Maryland State Retirement & Pension System, Baltimore, returned a net 3.6% for the fiscal year ended June 30, spokesman Michael Golden confirmed.
The $54.8 billion pension fund's fiscal year return exceeded the policy benchmark return of 3.1%.
The pension fund returned a net 6.5% for the fiscal year ended June 30, 2019.
For the three, five and 10 years ended June 30, the pension fund returned an annualized 6.1%, 5.8% and 7.6%, respectively, compared with the respective benchmarks of 5.9%, 5.8% and 7.2%.
By asset class, the best performer for the fiscal year was rate-sensitive assets, which returned a net 18.1% (above the 17.2% benchmark), followed by cash at 5.1% (above its benchmark of 1.6%).
Multiasset strategies was next best performer, with a net return of 2.9% (below its 3% benchmark), followed by private equity at 2.5% (-1.9%); public equities at 2% (0.4%); credit, -0.4% (-0.1%); absolute return, -2.5% (-0.1%); and real assets, -4.4% (-3%).
As of June 30, the actual allocation was 36.1% public equities; 18.6% rate sensitive assets; 14.2% private equity; 11.9% real assets; 9.3% credit; 7.8% absolute return; 1.5% multiasset strategies; and the rest in cash.
