Kentucky Retirement Systems, Frankfort, returned 0.14% on the investments of its $10.7 billion pension fund for the fiscal year ended June 30, lagging its benchmark by 76 basis points, according to the systems' monthly performance report.
Fixed income and alternatives greatly outpaced equity returns, which lost 7.64%, compared to the benchmark of -6.39%. Domestic equity was up 2.16% vs. 3.84% for the benchmark, while international equity was down 17.25%, more than three percentage points below the benchmark.
Private equity was the top performer at 12.79%, vs. 11.45% for the benchmark, followed by real return, 12.02% vs. 4.72%; fixed income, 8.13% vs. 7.36%; real estate, 7.46%, vs. 12.42%.; and absolute return, 0.68%, topping its benchmark by 5.26 percentage points.
The fund's report noted that private equity data lag by three months.
The pension fund returned 11.3% for the three years ended June 30, 1.8% for five years and 6% for 10 years, only beating the benchmark in the three-year returns. All multiyear returns are annualized.
The system's $3.1 billion insurance fund returned -1.71%, trailing the benchmark of 0.58%, giving the $13.8 billion system a -0.27% return overall for the year.
