Utah Retirement Systems, Salt Lake City, returned 1.92% in calendar year 2015, exceeding its benchmark return of 1.28%, but falling short of its 7.5% actuarially assumed rate of return, said URS’ recently released annual financial report.
The top-performing asset class for the year was private equity, which returned 12.19%, followed by real assets at 8.03%, debt securities, 0.66%; short-term investments, 0.1%; absolute return, -0.4%; and equity securities, -1.66%.
All asset classes outperformed their benchmarks with the exception of absolute return, which lagged its benchmark by 545 basis points.
The pension fund’s asset allocation remained relatively stable year-over-year. As of Dec. 31, the asset allocation was 33.9% equities (down 160 basis points from 2014), 15.8% debt securities (up 10 basis points), 15.3% absolute return (down 190 basis points), 14.9% real assets (up 90 basis points), 11.9% private equity (up 10 basis points), and 8.2% short-term securities (up 240 basis points).
At the end of 2015, the target allocation was 40% equities, 20% debt securities, 18% absolute return, 13% real assets, and 9% private equity.
The total investment portfolio reached $27.1 billion at the end of 2015, up $100 million from 2015. The retirement system’s average funded status was 88.5% as of Jan.1, 2015, the date of the most recent actuarial valuation.
Along with its defined benefit plans, URS administers a 401(k), 457(b), a traditional IRA and Roth IRA with about $4.6 billion in assets combined.