Louisiana State Employees' Retirement System, Baton Rouge, returned a gross 15.8% in the fiscal year ended June 30, said Alisa Lacombe, manager of investment operations, in an email.
The $11 billion pension fund's best-performing asset class during the period was emerging markets equity, which returned a gross 26.3% (above its 24.2% benchmark), followed by international small-cap equity at 22.1% (21.7%), domestic equity at 19.1% (19%), international large-cap equity at 19% (20.1%), and high yield at 12.8% (13%).
Other asset class returns were: Alternatives, which does not have a benchmark, at 9.7%; emerging markets debt at 7.2% (above its 6.4% benchmark); global multisector strategies at 4.1% (5.2%); and investment-grade fixed income at 2.2% (-0.3%).
The overall fund does not have a primary benchmark, Ms. Lacombe said. She did not provide net returns. The pension fund returned an annualized gross 4.7%, 9% and 5.6%, respectively, in the three, five and 10 years ended June 30, respectively.
In the fiscal year ended June 30, 2016, the pension fund returned a gross -2.4%.
As of June 30, the actual asset allocation was 15.7% international large-cap equity, 14% domestic large-cap equity, 13% private equity, 12.9% emerging markets equity, 8% absolute return, 6.9% domestic small-cap equity, 6.7% risk parity, 5.4% international small-cap equity, 4% domestic midcap equity, 3.9% high-yield fixed income, 3.8% global multisector strategies, 3.7% core fixed income, 1.5% emerging markets debt and 0.5% cash equivalents.