Nevada Public Employees' Retirement System, Carson City, returned a net 11.9% for the fiscal year ended June 30, 40 basis points above its benchmark, according to its website.
The $38.5 billion pension fund's best-performing asset class was international equity, which returned a net 20.5% (compared to the market return of 20.3%), followed by domestic equity at 17.8% (17.9%), private markets at 12.9% (13.5%), and domestic fixed income at -2.4% (-2.3%). All equity and fixed-income portfolios are invested in index funds.
As of June 30, the actual allocation was: 43.7% domestic equity, 27.5% domestic fixed income, 19.6% international equity, 9.1% private markets and the rest in cash.
The fiscal year 2016 return was a net 2.3%. The pension fund's annualized net three-, five- and 10-year returns as of June 30 were 6.1%, 9.6% and 5.8%.
Stephen J. Edmundson, investment officer, did not return phone calls seeking comment.