The Victorian Funds Management Corporation's (VFMC) portfolio lost value in the March quarter due to the impact of the global financial crisis.
The entity, which manages $30.42 billion, lost 4.41 per cent in the three months as most of the asset classes it held, except for cash, infrastructure and diversified fixed interest, declined in value.
"Investment returns continued to be impacted by the global financial and economic crisis, which became much more pervasive until late in the March quarter when a series of policy announcements and green shoot economic data releases led to a rebound in risk appetites and markets," VFMC said.
"Midway through the March quarter US equities were down 55 per cent from their November 2007 peak, but March provided the strongest monthly return since December 1974 with the S&P 500 up by 8.5 per cent.
"Despite this rebound the S&P 500 finished the quarter down 11.7 per cent."
VFMC's indexed linked bonds lost 1.09 per cent during the March quarter, compared to the benchmark's 4.04 per cent gain.
The firm's diversified fixed interest added 1.02 per cent, compared to the benchmark's 0.28 per cent.
VFMC's Australian equities slid 5.69 per cent, compared with the benchmark's 1.85 per cent fall.
"Our defensively structured Australian equities portfolio underperformed the market, giving back some of the previous quarter's outperformance to remain just ahead of benchmark for the financial year to date," VFMC said.
The group's international equities lost 9.05 per cent, compared with the benchmark's 9.34 per cent.
VFMC's biggest asset allocation was to international equities (28.1 per cent), Australian equities (18.2 per cent), indexed linked bonds (16.3 per cent) and diversified fixed interest (10.8 per cent).
VFMC has returned 4.36 per cent per annum for the five years to 31 March, gross of fees and tax.
