Missouri State Employees' Retirement System, Jefferson City, returned a net 3.52% in the fiscal year ended June 30, said a report posted on the pension fund's website.
The $8.1 billion pension fund exceeded its policy benchmark of 1.64%.
For the three years ended June 30, the pension fund returned an annualized net 0.36%, below the benchmark of 2.35%; for the 10-year period, the pension fund returned an annualized net 4.45%, above the 4.22% benchmark return.
For the 12 months ended June 30, 2016, the fund returned a net 0.29%, below its 7.36% policy benchmark.
The pension fund's best-performing asset class for the year ended June 30 was opportunistic global equities, which returned a net 15.3%, below its 16% benchmark, followed by alternative beta at 6.7%, which outperformed its 3.6% benchmark.
Those were followed by inflation-indexed bonds, which returned -1.1%, below its -0.9% benchmark; nominal bonds, which returned -6.9%, above its -7.8% benchmark; and commodities, which returned -11%, below its -8.8% benchmark.
As of June 30, the pension fund's actual allocation was: 25% nominal bonds, 24% inflation indexed bonds, 23% opportunistic global equities, 18% alternative betas and 10% commodities.
Candy Smith, pension fund spokeswoman, could not be immediately reached to provide further information.
