RD46 - VRS Oversight Report No. 37 - VRS (Virginia Retirement System) Semi-Annual Investment Report - December 2011


Executive Summary:
The VRS trust fund had $49.6 billion in assets as of September 30, 2011. For the one-year period between September 30, 2010 and September 30, 2011, the fund achieved a return of 1.9 percent, but decreased in value by $1.2 billion due to payments out of the fund. As of September 30, 2011, the total fund's performance exceeded established benchmarks in the ten-year, five-year, and fiscal year (FY) to date periods, but did not earn the assumed rate of return (currently seven percent) over any period. However, the fund did add value (130 basis points) over the long-term benchmark for the ten-year period. While VRS did not meet the assumed rate of return for the ten-year period, the annualized return from fiscal year 1989 is 8.6 percent. Additionally, while the investment performance for the quarter ending September 30, 3011 was negative, the trust fund's FY 2011 return of 19.1 percent was one of its highest in the past 20 years.