Arizona State Retirement System, Phoenix, reported a preliminary net return of 0.76% for the fiscal year ended June 30.
The $40.5 billion pension fund’s return exceeded its benchmark of 0.07% by 69 basis points, said David Cannella, pension fund spokesman, in an email.
For the three and five years ended June 30, the pension fund returned an annualized net 5.5% and 6.1%, respectively, above the respective benchmarks of 4.3% and 4.5%.
ASRS returned a net 6.6% for the fiscal year ended June 30, 2019.
By asset class, the best performer was interest rate-sensitive assets, which returned a net 9% for the fiscal year ended June 30 (above its benchmark of 8.7%); followed by private debt, which returned a net 6.2% (above its benchmark of -6.9%); domestic equity, 3.6% (6.7%); other credit, 0.3% (-6.9%); real estate, -0.4% (4.4%); distressed debt, -0.6% (-6.9%); international equities, -4.8% (-4.8%); and private equity, -7.2% (-1.9%).
As of June 30, the actual allocation was 23.8% domestic equities, 18.5% international equities, 16.7% real estate, 15.2% private debt, 9.3% each interest rate-sensitive assets and private equity, 3.6% distressed debt, 2.3% other credit and 1.3% cash.
