Oklahoma Law Enforcement Retirement System, Oklahoma City, reported a preliminary net return of 1.65% for the fiscal year ended June 30, falling well short of its policy benchmark of 4.7%.
The results were disclosed in an investment report posted on the pension fund's website.
The $997 million pension fund also missed its benchmark on a three-, five- and 10-year basis. For the three, five and 10 years ended June 30, the pension fund returned an annualized net 5.1%, 5.2% and 8.2%, respectively, compared with their respective benchmarks of 6.6%, 6.6% and 8.9%.
The fund returned a net 4.5% for the fiscal year ended June 30, 2019.
U.S. large-cap equity was the pension fund's top-performing asset class for the current fiscal year, earning 5.4%, followed by fixed income, cash, real assets and global long/short equities, which returned 4.3%, 1.7%, 1.5% and 1.4% respectively. Non-U.S. equities and U.S. small-cap equities performed poorly with respective returns of -1.1% and -4.9%.
As of June 30, the actual allocation was 59.6% equities, 27.8% fixed income, 10.6% real assets, and 2% cash and equivalents. The target allocation is 60% equities, 25% fixed income and 15% real assets.