Arizona State Retirement logs 25% fiscal-year return, falls short of target

Arizona State Retirement System, Phoenix, reported a preliminary net return of 25.1% for the fiscal year ended June 30.

The $49.1 billion pension fund's preliminary unaudited return fell below its policy benchmark return of 26.8%, according to a report included with July 30 board meeting materials.

For the three and five years ended June 30, ASRS reported preliminary annualized net returns of 10.3% and 10.9%, respectively, above their respective benchmark returns of 10.1% and 9.8%.

The pension fund returned a net 0.8% for the fiscal year ended June 30, 2020.

For the most recent fiscal year, the best-performing asset class was domestic equities, which had a preliminary net return of 44.7% for the year ended June 30 (above its benchmark of 44.4%), followed by private equity at a net 39.2% (below its benchmark of 57.1%).

International equities had a preliminary net return of 37.1% (below its 37.2% benchmark), and that was followed by credit at a net 13.8% (below its 23.7% benchmark), real estate at 8.5% (1.5%) and interest-rate sensitive assets at -0.4% (-0.3%).

As of June 30, the actual allocation was 54.6% total equities, 20.5% credit, 15.8% real estate, 7.6% interest-rate sensitive assets and 1.4% cash.