Pennsylvania Public School Employees’ Retirement System, Harrisburg, returned 3.04% net of fees in the fiscal year ended June 30, said spokeswoman Evelyn Williams.
The $51.9 billion pension fund’s strongest-performing asset class was real estate, which returned a net 13.92%, followed by international equity at 9.31%.
Ranking third was domestic equities, which returned 6.53%, followed by absolute return at 4.3%, private equity/venture capital/private debt at 2.63% and fixed income at 1.93%.
Three asset classes had negative returns: Risk parity at -0.86%, master limited partnerships at -10.14% and commodities at -18.65%.
As of June 30, the actual allocation was 20.2% fixed income, 15.8% private equity/venture capital/private debt, 14.6% international equities, 12.9% real estate, 9.8% domestic equities, 9.5% absolute return, 7.2% risk parity, 4% commodities, 3.5% master limited partnerships and 2.5% cash and cash equivalents.
The target allocation is 23% each fixed income and public market equities, 16% private equity/venture capital/private debt, 13% real estate, 10% absolute return, 7% risk parity, and 4% each commodities and master limited partnerships.
