Idaho Public Employee Retirement System, Boise, returned a net 2.8% for the fiscal year ended June 30, said Bob Maynard, chief investment officer, in an email.
The $18.7 billion pension fund's return was below its 6% policy benchmark.
For the three and five years ended June 30, the pension fund's annualized gross return was 6.7% and 6.9%, respectively, below the respective benchmarks of 7.3% and 7.2%.
PERSI returned a net 8.1% for the fiscal year ended June 30, 2019.
The pension fund's best-performing asset class was fixed income, which returned a gross 9.6%, (above its benchmark of 8.7%), followed by domestic equities at a gross 3.8% (below its benchmark of 6.5%), global equities at -2% (3.4%) and international equities at -6.2% (-4.7%).
The pension fund's domestic equity allocation includes private real estate, private equity and real estate investment trusts.
As of June 30, the actual allocation was: 39.9% domestic equities; 28.6% fixed income; 16.3% global equity; and 15.2% international equities.