Pennsylvania Public School Employees' Retirement System, Harrisburg, returned 8.83% for the year ended Dec. 31, exceeding its policy benchmark return of 6.66%, and added more than $4.2 billion in net investment income for 2014, said Evelyn Williams, spokeswoman for the $51.7 billion pension fund.
“Strong returns were achieved in real estate, up 17.2%; master limited partnerships, up 16.3%; private markets, up 10.4%; fixed income, up 10.3%; U.S. equities, up 11.7%; and risk parity, up 10.2%,” Chief Investment Officer James H. Grossman Jr. said in a new release. “In addition, the board's decision to hedge a portion of our foreign currency exposure in late 2013 added significant value this past year, and that decision is continuing to add value in 2015.”
PennPSERS posted returns of 0.2% for the quarter ended Dec. 31, and an annualized return of 9.61% for three years, 9.43% for five years and 6.35% for 10 years ended Dec. 31.
The pension fund's asset allocation as of Dec. 31 was 20.5% U.S. and global fixed income, 16.3% private markets, 13.5% real estate, 12.5% U.S. equities, 10% absolute-return strategies, 9.3% non-U.S. equities, 6% risk parity, 5.1% cash and cash equivalents, 3.7% master limited partnership and 3.1% commodities.