2015 CIO Annual Letter
The MOSERS portfolio generated a time-weighted rate of return based on fair market value of (2.64)% for the year ended June 30, 2015, net of all fees and expenses, ending a five-year string of positive performance. The result was well below the 8% assumed rate of return and, to make matters worse, underperformed our policy benchmark by (0.9)%, earning $84 million less than our benchmarks would have prescribed. To add insult to injury, this year represented our worst showing relative to other public funds across the country in my 21 year tenure as CIO. In a year when U.S. equity markets produced some of the highest returns among risky assets, and commodities the lowest, our decision in 2012 to move away from an equity-centric portfolio to a more risk-balanced portfolio was the primary driver of the poor peer comparison. Large short-term variances versus our peers were expected to become more common place in the new portfolio structure, however, that does little to remove our disappointment in the FY15 results.
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