Colorado Public Employees' Retirement Association, Denver, returned 15.6% for the year ended Dec. 31, up from the previous year's 12.9% return but slightly below its policy benchmark of 16.2%, said an annual report released Tuesday.
Global equity was the top performer, returning 24.6%, followed by alternatives, at 17.6%, and real estate, 12.9%. The plan's “opportunity fund” and fixed-income portfolio returned zero and -1.7%, respectively. The board of the $45.3 billion plan lowered its assumed long-term rate of return to 7.5% from 8% in November. It also lowered long-term inflation expectation to 2.8% from 3.5%.
As of Dec. 31, the plan's actual asset allocations was 58.4% equity, 23.4% fixed income, 7.8% alternative investments, 7.1% real estate, 2.5% opportunity fund and 0.8% cash.
The plan's target allocations are 56% global equity, 25% fixed income, 7% real estate, 7% alternative investments 5% opportunity fund and 0% cash.