Pennsylvania State Employees' Retirement System, Harrisburg, returned a net -4.6% for the year ended Dec. 31, said Terrill J. Sanchez, executive director, in an email.
The net return fell below the $27 billion pension fund's custom benchmark of -2.2%, according to SERS' newly released comprehensive annual financial report.
As of Dec. 31, the annualized net three-, five- and 10-year returns were 5.4%, 4.5% and 7.1%, respectively, below their respective custom benchmarks of 6.3%, 5.3% and 8.4%.
The pension fund's one-year net return for the year ended Dec. 31, 2017, was 15.1%.
The best-performing asset class for calendar year 2018 was private equity, which returned a net 11.4% for the year ended Dec. 31, below its benchmark of 16.6%, followed by cash at 2.1%, above its 1.9% benchmark.
Fixed income was next, returning -1% (below its benchmark, which was flat at zero), then multistrategy assets at -1.2% (-5.2%), real estate at -2.3% (7.2%), global public equities at -10.4% (-10.1%) and legacy hedge funds, -13.7% (-6.7%).
As of Dec. 31, the actual allocation was 51.6% global public equities, 14.8% fixed income, 14.5% private equity, 8.8% multistrategy assets, 7.3% real estate, 2.8% cash and 0.2% 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.