38.9 billion. The fund’s recovery is attributed to the uniformly positive performance of the trust fund’s asset classes, which was led by the public equity program. The public equity program’s gains were driven by the recovery of equity values experienced in the broader market.

For the one-year period between March 31, 2010 and March 31, 2011, the fund achieved a return of 13 percent and increased in value by $4.2 billion. The total fund performed at or near established benchmarks across all periods, but did not earn the assumed rate of return of seven percent over the longer term. This is primarily due to the investment losses experienced in 2008 and 2009. However, while not achieving the assumed rate of return, the fund did add value (130 basis points) over the long-term benchmark for the ten-year period.