Arkansas Public Employees Retirement System, Little Rock, returned a gross 2.4% for the fiscal year ended June 30, below its benchmark of 4.9%, confirmed Carlos Borromeo, chief investment officer for the $9 billion pension fund, in an email.
For the three, five and 10 years ended June 30, the pension fund returned an annualized gross 6.1%, 6.1% and 9.2%, respectively, vs. its benchmarks of 6.7%, 6.6% and 8.9%.
For the fiscal year ended June 30, 2019, the pension fund returned a gross 5.8%.
By asset class, domestic fixed income returned 6.8%, vs. its benchmark of 8.7%; followed by domestic equity, 6.1% (benchmark, 6.5%); diversified strategies, -1.2% (6.5%); international equity, -1.5% (-5.1%); and real assets, -4.4% (4.7%).
The pension fund has an asset allocation of 40% domestic equity, 24% international equity, 17% fixed income, 14% real assets and 5% diversified strategies.
