Oklahoma Law Enforcement returns 4.5% for fiscal year, below its benchmark

Oklahoma Law Enforcement Retirement System, Oklahoma City, posted a preliminary net return of 4.5% for the fiscal year ended June 30, according to an investment report on the pension fund's website.

That's below the 6.5% one-year benchmark return.

The $993 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 of 8.92%, 5.8% and 9.3%, respectively, below the respective benchmark returns of 8.93%. 6.4% and 9.7%.

In 2018, the pension fund earned a net 9.1% return, according to last year's investment report.

Duane Michael, the executive director of the pension fund, did not respond to voice and email messages regarding the fund's assumed rate of return for 2019.

For the year ended June 30, the pension fund's best-performing asset classes were U.S. large cap equity (9.6%), followed by fixed income (7.5%), global private equity (3.3%), real assets (2.1%) and non-U.S. equity (1.9%). U.S. small cap equity and global long/short equity were down for the year, with returns of -1.82% and -0.1%, respectively.

As of June 30, the pension fund's actual allocation was 22.6% U.S. large cap equity, 12.2% U.S. small cap equity, 11.1% core-plus bonds, 10.3% global long/short equity, 8.9% international developed markets equity, 8.5% core real estate, 8.2% global bonds, 8.2% core bonds, 5.1% emerging markets equity, 3.1% global private equity, 1.7% commodities, and 0.1% cash and equivalents.

Its target allocation is 20% U.S. large cap equity; 10% each U.S. small cap equity, international developed markets equity, global long/short equity, core bonds, core-plus bonds and global bonds; 7% core real estate; 5% each emerging markets equity and global private equity; and 3% commodities.