Pennsylvania State Employees' Retirement System, Harrisburg, returned a net 18.8% for the year ended Dec. 31, according to its comprehensive annual financial report released Tuesday.
The net return was above the $31.1 billion pension fund's custom benchmark of 16.7%.
As of Dec. 31, the annualized net three-, five- and 10-year returns were 9.3%, 6.9% and 8.1%, respectively, compared with their respective custom benchmarks of 9.3%, 7.3% and 8.2%.
The pension fund's one-year net return for the year ended Dec. 31, 2018, was -4.6%.
The best-performing asset class for 2019 was global public equities, which returned a net 27% for the year ended Dec. 31, above its benchmark of 26.4%; followed by multistrategy assets at 14.7%, below the Russell 3000 benchmark of 31%.
Real estate was next, returning 11% (above its benchmark, which was 6.5%); then private equity at 9.6% (7.2%); fixed income at 9.5% (8.7%); and cash at 2.3% (also 2.3%).
As of Dec. 31, the actual allocation was 55.2% global public equities, 14.1% fixed income, 13.1% private equity, 6.9% real estate, 5.9% multistrategy assets, 4.7% cash and 0.1% legacy hedge funds.
The target allocation is 48% global public equities, 16% private equity, 12% real estate, 11% fixed income, 10% multistrategy assets and 3% cash.
