Colorado Public Employees' Retirement Association, Denver, returned a net 17.4% for the year ended Dec. 31, down from the previous year's 20.3% return and above its policy benchmark of 14.1%, said an annual report released June 18.
For the three, five and 10 years ended Dec. 31, Colorado PERA reported net annualized returns of 10.9%, 11.6% and 9.4%, respectively. Its 30-year annualized return was 9.1% gross of fees.
Global equity was the top performer, returning 22.4%, followed by private equity at 20% and fixed income, 8.3%. The plan's alternatives and real estate asset classes returned 8% and 5.1%, respectively.
The board of the $58.3 billion pension fund reaffirmed its assumed long-term rate of return at 7.25% but lowered its long-term inflation expectation to 2.3% from 2.4%.
The plan's actual asset allocation as of Dec. 31 was 58% equity, 20.8% fixed income, 8.1% private equity, 8% real estate, 4.1% alternatives and 1% cash. Meanwhile, its target allocation is 56% global equity, 23.5% fixed income, 8.5% each private equity and real estate, 3.5% alternatives and zero cash.
The pension plan's funding ratio was 62.8% as of Dec. 31.