Massachusetts Pension Reserves Investment Management Board, Boston, returned a gross 2.4% for the fiscal year ended June 30.
The $74.9 billion pension fund's return fell short of its benchmark of 3.9%, according to a report on its board's website.
For the three, five and 10 years ended June 30, the pension fund returned an annualized gross 6.1%, 6.7% and 8.8%, respectively, compared with the respective benchmarks of 6.2%, 6.4% and 7.8%.
The pension fund returned a gross 6.1% for the fiscal year ended June 30, 2019.
The best performing asset class was core fixed income with a gross return of 13.9% for the fiscal year ended June 30, followed by overlay strategies at a gross 7%, private equity at 4.4%, real estate at 1.1%, global equities at 0.5%, timberland at -1.7%, value-added fixed income at -3.2% and portfolio completion strategies at -4.9%.
The report did not provide benchmark returns for individual asset classes.
As of June 30, the actual allocation was 42% global equities, 15.7% core fixed income, 11.4% private equity, 9.7% portfolio completion strategies, 9.2% real estate, 7.5% value-added fixed income, 3.7% timberland and the rest in overlay.
Spokeswoman Elizabeth Herlihy could not be immediately reached for further information.