Ohio School Employees Retirement System, Columbus, returned a net 3.87% in the fiscal year ended June 30, matching its benchmark, spokesman Tim Barbour said in an e-mail.
The $12.9 billion pension fund's best-performing asset class was global private equity, which returned 18.92%, followed by global real assets at 12.13%.
Opportunistic investments returned 6.33%; domestic equities, 5.66%; multiasset strategies, 2.34%; global fixed income, 0.81%; cash equivalents, 0.26%; and international equities, -3.71%.
As of May 31, the pension fund's actual allocation was 47.7% global equities, 15.9% global fixed income, 12.1% global real assets, 11.7% multiasset strategies, 8.5% global private equity, 2.5% cash equivalents and the remainder in opportunistic investments.
The pension fund's target allocation is 45% global equities, 19% global fixed income, 13% multiasset strategies, 12% global real assets, 10% global private equity and 1% cash equivalents.
The pension fund does not have an opportunistic investments target but can invest up to 5% of assets.