Oklahoma Teachers' Retirement System, Oklahoma City, posted a preliminary net return of 1.3% for the fiscal year ended June 30, said Tom Spencer, executive director of the $17 billion fund, in an email.
The return falls short of the policy benchmark of 4.1%.
Mr. Spencer attributed the less-than-optimal performance to the pension fund's active domestic small- and midcap value equity managers, which he said had "a very rough year."
For the three, five and 10 years ended June 30, the pension fund returned an annualized net 5.4%, 5.5% and 9.2%, respectively, below their respective benchmarks of 6.5%, 6.5% and 9.5%.
The pension fund returned a net 4.8% return for the fiscal year ended June 30, 2019.
For specific asset classes in the fiscal year, fixed income posted a net return of 10.6%, while international and domestic equities returned -4.9% and -3.2%, respectively. Return information for real estate and private equity was not provided.
As of June 30, the actual allocation was 43.3% domestic equities, 21.6% fixed income, 16.4% international equities, 9.8% private equity, 7.1% real estate, and 1.8% cash and cash equivalents.
The target allocation is 43.5% domestic equities, 22% fixed income, 19% international equities, 9% real estate and 6.5% private equity.