Colorado Public Employees' Retirement Association, Denver, returned a net -3.5% for the fiscal year ended Dec. 31, the $45.2 billion pension fund announced in its newly released comprehensive financial annual report.
The net return was 10 basis points above its policy benchmark return of -3.6%.
As of Dec. 31, the pension fund had annualized three-, five- and 10-year net returns of 6.9%, 5.6% and 8.8%, respectively, compared to their respective policy benchmark returns of 6.3%, 5% and 8.9%.
For the year ended Dec. 31, 2017, the pension had a net return of 18.1%.
Real estate was the best-performing asset class for 2018, with a net return of 11.1% (well above its policy benchmark of 7.9%) for the fiscal year ended Dec. 31, followed by private equity, which returned a net 7.6% (below its policy benchmark of 10.2%).
Other asset class returns were: the pension fund's opportunity fund portfolio, 5.6% (above its policy benchmark of 2.2%); cash and short-term investments at 2% (1.9%); fixed income, -1.1% (0.1%); and global equities, -9.1% (-9.9%).
As of Dec. 31, the pension fund's actual allocation was: 53.4% global equities; 24% fixed income; 9.6% real estate; 8.8% private equity; 3.6% opportunity fund portfolio; and 0.6% cash and short-term investments.
The target allocation is: 53% global equities; 23% fixed income; 8.5% each, private equity and real estate; 6% opportunity fund portfolio; and 1% cash and short-term investments.
According to the CAFR, the opportunity fund portfolio is a "mix of private market strategies, real assets (excluding real estate) and risk mitigation strategies that have the ability to dampen market risk."