Arizona State Retirement System returns 6.5%, well above benchmark

Arizona State Retirement System, Phoenix, returned 6.5% in the fiscal year ended June 30, according to a report from CIO Karl Polen in recently released board meeting materials.

The net return was well ahead of its policy benchmark return of 5.2%. For the three, five and 10 years ended June 30, the $40.2 billion pension fund returned an annualized net 9.9%, 6.6% and 10.4%, respectively, all topped the respective benchmark returns of net 7.8%, 4.8% and 9.1%.

The pension fund returned a net 9.4% for the fiscal year ended June 30, 2018.

Among asset classes for which fiscal year return were reported, core fixed income led the way with a return of 7.79%, just below its policy benchmark return of 7.87%, followed by domestic equities, which returned 7.3%, below its policy benchmark return of 8.96%, and international equities, which returned 0.07%, below its benchmark return of 0.26%.

The pension fund's target allocation is 50% equities, 20% each in credit and real estate, and 10% interest rate-sensitive bonds.

As of May 31, the actual allocation was: 55.5% equities, 18.1% credit, 14% real estate, 10.2% interest rate-sensitive bonds, 2% cash and 0.2% other. June 30 information was not available.

David Cannella, pension fund spokesman, could not be reached immediately to provide further information.