Arizona Public Safety Personnel Retirement System returned 3.68% net of fees in its fiscal year ended June 30, 98 basis points above its policy benchmark, according to data provided by Christian Palmer, spokesman.
The $8.3 billion pension fund’s best-performing asset class was private equity, which returned a net 12.72%, followed by domestic equity, 6.32%.
Global tactical asset allocation strategies came next, returning a net 6.28%, followed by absolute return at 4.86%; credit opportunities, 4.82%; real estate, 4.32%; fixed income, 2.19%; risk parity, 0.87%; short-term investments, 0.02%; real assets, -4.24%; and international equity, -4.79%.
The pension fund’s target allocation is 16% domestic equity, 14% international equity, 13% credit opportunities, 11% each private equity and real estate, 10% GTAA, 8% real assets, 7% fixed income, 4% each absolute return and risk parity, and 2% short-term investments.
As of June 30, the actual allocation was 15.6% domestic equity, 14.4% private equity, 14.3% international equity, 9.9% real estate, 9.7% GTAA, 8.8% credit opportunities, 8% real assets, 7.6% fixed income, 4.1% absolute return, 3.9% short-term investments and 3.7% risk parity.
