Tennessee Consolidated Retirement System, Nashville, returned a gross 7.5% for the fiscal year ended June 30, said Shelli King, spokeswoman for state Treasurer David H. Lillard Jr., who oversees the $52.3 billion pension fund.
The pension fund's return fell 6 basis points short of the policy benchmark return of 7.6%.
For the three, five and 10 years ended June 30, the pension fund returned an annualized gross 9%, 6.6% and 9.4%, respectively, compared with their respective benchmarks of 8.9%, 6.6% and 9.5%.
TCRS returned a gross 8.2% for the fiscal year ended June 30, 2018.
By asset class, traditional private equity led the way with a gross return of 17.5% (above its 2.8% benchmark return), followed by domestic fixed income at a gross return of 11% (above its benchmark return of 10.7%).
Real estate was next, with a gross return of 7.8% (above its benchmark return of 6.8%); U.S. equities, 7.3% (9.3%); strategic lending, 6% (5.8%); Canadian equities, 5.1% (5.6%); inflation-hedged strategies, 5% (4.9%); emerging markets equities, 3.3% (3.2%); short-term investments, 1.4% (2.3%); and international developed markets equities, 0.4% (-0.04%).