Missouri State Employees' Retirement System, Jefferson City, returned a net 0.29% in the fiscal year ended June 30, spokeswoman Candy Smith said in an e-mail.
The return was below the pension fund's 7.36% primary benchmark return. For the three, five and 10 years ended June 30, the pension fund had net annualized returns of 5.18%, 5.59% and 5.89%, respectively. The primary benchmark returns for those time periods is 7.47%, 6.32% and 5.57% respectively.
The pension fund's best-performing asset class was nominal fixed income at 17.9%, followed by Treasury inflation-protected securities at 2.9% and alternative beta at 1.1%. Generating negative returns for the fiscal year were equities at -6.7% and commodities at -28.9%.
The pension fund's target allocation is 30% inflation-indexed fixed income, 20% illiquid investments, 18% nominal fixed income, 15% alternative beta, 9% global equities and 8% commodities.
The actual allocation as of June 30, 2015, the most recent available data, was 29% inflation-indexed fixed income, 22% illiquid investments, 16% nominal fixed income, 15% alternative beta and 9% each, commodities and global equities.