Mississippi Public Employees' Retirement System, Jackson, returned 0.59% in the fiscal year ended June 30, according to a posting on the $20.1 billion pension fund's website.
Fixed income had the best return at 9.19%, followed by real estate at 8.24%.
Returns for the rest of the pension fund's asset classes were private equity, 3.26%; U.S. equities, 3.19%; and international equities, -12.66%.
The pension fund returned an annualized 6.2% for the 10 years ended June 30.
As of June 30, the pension fund's asset allocation was 40.03% U.S. equities, 24.86% fixed income, 19.74% international equities, 7.4% real estate, 4.42% global equity, 2.24% private equity and 1.31% cash.
Phone calls to Chief Investment Officer Lorrie Tingle and spokeswoman Shelley Powers were not returned by press time.