The $28.3 billion Texas Employees Retirement System, Austin, produced positive net returns that topped the fund's policy benchmark in all reported periods ended June 30.
The fund's net return for the quarter ended June 30 was 1.5%, compared to 1% for the benchmark; one year, 9.9% (benchmark, 7.6%); three years, 7.3% (7%); five years, 8.1% (7.7%); and 10 years, 6.7% (6.4%).
Multiyear net returns are annualized. The pension fund reported a net return of 12.4% for the year ended June 30, 2017, vs. 12.3% for the benchmark.
By asset class, the one-year net return as of June 30 of the fund's global equity category was 11.9%; real assets, 10.6%; hedge funds, 5.6%; global credit, 4.4%; and rates, -0.6%.
Composite benchmark net returns were not available for the fund's broad asset class categories for the year ended June 30.
The actual asset allocation of the pension fund as of June 30 was 54% global equity (target weighting, 58%); 17.1% rates (13.7%); 12.4% real assets (11.5%); 10.5% global credit (10.9%); 5% hedge funds (3.7%); 1% and cash (2.2%).
Texas ERS' fiscal year ends Aug. 31.
