Ohio Public Employees Retirement System's $91.4 billion defined benefit plan returned a preliminary net 17.23% in the year ended Dec. 31.
The return exceeded the pension plan's benchmark by 17 basis points, according to an investment report on the $104.2 billion Columbus-based retirement system's website.
For the three and five years ended Dec. 31, the DB plan returned an annualized net 9.93% and 7.62%, respectively.
For the year ended Dec. 31, 2018, the pension plan returned a net -3%.
By asset class, the top performing asset class was domestic equities, which returned a net 30.7% (below its 31% benchmark return), followed by risk parity at a net 30.3% (29.9% benchmark), and international equities at a net 22.8% (21.1%).
Next, commodities had a net return of 17.5% (17.6% benchmark); public fixed income returned a net 10.9% (10.6%), followed by private equity, returning 10.4% (8%); real estate 7.7% (5.5%); hedge funds, 7.7% (8.5%); and opportunistic investments, 2.3% (2.6%).
As of Dec. 31, the actual allocation of the pension plan was 23.4% public fixed income, 20.8% domestic equities, 19.6% international equities, 10.9% private equity, 9.7% real estate, 6.4% hedge funds, 4.7% global tactical asset allocation, 3% risk parity, 0.9% commodities, 0.5% cash and cash equivalents, and 0.1% opportunistic investments.