Pennsylvania Public School Employees' Retirement System, Harrisburg, returned 1.29% net of fees in the fiscal year ended June 30, spokeswoman Evelyn Williams said.
The $50.2 billion pension fund's three-, five- and 10-year annualized returns were 6.24%, 6.01% and 4.94%, respectively. Benchmark returns were not provided.
PennPSERS' strongest-performing asset class was real estate, which returned a net 9.37%, followed by fixed income at 6.42%.
Domestic equities returned 3.79%, followed by private equity/venture capital/private debt at 3.44% and risk parity at 0.01%.
Four asset classes had negative returns: master limited partnerships, -18.75%; international equities, -8.25%; absolute return, -3.43%; and commodities, -1.7%.
As of June 30, the actual allocation was 37.9% equities, 20.9% fixed income, 20.2% real assets, 9.4% absolute return, 8.8% risk parity, and 2.8% cash and cash equivalents.
The target allocation is 37.5% equities, 21% real assets, 20% fixed income, 10% absolute return, 8.5% risk parity, and 3% cash and cash equivalents.