Colorado Public Employees' Retirement Association, Denver, returned a net 5.7% for the year ended Dec. 31, meeting its policy benchmark but falling short of its 7.5% annual assumed rate of return, according to the fund’s annual report released Tuesday.
Real estate was the top performer, returning 14.5%, followed by alternatives at 10.8%; fixed income, 6.2%; global equity, 4%; and the “opportunity fund,” comprising timber, commodities, risk parity and tactical and credit opportunities strategies, 2.3%.
As of Dec. 31, the pension plan’s actual asset allocation was 56.5% global equity, 24.9% fixed income, 7.8% alternatives, 7.4% real estate, 2.5% opportunity fund and the remainder in cash.
The plan’s target allocations at that time were 56% global equity, 25% fixed income, 7% each alternatives and real estate, and 5% opportunity fund.
For the three-, five- and 10-year periods ended Dec. 31 the $44.2 billion pension plan returned an annualized 11.3%, 9.9% and 6.8%, respectively.