Arizona Public Safety Personnel Retirement System, Phoenix, reported a gross return of 6.1% for the fiscal year ended June 30, below its benchmark return of 6.3%, spokesman Christian Palmer said in an email.
For the three, five and 10 years ended June 30, the pension fund returned an annualized gross 8.7%, 6.2% and 8.7%, respectively, above their respective benchmark returns of 8.3%, 5.9% and 8.5%.
PSPRS returned a net 7.1% for the fiscal year ended June 30, 2018.
By asset class, risk parity had the highest gross return at 12.8% for the fiscal year ended June 30 (above its 4.8% benchmark return.) Private equity followed with a gross return of 12% (above its 10% benchmark return).
Domestic equities returned a gross 8.7% for the fiscal year ended June 30 (below its 9% benchmark return); private credit returned a gross 7% (5.8%); fixed income, also 7% (7.1%); international equities, 2.6% (1.3%); global trading strategies, 2% (5.5%); real assets, 1.9% (3.7%); short-term investments, 1.8% (1.2%); and real estate, -1.6% (6.5%).
As of June 30, the actual allocation was 19.5% domestic equities, 15.8% private credit, 14.9% international equities, 13.1% private equity, 8.7% global trading strategies, 8.5% real assets, 7.7% real estate, 5.1% fixed income, 4.4% risk parity and 2.3% short-term investments.
The targets are 16% each domestic equities and private credit, 14% international equities, 12% each global trading strategies and private equity, 10% real estate, 9% real assets, 5% fixed income, 4% risk parity and 2% short-term investments.
