Mississippi Public Employees' Retirement System, Jackson, reported a gross return of 3.35% for the fiscal year ended June 30, below the policy benchmark of 4.27%.
The results were disclosed in an investment report posted on the $28.2 billion pension fund's website.
Several underlying factors caused the fund to fall short of its one-year benchmark, including the nature of private equity, diversifying fixed income strategies and, in some cases, manager underperformance, Executive Director Ray Higgins said.
"Considering the volatility that we experienced in the last fiscal year, we appreciate our positive investment return overall, and PERS is currently off to an encouraging start for the beginning of fiscal year 2021," he said in an email.
For the three, five and 10 years ended June 30, the pension fund earned gross returns of 6.53%, 7.05% and 9.44%, respectively, compared with the three-, five- and 10-year respective benchmarks of 6.66%, 6.89% and 8.91%.
The fund earned 6.87% for the fiscal year ended June 30, 2019.
Fixed income was the fund's top-performing asset class for the current fiscal year, earning 7.38%, followed by U.S. equities, private equity, global equities and real estate, which earned 4.52%, 3.35%, 3.02% and 1.17%, respectively. International equities landed in negative territory with a -2.64% return.
As of June 30, the actual allocation was 28.76% U.S. equities, 20.61% non-U.S. equities, 18.6% fixed income, 12.7% global equities, 9.54% real estate, 8.76% private equity and 1.01% cash.
The target allocation is 61% total public equities, 20% fixed income, 10% real estate, 8% private equity and 1% cash.