Colorado Public Employees' Retirement Association, Denver, returned a net 7.3% for the fiscal year ended Dec. 31, in line with its performance benchmark, said the pension fund's annual report released June 23.
Private equity was the top-performing asset class, returning 12.2%, followed by real estate at 11.2%; opportunity fund, 10.3%; global equity 7.4%; fixed income, 3.9%; and cash and short-term investments, 0.5%.
As of Dec. 31, the $43 billion pension fund's asset allocation was 55.9% global equity; 22.7% fixed income; 9% real estate; 8.4% private equity; 2.6% opportunity fund; which includes investments in timber, risk-parity, tactical, credit and other opportunistic strategies; and 1.4% cash and short-term investments.
In November, the pension fund lowered its assumed rate of return to 7.25% from 7.5%, following a regular review of economic and demographic assumptions from actuarial firms Cavanaugh Macdonald Consulting and Xerox HR Services and the pension fund's investment consultant, Aon Hewitt Investment Consulting.
For the three, five and 10 years ended Dec. 31, the pension fund returned 4.8%, 8.5% and 5.2%, respectively, vs. their benchmarks of 4.5%, 8.5% and 5.2% in each of those periods.
