Fiscal Year 2022 in Review

Fiscal Year 2022 in Review

The Connecticut Retirement Plans and Trust Funds (“CRPTF”) delivered an annual total return of negative 7.6 percent, net of all fees and expenses, for the fiscal year ending June 30, 2022. The three largest pension plans, the Teachers’ Retirement Fund, State Employees’ Retirement Fund and Connecticut Municipal Employees’ Retirement Fund, which together represent about 95 percent of total assets, returned -7.63 percent, -7.63 percent and -7.76 percent, respectively. Despite the negative results for the fiscal year, the overall portfolio has generated an annualized return of 7.28 percent over the past decade.

Amid heightened volatility in the public equity and fixed income markets, private market asset classes – specifically, the private equity and private credit portfolios, and real assets portfolio – delivered the strongest investment performance during fiscal year 2022. For the year ended June 30, 2022, the Private Investment Fund (i.e., private equity) gained 27.30 percent, while Private Credit and Real Assets returned 12.28 and 10.38 percent, respectively. The market value of total assets as of June 30, 2022, was $41.7 billion, which included a $1.6 billion contribution from the state’s excess budget reserve in the fourth quarter of calendar year 2021.

Over the course of the fiscal year, the CRPTF made nearly $6.5 billion in new investment commitments. Approximately $4.6 billion in new commitments were in private market investments, with $2.1 billion in private equity, $1.25 billion in private credit, $800 million in real estate and $500 million in infrastructure and natural resources. In the public markets, the CRPTF invested $1.9 billion in global equity asset classes.

The CRPTF continues to expand The Connecticut Inclusive Investment Initiative (“Ci3”), formerly known as The Connecticut Horizon Program, which targets emerging and diverse investment managers. Two additional Manager-of-Managers partners, overseeing 11 sub-managers in the small and midcap segments of global equities, were added to the program. At fiscal year-end 2022, total invested assets in the Ci3 program represented approximately $1.4 billion.

Lastly, the CRPTF undertook an extensive review of the pension’s Investment Policy Statement and Strategic Asset Allocation. The objective of the review was to increase the probability of meeting or exceeding the pension’s assumed long-term investment rate of return, currently 6.9 percent, over a market cycle on a risk-adjusted basis, relative to the current portfolio. Perhaps the most notable revision to the long-term Strategic Asset Allocation was a modest increase in the weighting of private market asset classes, where the opportunities for outperformance through manager selection are more favorable.