Mississippi Public Employees' Retirement System, Jackson, posted a gross 6.87% return on investment for the fiscal year ended June 30, according to an investment report posted on the fund's website.
The fund missed its 7,75% assumed rate of return but surpassed its benchmark one-year gross return of 6.73%. It also beat its three-, five- and 10-year benchmarks, earning 10.38%, 7.06% and 10.53%, respectively, compared with benchmark returns of 9.84%, 6.77% and 9.74%.
"After finishing strong in June, we are pleased to exceed our policy benchmark, although below our assumed rate of return," said Ray Higgins, executive director of the $30.7 billion fund, in a statement. "Volatility certainly increased in the markets this year, but as a state retirement system, we have a long-term investment horizon focused on the future."
The fund earned 9.48% in the prior 2018 fiscal year.
For the year ended June 30, the best-performing asset class was private equity, which returned 16.13%. Fixed income and U.S. equities were the next best performers, earning 8.65% and 8.49%, respectively, followed by real estate (7.22%), global equities (5.67%) and international equities (0.64%).
The fund's target asset allocation is U.S. equities (28.18%), non-U.S. equities (20.11%), global equity (12.06%), real estate (10.20%), fixed income (19.86%), private equity (8.47%) and cash (1.11%).