Pennsylvania State Employees' Retirement System, Harrisburg, returned a net 11.1% for the year ended Dec. 31, below its custom benchmark of 13.5%, according to the $35.1 billion pension fund's newly released comprehensive annual financial report.
For the three, five and 10 years ended Dec. 31, PennSERS realized annualized net returns of 8%, 9.1% and 8%, respectively, below their respective custom benchmarks of 9.1%, 9.7% and 8.8%.
The pension fund's net return for the year ended Dec. 31, 2019, was 18.8%.
Emerging markets equities was the best-performing asset class for calendar year 2020, returning a net 24.5% for the year ended Dec. 31, above its benchmark of 18.4%, followed by U.S. equities at 21.3%, above its 20.9% benchmark.
Next on the list was private equity, returning 18.4% (above its benchmark of 13.1%); then Treasury inflation-protected securities at 11% (11%); international developed markets equities, 9.6% (8.3%); private credit, 9.1% (2.3%); fixed income, 5.8% (7.5%); real estate, 2.1% (0.3%); and cash, 0.6% (0.7%).
As of Dec. 31, the actual allocation was 27.6% fixed income, 25.4% U.S. equities, 14.7% private equity, 13.2% international developed markets equities, 7.4% real estate, 4.5% emerging markets equities, 3.7% TIPS, 1.9% private credit, 1.5% cash and 0.1% legacy hedge funds.
The target allocation is 26% fixed income; 25% U.S. equities; 14% private equity; 13% international developed markets equities; 8% real estate; 4% each private credit, emerging markets equities and TIPS; and 2% cash.
