Ohio Police & Fire Pension Fund, Columbus, returned a gross 9.2% for the year ended Dec. 31, which is also the end of its fiscal year.
The return fell short of the $17.2 billion pension fund's policy benchmark return of 9.8%, spokesman David Graham said in an email.
For three, five and 10 years ended Dec. 31, the pension fund returned an annualized gross 8.2%, 10% and 9.1%, respectively, above the respective benchmarks of 7.6%, 9.2% and 8.1%.
For the year ended Dec. 31, 2019, the pension fund returned a gross 17.9%.
By asset class, private markets was the top performer with a net return of 22.3% for the year ended (equal to its 22.3% benchmark), followed by domestic equities at a gross 22.2% (below its benchmark of 20.8%).
Other asset class returns were U.S. Treasury inflation-protected securities, returning a net 18.9% (below its 23.3% benchmark); international equities, 12% (11.2%); core fixed income, 7.1% (8.9%); high yield, 6.4% (6.1%); direct lending, 1.9% (3.1%); real assets, -0.3% (-0.1%); real estate, -0.9% (0.6%); and midstream energy infrastructure, -26.5% (-23.4%).
As of Dec. 31, the actual allocation was 20.8% fixed income, 19.9% domestic equities, 18.1% U.S. TIPS, 17.9% international equities, 9.6% real estate, 9.4% private markets, 8.1% high-yield bonds, 5.1% midstream energy infrastructure, 3.3% real assets, 3% gold, 2.8% private credit and 2.2% cash.
The allocation exceeds 100% due to the implementation of leverage in core fixed income and U.S. inflation-linked bonds and the implementation approach for gold, according to the pension fund's website.
