For the most recent fiscal year, the pension fund's top-performing asset class was domestic equities, which returned a net 18.7% (below the benchmark return of 19.2%); followed by international equities at 13.8% (12.7% benchmark); real estate and infrastructure, 5.2% (-7.8%); absolute return. 4.5% (1.7%); real return and opportunistic strategies, 2.3% (6.5%); fixed income, 1.1% (-.9%); and private equity, -5.4% (-4.9%).
As of June 30, the pension fund's actual allocation was 23.3% private equity, 19.7% domestic equity, 13.3% international equity, 10.5% real return and opportunistic strategies, 10.3% real estate and infrastructure, 9.9% absolute return, 9% fixed income and 4% short-term investments.
The target allocation for MPSERS is 25% domestic equity, 16% private equity, 15% international equity, 13% fixed income, 10% real return and opportunistic strategies, 10% real estate and infrastructure, 9% absolute return and 2% short-term investments.
Michigan Department of Treasury, Bureau of Investments, manages assets for the plans that make up the $97.4 billion Michigan Retirement Systems, East Lansing, including MPSERS.