Idaho Public Employee Retirement System, Boise, returned a net 27.6% for the fiscal year ended June 30, the plan's highest annual return since 1983, said Bob Maynard, chief investment officer, in an email.
The $23.5 billion pension fund's net return was slightly below its 27.9% policy benchmark.
For the three and five years ended June 30, the pension fund's annualized gross returns were 12.6% and 11.9%, respectively, below the respective benchmarks of 13.5% and 12.5%.
PERSI returned a net 2.8% for the fiscal year ended June 30, 2020.
The pension fund's best-performing asset class was global equities, which returned a gross 43.8%, (above its benchmark of 39.7%), followed by international equities at a gross 39% (above its benchmark of 32.9%), domestic equities at 37.4% (42.2%) and fixed income at 2.1% (-0.3%).
The pension fund's domestic equity allocation includes private real estate, private equity and real estate investment trusts.
As of June 30, the actual allocation was: 36.6% domestic equities, 29.3% fixed income, 18.7% global equity, 14.9% international equities and the remainder in cash.