Missouri State Employees' Retirement System, Jefferson City, returned 2.2% in the fiscal year ended June 30, confirmed spokeswoman Christine Rackers in an e-mail.
Public debt, or fixed income, had the highest return at 7.4%, followed by alternative investments at 5.6% and public equity at -3%.
The $7.7 billionpension fund reported a 10-year annualized return of 8.1%. According to a Cliffwater report released in June, MOSERS was the best-performing state pension plan for the 10 years ended June 30, 2011, with a 7.1% annualized return.
The pension fund's actual asset allocation as of June 30 was 22.5% domestic equity, 16.4% international developed markets equity, 15% real assets, 10.3% private investments, 9.6% fixed income, 9.4% TIPS, 7.7% emerging markets equity, 5.1% market-neutral bonds, and 4% high-yield bonds.
Ms. Rackers was not available by press time for further comment.